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Marcelo C. Medeiros : Citation Profile


Are you Marcelo C. Medeiros?

Pontifícia Universidade Católica do Rio de Janeiro

12

H index

15

i10 index

621

Citations

RESEARCH PRODUCTION:

45

Articles

81

Papers

RESEARCH ACTIVITY:

   17 years (2000 - 2017). See details.
   Cites by year: 36
   Journals where Marcelo C. Medeiros has often published
   Relations with other researchers
   Recent citing documents: 69.    Total self citations: 62 (9.08 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pme53
   Updated: 2018-02-24    RAS profile: 2017-07-18    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers


Works with:

Garcia, Marcio (4)

Fernandes, Marcelo (4)

Hillebrand, Eric (3)

Carvalho, Carlos (2)

Scharth, Marcel (2)

Callot, Laurent (2)

Medeiros, Marcelo (2)

Kock, Anders (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Marcelo C. Medeiros.

Is cited by:

McAleer, Michael (89)

Asai, Manabu (30)

Allen, David (24)

Chang, Chia-Lin (23)

Santucci de Magistris, Paolo (19)

Scharth, Marcel (17)

Caporin, Massimiliano (15)

Grassi, Stefano (13)

Audrino, Francesco (12)

Corsi, Fulvio (12)

van Dijk, Dick (11)

Cites to:

Bollerslev, Tim (71)

McAleer, Michael (60)

Teräsvirta, Timo (55)

Andersen, Torben (41)

Diebold, Francis (34)

Engle, Robert (20)

Granger, Clive (19)

Gali, Jordi (17)

Asai, Manabu (17)

van Dijk, Dick (16)

Hansen, Peter (16)

Main data


Where Marcelo C. Medeiros has published?


Journals with more than one article published# docs
Brazilian Review of Econometrics7
Econometric Reviews6
Journal of Econometrics6
International Journal of Forecasting5
Brazilian Review of Finance4
Computational Statistics & Data Analysis2
Economia2
Economics Letters2

Working Papers Series with more than one paper published# docs
Textos para discusso / Department of Economics PUC-Rio (Brazil)36
Econometric Institute Research Papers / Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute6
Textos para discusso / FGV/EESP - Escola de Economia de So Paulo, Getulio Vargas Foundation (Brazil)4
CIRJE F-Series / CIRJE, Faculty of Economics, University of Tokyo4
Discussion Papers / Instituto de Pesquisa Econmica Aplicada - IPEA4
CARF F-Series / Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo2
KIER Working Papers / Kyoto University, Institute of Economic Research2
Computing in Economics and Finance 2002 / Society for Computational Economics2
Documentos de Trabajo del ICAE / Universidad Complutense de Madrid, Facultad de Ciencias Econmicas y Empresariales, Instituto Complutense de Anlisis Econmico2

Recent works citing Marcelo C. Medeiros (2018 and 2017)


YearTitle of citing document
2017Consistency and asymptotic normality of maximum likelihood estimators of a multiplicative time-varying smooth transition correlation GARCH model. (2017). Teräsvirta, Timo ; Terasvirta, Timo ; Silvennoinen, Annastiina . In: CREATES Research Papers. RePEc:aah:create:2017-28.

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2017“Regional tourism demand forecasting with machine learning models: Gaussian process regression vs. neural network models in a multiple-input multiple-output setting”. (2017). Claveria, Oscar ; Torra, Salvador ; Monte, Enric. In: AQR Working Papers. RePEc:aqr:wpaper:201701.

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2017Volatility Spillovers and Heavy Tails: A Large t-Vector AutoRegressive Approach. (2017). Barbaglia, Luca ; Wilms, Ines ; Croux, Christophe. In: Papers. RePEc:arx:papers:1708.02073.

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2018An Exact and Robust Conformal Inference Method for Counterfactual and Synthetic Controls. (2017). Chernozhukov, Victor ; Wuthrich, Kaspar. In: Papers. RePEc:arx:papers:1712.09089.

