Marcelo C. Medeiros : Citation Profile


Are you Marcelo C. Medeiros?

Pontifícia Universidade Católica do Rio de Janeiro

14

H index

22

i10 index

916

Citations

RESEARCH PRODUCTION:

47

Articles

81

Papers

RESEARCH ACTIVITY:

   17 years (2000 - 2017). See details.
   Cites by year: 53
   Journals where Marcelo C. Medeiros has often published
   Relations with other researchers
   Recent citing documents: 94.    Total self citations: 65 (6.63 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pme53
   Updated: 2021-03-01    RAS profile: 2018-04-08    
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Relations with other researchers


Works with:

Carvalho, Carlos (4)

Medeiros, Marcelo (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 (99)

Asai, Manabu (34)

Chang, Chia-Lin (29)

Allen, David (25)

GUPTA, RANGAN (23)

Santucci de Magistris, Paolo (21)

Degiannakis, Stavros (19)

Scharth, Marcel (17)

Audrino, Francesco (15)

Caporin, Massimiliano (15)

Claveria, Oscar (14)

Cites to:

Bollerslev, Tim (71)

McAleer, Michael (58)

Teräsvirta, Timo (58)

Andersen, Torben (41)

Diebold, Francis (34)

Engle, Robert (21)

Granger, Clive (19)

Asai, Manabu (17)

Galí, Jordi (17)

van Dijk, Dick (17)

Shephard, Neil (16)

Main data


Where Marcelo C. Medeiros has published?


Journals with more than one article published# docs
Econometric Reviews7
Brazilian Review of Econometrics7
Journal of Econometrics6
International Journal of Forecasting5
Brazilian Review of Finance4
Economia2
Journal of Applied Econometrics2
Economics Letters2
Computational Statistics & Data Analysis2

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
Discussion Papers / Instituto de Pesquisa Econmica Aplicada - IPEA4
Textos para discusso / FGV EESP - Escola de Economia de So Paulo, Fundao Getulio Vargas (Brazil)4
CIRJE F-Series / CIRJE, Faculty of Economics, University of Tokyo4
Documentos de Trabajo del ICAE / Universidad Complutense de Madrid, Facultad de Ciencias Econmicas y Empresariales, Instituto Complutense de Anlisis Econmico2
KIER Working Papers / Kyoto University, Institute of Economic Research2
CARF F-Series / Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo2
Computing in Economics and Finance 2002 / Society for Computational Economics2

Recent works citing Marcelo C. Medeiros (2021 and 2020)


YearTitle of citing document
2020An Exact and Robust Conformal Inference Method for Counterfactual and Synthetic Controls. (2019). Wüthrich, Kaspar ; Chernozhukov, Victor ; Wuthrich, Kaspar. In: Papers. RePEc:arx:papers:1712.09089.

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2021On LASSO for Predictive Regression. (2018). Lee, Ji Hyung ; Gao, Zhan ; Shi, Zhentao ; Hyung, JI. In: Papers. RePEc:arx:papers:1810.03140.

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2020Practical and robust $t$-test based inference for synthetic control and related methods. (2019). Wüthrich, Kaspar ; Chernozhukov, Victor ; Wuthrich, Kaspar. In: Papers. RePEc:arx:papers:1812.10820.

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2020Granger Causality Testing in High-Dimensional VARs: a Post-Double-Selection Procedure. (2019). Smeekes, Stephan ; Margaritella, Luca ; Hecq, Alain. In: Papers. RePEc:arx:papers:1902.10991.

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2020Time series models for realized covariance matrices based on the matrix-F distribution. (2019). Zhu, Ke ; Li, Wai Keung ; Jiang, Feiyu ; Zhou, Jiayuan. In: Papers. RePEc:arx:papers:1903.12077.

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2020On the Properties of the Synthetic Control Estimator with Many Periods and Many Controls. (2019). Ferman, Bruno. In: Papers. RePEc:arx:papers:1906.06665.

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2021Forward-Selected Panel Data Approach for Program Evaluation. (2019). Huang, Jingyi ; Shi, Zhentao. In: Papers. RePEc:arx:papers:1908.05894.

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2020Large Dimensional Latent Factor Modeling with Missing Observations and Applications to Causal Inference. (2019). Pelger, Markus ; Xiong, Ruoxuan. In: Papers. RePEc:arx:papers:1910.08273.