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2017Oracle M-Estimation for Time Series Models. (2017). Giurcanu, Mihai C. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:38:y:2017:i:3:p:479-504.

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2017Is Market Fear Persistent? A Long-Memory Analysis. (2017). Plastun, Alex ; Gil-Alana, Luis ; Caporale, Guglielmo Maria. In: CESifo Working Paper Series. RePEc:ces:ceswps:_6534.

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2017Are multifractal processes suited to forecasting electricity price volatility? Evidence from Australian intraday data. (2017). Wilfling, Bernd ; GUPTA, RANGAN ; Lau, Chi Keung ; Segnon, Mawuli . In: CQE Working Papers. RePEc:cqe:wpaper:6117.

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2017MONETARY POLICY SWITCHING IN THE EURO AREA AND MULTIPLE STEADY STATES: AN EMPIRICAL INVESTIGATION. (2017). Dufrénot, Gilles ; Khayat, Guillaume A ; Dufrenot, Gilles . In: Macroeconomic Dynamics. RePEc:cup:macdyn:v:21:y:2017:i:05:p:1175-1188_00.

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2017Testing for Extreme Volatility Transmission with Realized Volatility Measures. (2017). Tokpavi, Sessi ; Dumitrescu, Elena Ivona ; DE TRUCHIS, Gilles ; Boucher, Christophe . In: EconomiX Working Papers. RePEc:drm:wpaper:2017-20.

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2017k-means based load estimation of domestic smart meter measurements. (2017). Al-Wakeel, Ali ; Jenkins, Nick ; Wu, Jianzhong . In: Applied Energy. RePEc:eee:appene:v:194:y:2017:i:c:p:333-342.

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2017Sparse seasonal and periodic vector autoregressive modeling. (2017). Baek, Changryong ; Davis, Richard A ; Pipiras, Vladas . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:106:y:2017:i:c:p:103-126.

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2017Sparse vector Markov switching autoregressive models. Application to multivariate time series of temperature. (2017). Monbet, Valerie ; Ailliot, Pierre . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:108:y:2017:i:c:p:40-51.

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2017Forecasting the realized range-based volatility using dynamic model averaging approach. (2017). , ; Wei, YU ; Liu, Jing ; Ma, Feng. In: Economic Modelling. RePEc:eee:ecmode:v:61:y:2017:i:c:p:12-26.

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2017Forecasting the oil futures price volatility: A new approach. (2017). Ma, Feng ; Chen, Wang ; Huang, Dengshi ; Liu, Jing. In: Economic Modelling. RePEc:eee:ecmode:v:64:y:2017:i:c:p:560-566.

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2017Realized stochastic volatility with general asymmetry and long memory. (2017). McAleer, Michael ; Chang, Chia-Lin ; Asai, Manabu. In: Journal of Econometrics. RePEc:eee:econom:v:199:y:2017:i:2:p:202-212.

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2017Econometric analysis of multivariate realised QML: Estimation of the covariation of equity prices under asynchronous trading. (2017). Xiu, Dacheng ; Shephard, Neil. In: Journal of Econometrics. RePEc:eee:econom:v:201:y:2017:i:1:p:19-42.

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2017Deep neural networks, gradient-boosted trees, random forests: Statistical arbitrage on the S&P 500. (2017). Huck, Nicolas ; Krauss, Christopher ; Do, Xuan Anh . In: European Journal of Operational Research. RePEc:eee:ejores:v:259:y:2017:i:2:p:689-702.

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2017Forecasting aggregate stock market volatility using financial and macroeconomic predictors: Which models forecast best, when and why?. (2017). Nonejad, Nima . In: Journal of Empirical Finance. RePEc:eee:empfin:v:42:y:2017:i:c:p:131-154.

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2017Modeling and predicting oil VIX: Internet search volume versus traditional mariables. (2017). Campos, I ; Reyes, T ; Cortazar, G. In: Energy Economics. RePEc:eee:eneeco:v:66:y:2017:i:c:p:194-204.

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2017Forecasting the good and bad uncertainties of crude oil prices using a HAR framework. (2017). Gong, XU ; Lin, Boqiang. In: Energy Economics. RePEc:eee:eneeco:v:67:y:2017:i:c:p:315-327.

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2017Uncertainties in global radiation time series forecasting using machine learning: The multilayer perceptron case. (2017). Voyant, Cyril ; Motte, Fabrice ; Fouilloy, Alexis ; Darras, Christophe ; Notton, Gilles . In: Energy. RePEc:eee:energy:v:125:y:2017:i:c:p:248-257.

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2017A seasonal direct optimal hybrid model of computational intelligence and soft computing techniques for electricity load forecasting. (2017). Khashei, Mehdi ; Chahkoutahi, Fatemeh. In: Energy. RePEc:eee:energy:v:140:y:2017:i:p1:p:988-1004.

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2017Asymmetry in spillover effects: Evidence for international stock index futures markets. (2017). Marco, Chi Keung ; Yarovaya, Larisa ; Brzeszczyski, Janusz . In: International Review of Financial Analysis. RePEc:eee:finana:v:53:y:2017:i:c:p:94-111.

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2017FX interventions in Brazil: A synthetic control approach. (2017). Chamon, Marcos ; Souza, Laura ; Garcia, Marcio . In: Journal of International Economics. RePEc:eee:inecon:v:108:y:2017:i:c:p:157-168.

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2017Volatility forecasting of non-ferrous metal futures: Covariances, covariates or combinations?. (2017). Lyócsa, Štefan ; Todorova, Neda ; Molnar, Peter ; Lyocsa, Tefan. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:51:y:2017:i:c:p:228-247.

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2017Forecasting market returns: bagging or combining?. (2017). Wohar, Mark ; Jordan, Steven J ; Vivian, Andrew . In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:1:p:102-120.

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2017Realized volatility forecasting of agricultural commodity futures using the HAR model with time-varying sparsity. (2017). Chen, Langnan ; Tian, Fengping ; Yang, KE. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:1:p:132-152.

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2018MGARCH models: Trade-off between feasibility and flexibility. (2018). Hotta, Luiz ; Ruiz, Esther ; de Almeida, Daniel . In: International Journal of Forecasting. RePEc:eee:intfor:v:34:y:2018:i:1:p:45-63.

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2018Dynamics of financial returns densities: A functional approach applied to the Bovespa intraday index. (2018). Horta, Eduardo ; Ziegelmann, Flavio . In: International Journal of Forecasting. RePEc:eee:intfor:v:34:y:2018:i:1:p:75-88.

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2017Air transportation demand forecast through Bagging Holt Winters methods. (2017). Varela, Hugo Miguel ; Cyrino, Fernando Luiz ; Dantas, Tiago Mendes . In: Journal of Air Transport Management. RePEc:eee:jaitra:v:59:y:2017:i:c:p:116-123.

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2017A review of the decomposition methodology for extracting and identifying the fluctuation characteristics in electricity demand forecasting. (2017). Shao, Zhen ; Zhou, Kai-Le ; Yang, Shan-Lin ; Chao, FU. In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:75:y:2017:i:c:p:123-136.

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2017Realized volatility forecast of agricultural futures using the HAR models with bagging and combination approaches. (2017). Yang, KE ; Li, Steven ; Chen, Langnan ; Tian, Fengping . In: International Review of Economics & Finance. RePEc:eee:reveco:v:49:y:2017:i:c:p:276-291.

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2017Volatility and public information flows: Evidence from disclosure and media coverage in the Japanese stock market. (2017). Aman, Hiroyuki ; Moriyasu, Hiroshi . In: International Review of Economics & Finance. RePEc:eee:reveco:v:51:y:2017:i:c:p:660-676.