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2020Data-driven covariance estimators for high-dimensional minimum-variance portfolios. (2019). Steinert, Rick ; Shivarova, Antoniya ; Husmann, Sven . In: Papers. RePEc:arx:papers:1910.13960.

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2020A dynamic conditional approach to portfolio weights forecasting. (2020). Palandri, Alessandro ; Gallo, Giampiero M ; Cipollini, Fabrizio. In: Papers. RePEc:arx:papers:2004.12400.

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2020The impacts of asymmetry on modeling and forecasting realized volatility in Japanese stock markets. (2020). Ota, Yasushi ; Maki, Daiki. In: Papers. RePEc:arx:papers:2006.00158.

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2020How is Machine Learning Useful for Macroeconomic Forecasting?. (2020). Stevanovic, Dalibor ; Surprenant, St'Ephane ; Leroux, Maxime ; Coulombe, Philippe Goulet. In: Papers. RePEc:arx:papers:2008.12477.

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2020Dimension Reduction for High Dimensional Vector Autoregressive Models. (2020). Hecq, Alain ; Cubadda, Gianluca. In: Papers. RePEc:arx:papers:2009.03361.

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2020Online Action Learning in High Dimensions: A New Exploration Rule for Contextual $\epsilon_t$-Greedy Heuristics. (2020). Medeiros, Marcelo C ; Flores, Claudio C. In: Papers. RePEc:arx:papers:2009.13961.

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2020Learning from Forecast Errors: A New Approach to Forecast Combinations. (2020). Seregina, Ekaterina ; Lee, Tae-Hwy. In: Papers. RePEc:arx:papers:2011.02077.

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2020Do We Exploit all Information for Counterfactual Analysis? Benefits of Factor Models and Idiosyncratic Correction. (2020). Masini, Ricardo P ; Fan, Jianqing ; Medeiros, Marcelo C. In: Papers. RePEc:arx:papers:2011.03996.

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2020A Basket Half Full: Sparse Portfolios. (2020). Seregina, Ekaterina. In: Papers. RePEc:arx:papers:2011.04278.

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2021Machine Learning Advances for Time Series Forecasting. (2020). Mendes, Eduardo F ; Medeiros, Marcelo C ; Masini, Ricardo P. In: Papers. RePEc:arx:papers:2012.12802.

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2020Shapley regressions: a framework for statistical inference on machine learning models. (2019). Joseph, Andreas . In: Bank of England working papers. RePEc:boe:boeewp:0784.

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2020Penalized Averaging of Parametric and Non-Parametric Quantile Forecasts. (2020). Gooijer, Jan G. ; Dawit, Zerom ; Jan, De Gooijer. In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:12:y:2020:i:1:p:15:n:4.

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2020Proyección de la Inflación en Chile con Métodos de Machine Learning. (2020). Zilberman, Eduardo ; Molina, Carlos ; Leal, Felipe. In: Working Papers Central Bank of Chile. RePEc:chb:bcchwp:860.

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2021Predicting risk in energy markets: Low-frequency data still matter. (2021). Výrost, Tomᚠ; Vrost, Toma ; Todorova, Neda ; Lyocsa, Tefan. In: Applied Energy. RePEc:eee:appene:v:282:y:2021:i:pa:s0306261920315567.

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2020Price connectedness between green bond and financial markets. (2020). Ugolini, Andrea ; Reboredo, Juan. In: Economic Modelling. RePEc:eee:ecmode:v:88:y:2020:i:c:p:25-38.

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2020Volatility transmission between oil prices and banks stock prices as a new source of instability: Lessons from the United States experience. (2020). Ehouman, Yao Axel. In: Economic Modelling. RePEc:eee:ecmode:v:91:y:2020:i:c:p:198-217.

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2020Housing market cycles in large urban areas. (2020). Canepa, Alessandra ; Alqaralleh, Huthaifa. In: Economic Modelling. RePEc:eee:ecmode:v:92:y:2020:i:c:p:257-267.

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2020Risk dependence and cointegration between pharmaceutical stock markets: The case of China and the USA. (2020). Pérez-Rodríguez, Jorge ; Lopez-Valcarcel, Beatriz Gonzalez ; Perez-Rodriguez, Jorge V ; Qian, Huanhuan ; Zhou, Xinmiao. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940820300723.

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2020Forecast on silver futures linked with structural breaks and day-of-the-week effect. (2020). Fang, Qiang ; Cheng, Yuxiang ; Li, Wenlan. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:53:y:2020:i:c:s1062940820300899.

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2020Assessment of time-varying systemic risk in credit default swap indices: Simultaneity and contagiousness. (2020). Jang, Hyun Jin ; Choi, So Eun. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940818302973.

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2020A self-normalization test for correlation change. (2020). Shin, Dong Wan ; Choi, Ji-Eun. In: Economics Letters. RePEc:eee:ecolet:v:193:y:2020:i:c:s016517651930045x.

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2020Forecasting large covariance matrix with high-frequency data using factor approach for the correlation matrix. (2020). Tse, Yiu-Kuen ; Dong, Yingjie. In: Economics Letters. RePEc:eee:ecolet:v:195:y:2020:i:c:s016517652030286x.

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2020Global hemispheric temperatures and co-shifting: A vector shifting-mean autoregressive analysis. (2020). Teräsvirta, Timo ; Holt, Matthew ; Terasvirta, Timo. In: Journal of Econometrics. RePEc:eee:econom:v:214:y:2020:i:1:p:198-215.

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2020Variance risk: A bird’s eye view. (2020). Simen, Chardin Wese ; Hollstein, Fabian. In: Journal of Econometrics. RePEc:eee:econom:v:215:y:2020:i:2:p:517-535.

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2020Asymmetric stochastic volatility models: Properties and particle filter-based simulated maximum likelihood estimation. (2020). Veiga, Helena ; Ruiz, Esther ; Czellar, Veronika ; Mao, Xiuping. In: Econometrics and Statistics. RePEc:eee:ecosta:v:13:y:2020:i:c:p:84-105.

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2020Statistical inferences for realized portfolio weights. (2020). Lazariv, Taras ; Seifert, Miriam Isabel ; Schmid, Wolfgang ; Golosnoy, Vasyl. In: Econometrics and Statistics. RePEc:eee:ecosta:v:14:y:2020:i:c:p:49-62.

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2020Realized stochastic volatility models with generalized Gegenbauer long memory. (2020). McAleer, Michael ; Asai, Manabu ; Peiris, Shelton. In: Econometrics and Statistics. RePEc:eee:ecosta:v:16:y:2020:i:c:p:42-54.

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2020Factor state–space models for high-dimensional realized covariance matrices of asset returns. (2020). Gribisch, Bastian ; Liesenfeld, Roman ; Hartkopf, Jan Patrick. In: Journal of Empirical Finance. RePEc:eee:empfin:v:55:y:2020:i:c:p:1-20.

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2020Volatility spillovers in commodity markets: A large t-vector autoregressive approach. (2020). Wilms, Ines ; Barbaglia, Luca ; Croux, Christophe. In: Energy Economics. RePEc:eee:eneeco:v:85:y:2020:i:c:s0140988319303500.

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2020Forecasting volatility in the petroleum futures markets: A re-examination and extension. (2020). Shaiban, Mohammed Sharaf ; Hasanov, Akram Shavkatovich ; Al-Freedi, Ajab. In: Energy Economics. RePEc:eee:eneeco:v:86:y:2020:i:c:s0140988319304232.

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2020On realized volatility of crude oil futures markets: Forecasting with exogenous predictors under structural breaks. (2020). Zhang, Dayong ; Klein, Tony ; Ji, Qiang ; Luo, Jiawen ; Todorova, Neda. In: Energy Economics. RePEc:eee:eneeco:v:89:y:2020:i:c:s0140988320301213.

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2020Copula stochastic volatility in oil returns: Approximate Bayesian computation with volatility prediction. (2020). Galeano, Pedro ; Ausin, Concepcion M ; Virbickait, Audron. In: Energy Economics. RePEc:eee:eneeco:v:92:y:2020:i:c:s0140988320303017.

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2020Predicting collusive patterns in a liberalized electricity market with mandatory auctions of forward contracts. (2020). Palacio, Sebastian M. In: Energy Policy. RePEc:eee:enepol:v:139:y:2020:i:c:s0301421520300690.

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2020Indonesian electricity load forecasting using singular spectrum analysis, fuzzy systems and neural networks. (2020). Sulandari, Winita ; Rodrigues, Paulo Canas ; Lee, Muhammad Hisyam. In: Energy. RePEc:eee:energy:v:190:y:2020:i:c:s0360544219321036.