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2017Forecasting realized volatility: HAR against Principal Components Combining, neural networks and GARCH. (2017). Vortelinos, Dimitrios I. In: Research in International Business and Finance. RePEc:eee:riibaf:v:39:y:2017:i:pb:p:824-839.

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2017Realized Stochastic Volatility with General Asymmetry and Long Memory. (2017). McAleer, Michael ; Chang, Chia-Lin ; Asai, Manabu. In: Econometric Institute Research Papers. RePEc:ems:eureir:100161.

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2017Realized Stochastic Volatility Models with Generalized Gegenbauer Long Memory. (2017). McAleer, Michael ; Asai, Manabu ; Peiris, S. In: Econometric Institute Research Papers. RePEc:ems:eureir:102576.

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2017Connecting VIX and Stock Index ETF. (2017). McAleer, Michael ; Chang, Chia-Lin. In: Econometric Institute Research Papers. RePEc:ems:eureir:99516.

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2017The aftermath of 2008 turmoil on Brazilian economy: Tsunami or “Marolinha”?. (2017). Marçal, Emerson ; Simes, Oscar Rodrigues ; Merlin, Giovanni Tondin ; Cunha, Ronan ; Maral, Emerson Fernandes ; FernandesMaral, Emerson . In: Textos para discussão. RePEc:fgv:eesptd:459.

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2017Combining Sharp and Smooth Transitions in Volatility Dynamics: a Fuzzy Regime Approach. (2017). Otranto, Edoardo ; Gallo, Giampiero. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2017_05.

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2017Regime Switching Vine Copula Models for Global Equity and Volatility Indices. (2017). Fink, Holger ; Stober, Jakob ; Czado, Claudia ; Klimova, Yulia . In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:1:p:3-:d:86821.

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2017Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models. (2017). McAleer, Michael ; Asai, Manabu ; Peiris, Shelton. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:10:y:2017:i:4:p:23-:d:122610.

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2017Variable selection and forecasting via automated methods for linear models: LASSO/adaLASSO and Autometrics. (2017). GUEGAN, Dominique ; Veiga, Alvaro ; Epprecht, Camila . In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). RePEc:hal:cesptp:halshs-00917797.

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2017“Regional tourism demand forecasting with machine learning models: Gaussian process regression vs. neural network models in a multiple-input multiple-output setting. (2017). Claveria, Oscar ; Torra, Salvador ; Monte, Enric. In: IREA Working Papers. RePEc:ira:wpaper:201701.

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2017Forecasting Financial Market Volatility Using a Dynamic Topic Model. (2017). Morimoto, Takayuki ; Kawasaki, Yoshinori. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:24:y:2017:i:3:d:10.1007_s10690-017-9228-z.

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2017Bagged artificial neural networks in forecasting inflation: An extensive comparison with current modelling frameworks. (2017). Szafranek, Karol. In: NBP Working Papers. RePEc:nbp:nbpmis:262.

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2017Modeling and Forecasting Hourly Electricity Demand by SARIMAX with Interactions. (2017). Fukushige, Mototsugu ; Elamin, Niematallah . In: Discussion Papers in Economics and Business. RePEc:osk:wpaper:1728.

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2017Generalizing Smooth Transition Autoregressions. (2017). Zanetti Chini, Emilio. In: DEM Working Papers Series. RePEc:pav:demwpp:demwp0138.

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2017Placebo Tests for Synthetic Controls. (2017). Pinto, Cristine ; Ferman, Bruno. In: MPRA Paper. RePEc:pra:mprapa:78079.

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2017Forecasting realized volatility: a review. (2017). Bucci, Andrea. In: MPRA Paper. RePEc:pra:mprapa:83232.

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2017Are Multifractal Processes Suited to Forecasting Electricity Price Volatility? Evidence from Australian Intraday Data. (2017). Wilfling, Bernd ; GUPTA, RANGAN ; Lau, Chi Keung ; Segnon, Mawuli . In: Working Papers. RePEc:pre:wpaper:201739.