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2020Volatility persistence in the Russian stock market. (2020). Gil-Alana, Luis ; Caporale, Guglielmo Maria ; Tripathy, Trilochan. In: Finance Research Letters. RePEc:eee:finlet:v:32:y:2020:i:c:s154461231830624x.

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2020Rough volatility of Bitcoin. (2020). Takaishi, Tetsuya. In: Finance Research Letters. RePEc:eee:finlet:v:32:y:2020:i:c:s154461231930337x.

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2020Historical volatility of advanced equity markets: The role of local and global crises. (2020). GUPTA, RANGAN ; Wohar, Mark E ; Goswami, Samrat. In: Finance Research Letters. RePEc:eee:finlet:v:34:y:2020:i:c:s1544612319303617.

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2020Historic risk and implied volatility. (2020). Levendis, John ; Dicle, Mehmet F. In: Global Finance Journal. RePEc:eee:glofin:v:45:y:2020:i:c:s1044028318301625.

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2020The impact of sentiment and attention measures on stock market volatility. (2020). Audrino, Francesco ; Ballinari, Daniele ; Sigrist, Fabio. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:2:p:334-357.

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2020Realized volatility forecast with the Bayesian random compressed multivariate HAR model. (2020). Chen, Langnan ; Luo, Jiawen. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:3:p:781-799.

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2020Forecasting volatility and co-volatility of crude oil and gold futures: Effects of leverage, jumps, spillovers, and geopolitical risks. (2020). McAleer, Michael ; GUPTA, RANGAN ; Asai, Manabu. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:3:p:933-948.

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2020Daily retail demand forecasting using machine learning with emphasis on calendric special days. (2020). Stuckenschmidt, Heiner ; Huber, Jakob. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:4:p:1420-1438.

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2021Boosting nonlinear predictability of macroeconomic time series. (2021). Virtanen, Timo ; Kauppi, Heikki. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:1:p:151-170.

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2021Bagging weak predictors. (2021). Wei, Wei ; Lukas, Manuel ; Hillebrand, Eric. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:1:p:237-254.

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2021Realized volatility forecasting: Robustness to measurement errors. (2021). Otranto, Edoardo ; Gallo, Giampiero M ; Cipollini, Fabrizio. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:1:p:44-57.

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2020The effect of interest rate caps on bankruptcy: Synthetic control evidence from recent payday lending bans. (2020). Dasgupta, Kabir ; Mason, Brenden J. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:119:y:2020:i:c:s0378426620301795.

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2020Forecasting realized oil-price volatility: The role of financial stress and asymmetric loss. (2020). Pierdzioch, Christian ; GUPTA, RANGAN ; Gkillas, Konstantinos. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:104:y:2020:i:c:s0261560619300075.

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2021Comparing the impact of discretionary and pre-announced central bank interventions. (2021). Santos, Francisco Luna . In: Journal of International Money and Finance. RePEc:eee:jimfin:v:110:y:2021:i:c:s0261560620302631.

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2020Bayesian sequential stock return prediction through copulas. (2020). Frey, Christoph ; Virbickait, Audron ; Macedo, Demian N. In: The Journal of Economic Asymmetries. RePEc:eee:joecas:v:22:y:2020:i:c:s1703494920300207.

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2020The predictive power of oil price shocks on realized volatility of oil: A note. (2020). GUPTA, RANGAN ; Demirer, Riza ; Hussain, Syed Jawad ; Pierdzioch, Christian. In: Resources Policy. RePEc:eee:jrpoli:v:69:y:2020:i:c:s0301420720308874.

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2020Asymmetric volatility spillover between European equity and foreign exchange markets: Evidence from the frequency domain. (2020). Warshaw, Evan. In: International Review of Economics & Finance. RePEc:eee:reveco:v:68:y:2020:i:c:p:1-14.

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2020Forecasting financial time-series using data mining models: A simulation study. (2020). Bou-Hamad, Imad ; Jamali, Ibrahim. In: Research in International Business and Finance. RePEc:eee:riibaf:v:51:y:2020:i:c:s027553191830761x.

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2020Analysis and short-term predictions of non-technical loss of electric power based on mixed effects models. (2020). Moreira, Jose Francisco ; Calili, Rodrigo Flora ; Souza, Reinaldo Castro ; Mahaz, Paulo Fernando. In: Socio-Economic Planning Sciences. RePEc:eee:soceps:v:71:y:2020:i:c:s0038012119301910.

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2020Short-Term Electricity Demand Forecasting: Impact Analysis of Temperature for Thailand. (2020). Kulthanavit, Pisut ; Kittipiyakul, Somsak ; Chapagain, Kamal. In: Energies. RePEc:gam:jeners:v:13:y:2020:i:10:p:2498-:d:358610.

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2020Infectious Diseases, Market Uncertainty and Oil Market Volatility. (2020). GUPTA, RANGAN ; Demirer, Riza ; Pierdzioch, Christian ; Bouri, Elie. In: Energies. RePEc:gam:jeners:v:13:y:2020:i:16:p:4090-:d:395806.

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2020GARCH Generated Volatility Indices of Bitcoin and CRIX. (2020). Mare, Eben ; Venter, Pierre J. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:13:y:2020:i:6:p:121-:d:370116.

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2020Dissecting Tether’s Nonlinear Dynamics during Covid-19. (2020). Grubisic, Zoran ; Maiti, Moinak ; Vukovic, Darko B. In: Journal of Open Innovation: Technology, Market, and Complexity. RePEc:gam:joitmc:v:6:y:2020:i:4:p:161-:d:448636.

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2020Are Investors’ Attention and Uncertainty Aversion the Risk Factors for Stock Markets? International Evidence from the COVID-19 Crisis. (2020). Sadaqat, Mohsin ; Ashraf, Badar Nadeem ; Shear, Falik. In: Risks. RePEc:gam:jrisks:v:9:y:2020:i:1:p:2-:d:466308.

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2020Investor Happiness and Predictability of the Realized Volatility of Oil Price. (2020). Pierdzioch, Christian ; GUPTA, RANGAN ; Gkillas, Konstantinos ; Bonato, Matteo. In: Sustainability. RePEc:gam:jsusta:v:12:y:2020:i:10:p:4309-:d:362539.

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2021Forecasting Daily Volatility of Stock Price Index Using Daily Returns and Realized Volatility. (2021). Omori, Yasuhiro ; Watanabe, Toshiaki ; Takahashi, Makoto. In: Discussion paper series. RePEc:hit:hiasdp:hias-e-104.

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2020Dynamic Factor Trees and Forests – A Theory-led Machine Learning Framework for Non-Linear and State-Dependent Short-Term U.S. GDP Growth Predictions. (2020). Wochner, Daniel. In: KOF Working papers. RePEc:kof:wpskof:20-472.

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2020Using job transitions data as a labour market indicator. (2020). van Florenstein, Thomas ; Richardson, Adam ; Ball, Christopher. In: Reserve Bank of New Zealand Analytical Notes series. RePEc:nzb:nzbans:2020/02.

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2020Another look at the implied and realised volatility relation: a copula-based approach. (2020). Pérez-Rodríguez, Jorge ; Perez-Rodriguez, Jorge V. In: Risk Management. RePEc:pal:risman:v:22:y:2020:i:1:d:10.1057_s41283-019-00054-y.

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2020Direct and Indirect Effects of COVID-19 Pandemic on Implied Stock Market Volatility: Evidence from Panel Data Analysis. (2020). Kenourgios, Dimitris ; Fassas, Athanasios ; Dimitriou, Dimitrios ; Papadamou, Stephanos. In: MPRA Paper. RePEc:pra:mprapa:100020.

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2020Prediction of Socio-Economic Indicators of the Megapolis Development on the Basis of the Intellectual Forecasting Information System “SHM Horizon”. (2020). Kitova, Olga ; Dyakonova, Ludmila ; Savinova, Victoria. In: MPRA Paper. RePEc:pra:mprapa:104234.

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2020Structural Change and Regional Economic Growth in Indonesia. (2020). Andriansyah, Andriansyah ; Rifai, Bakhtiar ; Nurwanda, Asep. In: MPRA Paper. RePEc:pra:mprapa:105177.

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2020Forecasting Realized Volatility of Bitcoin: The Role of the Trade War. (2020). GUPTA, RANGAN ; Pierdzioch, Christian ; Gkillas, Konstantinos ; Bouri, Elie. In: Working Papers. RePEc:pre:wpaper:202003.