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2017Forecasting Stock Market Realized Variance with Echo State Neural Networks. (2017). Fiura, Milan. In: European Financial and Accounting Journal. RePEc:prg:jnlefa:v:2017:y:2017:i:3:id:193:p:145-156.

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2017The rise and fall of the Brazilian economy (2004-2015): the economic antimiracle. (2017). Rugitsky, Fernando. In: Working Papers, Department of Economics. RePEc:spa:wpaper:2017wpecon29.

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2017Unemployment hysteresis and structural change in Europe. (2017). Akdoan, Kurma . In: Empirical Economics. RePEc:spr:empeco:v:53:y:2017:i:4:d:10.1007_s00181-016-1171-8.

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2017Endogeneity and nonlinearities in Central Bank of Brazil’s reaction functions: an inverse quantile regression approach. (2017). Medeiros, Gabriela Bezerra ; da Silva, Edilean Kleber ; Portugal, Marcelo Savino . In: Empirical Economics. RePEc:spr:empeco:v:53:y:2017:i:4:d:10.1007_s00181-016-1195-0.

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2017Is the Hybrid New Keynesian Phillips Curve Stable? Evidence from Some Emerging Economies. (2017). Chowdhury, Kushal Banik ; Sarkar, Nityananda . In: Journal of Quantitative Economics. RePEc:spr:jqecon:v:15:y:2017:i:3:d:10.1007_s40953-016-0059-y.

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2017Portfolio choice with high frequency data: CRRA preferences and the liquidity effect. (2017). Sebastião, Helder ; Godinho, Pedro ; Sebastio, H ; Brito, R P. In: Portuguese Economic Journal. RePEc:spr:portec:v:16:y:2017:i:2:d:10.1007_s10258-017-0131-3.

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2017Connecting VIX and Stock Index ETF. (2017). McAleer, Michael ; Chang, Chia-Lin ; Hsieh, Tai-Lin . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20160010.

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2017Realized Stochastic Volatility with General Asymmetry and Long Memory. (2017). McAleer, Michael ; Chang, Chia-Lin ; Asai, Manabu. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20170038.

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2017Realized Stochastic Volatility Models with Generalized Gegenbauer Long Memory. (2017). McAleer, Michael ; Asai, Manabu ; Peiris, Shelton. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20170105.

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2017Forecasting the volatility of Nikkei 225 futures. (2017). McAleer, Michael ; Asai, Manabu. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1707.

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2017Connecting VIX and Stock Index ETF. (2017). McAleer, Michael ; Chang, Chia-Lin ; Hsieh, Tai-Lin . In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1708.

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2017Realized Stochastic Volatility Models with Generalized Gegenbauer Long Memory. (2017). McAleer, Michael ; Asai, Manabu ; Peiris, Shelton. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1726.

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2017A Bootstrap Approach for Generalized Autocontour Testing. Implications for VIX Forecast Densities. (2017). Veiga, Helena ; Ruiz, Esther ; Mazzeu, Joao Henrique ; Gonzalez-Rivera, Gloria . In: Working Papers. RePEc:ucr:wpaper:201709.

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Works by Marcelo C. Medeiros:


YearTitleTypeCited
2012Nonlinearity, Breaks, and Long-Range Dependence in Time-Series Models In: CREATES Research Papers.
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2016Nonlinearity, Breaks, and Long-Range Dependence in Time-Series Models.(2016) In: Journal of Business & Economic Statistics.
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2012Asymptotic Theory for Regressions with Smoothly Changing Parameters In: CREATES Research Papers.
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2013Asymptotic Theory for Regressions with Smoothly Changing Parameters.(2013) In: Journal of Time Series Econometrics.
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2012Estimating High-Dimensional Time Series Models In: CREATES Research Papers.
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2012Estimating High-Dimensional Time Series Models..(2012) In: Textos para discussão.
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2012Lets Do It Again: Bagging Equity Premium Predictors In: CREATES Research Papers.
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2012Let´s do it again: bagging equity premium predictors.(2012) In: Textos para discussão.
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2014Estimation and Forecasting of Large Realized Covariance Matrices and Portfolio Choice In: CREATES Research Papers.
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2014Estimation and Forecasting of Large Realized Covariance Matrices and Portfolio Choice.(2014) In: Tinbergen Institute Discussion Papers.
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2015Structure and asymptotic theory for nonlinear models with GARCH erros In: Economia.
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2011Structure and Asymptotic theory for Nonlinear Models with GARCH Errors.(2011) In: Econometric Institute Research Papers.
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2015Is the convergence of the manufacturing sector unconditional? In: Economia.
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2013Estimating Strategic Complementarity in a State-Dependent Pricing Model In: Working Papers Series.
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2011Estimating Strategic Complementarity in a State-Dependent Pricing Model.(2011) In: 2011 Meeting Papers.
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2004Local Global Neural Networks: A New Approach for Nonlinear Time Series Modeling In: Journal of the American Statistical Association.
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2003Local-global neural networks: a new approach for nonlinear time series modelling.(2003) In: Textos para discussão.
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2011FORECASTING REALIZED VOLATILITY WITH LINEAR AND NONLINEAR UNIVARIATE MODELS In: Journal of Economic Surveys.
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2010Forecasting Realized Volatility with Linear and Nonlinear Univariate Models.(2010) In: Working Papers in Economics.
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2003Diagnostic Checking in a Flexible Nonlinear Time Series Model In: Journal of Time Series Analysis.
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2001Diagnostic Checking in a Flexible Nonlinear Time Series Model.(2001) In: SSE/EFI Working Paper Series in Economics and Finance.
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2014Parametric Portfolio Selection: Evaluating and Comparing to Markowitz Portfolios In: Brazilian Review of Finance.
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2014Economic gains of realized volatility in the Brazilian stock market In: Brazilian Review of Finance.
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2014Economic gains of realized volatility in the Brazilian stock market.(2014) In: Textos para discussão.
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2006Modeling and Forecasting the Volatility of Brazilian Asset Returns: a Realized Variance Approach In: Brazilian Review of Finance.
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2006Foreign Exchange Rate Futures Trends: Foreign Exchange Risk or Systematic Forecasting Errors? In: Brazilian Review of Finance.
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2010A Note on Nonlinear Cointegration, Misspecification and Bimodality In: Working Papers in Economics.
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2014A Note on Nonlinear Cointegration, Misspecification, and Bimodality.(2014) In: Econometric Reviews.
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2010Modelling and Forecasting Noisy Realized Volatility In: Working Papers in Economics.
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2012Modelling and forecasting noisy realized volatility.(2012) In: Computational Statistics & Data Analysis.
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2011Modelling and Forecasting Noisy Realized Volatility.(2011) In: Econometric Institute Research Papers.
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2011Modelling and Forecasting Noisy Realized Volatility.(2011) In: KIER Working Papers.
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2009Modelling and Forecasting Noisy Realized Volatility.(2009) In: CIRJE F-Series.
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2011Modelling and Forecasting Noisy Realized Volatility.(2011) In: Documentos de Trabajo del ICAE.
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2010Asymmetry and Long Memory in Volatility Modelling In: Working Papers in Economics.
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2010Asymmetry and Long Memory in Volatility Modelling.(2010) In: Econometric Institute Research Papers.
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2010Asymmetry and Long Memory in Volatility Modelling.(2010) In: KIER Working Papers.
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2012Asymmetry and Long Memory in Volatility Modeling.(2012) In: Journal of Financial Econometrics.
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2011Asymmetry and Long Memory in Volatility Modelling.(2011) In: Documentos de Trabajo del ICAE.
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2009Asymmetry and Leverage in Realized Volatility In: CARF F-Series.
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2008Asymmetry and leverage in realized volatility.(2008) In: Econometric Institute Research Papers.
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2009Asymmetry and Leverage in Realized Volatility.(2009) In: CIRJE F-Series.
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