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2020Investor Happiness and Predictability of the Realized Volatility of Oil Price. (2020). GUPTA, RANGAN ; Pierdzioch, Christian ; Gkillas, Konstantinos ; Bonato, Matteo. In: Working Papers. RePEc:pre:wpaper:202009.

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2020Forecasting Oil Volatility Using a GARCH-MIDAS Approach: The Role of Global Economic Conditions. (2020). Salisu, Afees ; GUPTA, RANGAN ; Bouri, Elie. In: Working Papers. RePEc:pre:wpaper:202051.

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2020High-Frequency Movements of the Term Structure of Interest Rates of the United States: The Role of Oil Market Uncertainty. (2020). Kyei, Clement ; GUPTA, RANGAN ; Subramaniam, Sowmya ; Bouri, Elie. In: Working Papers. RePEc:pre:wpaper:202085.

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2021Financial Vulnerability and Volatility in Emerging Stock Markets: Evidence from GARCH-MIDAS Models. (2021). Demirer, Riza ; Gupta, Rangan ; You, YU ; Li, HE. In: Working Papers. RePEc:pre:wpaper:202112.

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2020Electricity consumption forecasting for integrated power system with seasonal patterns. (2020). Redkina, Anastasiia ; Lozinskaia, Agata ; Shenkman, Evgeniia. In: Applied Econometrics. RePEc:ris:apltrx:0404.

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2020.

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2021Can the Baidu Index predict realized volatility in the Chinese stock market?. (2021). , Kaiyan ; Zhang, Wei ; Shen, Dehua ; Yan, Kai. In: Financial Innovation. RePEc:spr:fininn:v:7:y:2021:i:1:d:10.1186_s40854-020-00216-y.

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2020Steering interest rates amidst large structural surplus liquidity: a tale of three central banks. (2020). Raj, Janak ; John, Joice. In: Indian Economic Review. RePEc:spr:inecre:v:55:y:2020:i:1:d:10.1007_s41775-020-00084-4.

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2020The volatility spillover effects among risk appetite indexes: insight from the VIX and the rise. (2020). Alola, Andrew Adewale ; Skenderoglu, Omer ; Akdag, Saffet. In: Letters in Spatial and Resource Sciences. RePEc:spr:lsprsc:v:13:y:2020:i:1:d:10.1007_s12076-020-00244-3.

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2020The Impact of COVID-19 Pandemic on the Smooth Transition Dynamics of Broad-based Indices Volatilities in Taiwan. (2020). Su, Yi-Kai ; Chen, Chun-Ming ; Liu, Day-Yang. In: Journal of Applied Finance & Banking. RePEc:spt:apfiba:v:10:y:2020:i:5:f:10_5_14.

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2021Tail Heterogeneity for Dynamic Covariance-Matrix-Valued Random Variables: the F-Riesz Distribution. (2021). Lucas, Andr E ; Blasques, Francisco ; Rossini, Luca ; Opschoor, Anne. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20210010.

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2020Learning from Forecast Errors: A New Approach to Forecast Combination. (2020). Seregina, Ekaterina ; Lee, Tae-Hwy. In: Working Papers. RePEc:ucr:wpaper:202024.

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2020Global Cities and Local Challenges: Booms and Busts in the London Real Estate Market.. (2020). Zanetti Chini, Emilio ; Canepa, Alessandra ; Alqaralleh, Huthaifa. In: Department of Economics and Statistics Cognetti de Martiis. Working Papers. RePEc:uto:dipeco:202011.

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2020Evaluation of current research on stock return predictability. (2020). Guzmics, Sandor ; Zwatz, Christian ; Mangat, Manveer Kaur ; Reschenhofer, Erhard. In: Journal of Forecasting. RePEc:wly:jforec:v:39:y:2020:i:2:p:334-351.

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2020Cholesky–ANN models for predicting multivariate realized volatility. (2020). Bucci, Andrea. In: Journal of Forecasting. RePEc:wly:jforec:v:39:y:2020:i:6:p:865-876.

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2020Analysis of the relationship between LSTM network traffic flow prediction performance and statistical characteristics of standard and nonstandard data. (2020). Doan, Erdem. In: Journal of Forecasting. RePEc:wly:jforec:v:39:y:2020:i:8:p:1213-1228.

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2021Neural network structure identification in inflation forecasting. (2021). Arneri, Josip ; Estanovi, Tea. In: Journal of Forecasting. RePEc:wly:jforec:v:40:y:2021:i:1:p:62-79.

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2021VIX futures and its closed?form pricing through an affine GARCH model with realized variance. (2021). Wang, Zerong. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:1:p:135-156.

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2020Classification of monetary and fiscal dominance regimes using machine learning techniques. (2020). Hollmayr, Josef ; Hinterlang, Natascha. In: Discussion Papers. RePEc:zbw:bubdps:512020.

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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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article
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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paper
2012Lets Do It Again: Bagging Equity Premium Predictors In: CREATES Research Papers.
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paper0
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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paper0
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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article1
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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paper
2004Local Global Neural Networks: A New Approach for Nonlinear Time Series Modeling In: Journal of the American Statistical Association.
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article4
2003Local-global neural networks: a new approach for nonlinear time series modelling.(2003) In: Textos para discussão.
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paper
2011FORECASTING REALIZED VOLATILITY WITH LINEAR AND NONLINEAR UNIVARIATE MODELS In: Journal of Economic Surveys.
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article10
2010Forecasting Realized Volatility with Linear and Nonlinear Univariate Models.(2010) In: Working Papers in Economics.
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paper
2003Diagnostic Checking in a Flexible Nonlinear Time Series Model In: Journal of Time Series Analysis.
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article11
2001Diagnostic Checking in a Flexible Nonlinear Time Series Model.(2001) In: SSE/EFI Working Paper Series in Economics and Finance.
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paper
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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paper
2006Modeling and Forecasting the Volatility of Brazilian Asset Returns: a Realized Variance Approach In: Brazilian Review of Finance.
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article2
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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article
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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article
2011Modelling and Forecasting Noisy Realized Volatility.(2011) In: Econometric Institute Research Papers.
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paper
2011Modelling and Forecasting Noisy Realized Volatility.(2011) In: KIER Working Papers.
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paper
2009Modelling and Forecasting Noisy Realized Volatility.(2009) In: CIRJE F-Series.
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paper
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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paper
2010Asymmetry and Long Memory in Volatility Modelling.(2010) In: KIER Working Papers.
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paper
2012Asymmetry and Long Memory in Volatility Modeling.(2012) In: Journal of Financial Econometrics.
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article
2011Asymmetry and Long Memory in Volatility Modelling.(2011) In: Documentos de Trabajo del ICAE.
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paper
2009Asymmetry and Leverage in Realized Volatility In: CARF F-Series.
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paper1
2008Asymmetry and leverage in realized volatility.(2008) In: Econometric Institute Research Papers.
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paper
2009Asymmetry and Leverage in Realized Volatility.(2009) In: CIRJE F-Series.
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paper
2009Forecasting Realized Volatility with Linear and Nonlinear Models In: CARF F-Series.
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paper1
2009Forecasting Realized Volatility with Linear and Nonlinear Models.(2009) In: Econometric Institute Research Papers.
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paper
2010Forecasting Realized Volatility with Linear and Nonlinear Models.(2010) In: Textos para discussão.
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paper
2009Forecasting Realized Volatility with Linear and Nonlinear Models.(2009) In: CIRJE F-Series.
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paper
2009MODELING MULTIPLE REGIMES IN FINANCIAL VOLATILITY WITH A FLEXIBLE COEFFICIENT GARCH(1,1) MODEL In: Econometric Theory.
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article13
2008Tree-structured smooth transition regression models In: Computational Statistics & Data Analysis.
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article2
2016Forecasting macroeconomic variables in data-rich environments In: Economics Letters.
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article3
2016Instrument selection for estimation of a forward-looking Phillips Curve In: Economics Letters.
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2008A multiple regime smooth transition Heterogeneous Autoregressive model for long memory and asymmetries In: Journal of Econometrics.
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2007A multiple regime smooth transition heterogeneous autoregressive model for long memory and asymmetries.(2007) In: Textos para discussão.
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2008A neural network demand system with heteroskedastic errors In: Journal of Econometrics.
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article4
2008An alternative approach to estimating demand: Neural network regression with conditional volatility for high frequency air passenger arrivals In: Journal of Econometrics.
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article16
2011Moment-based estimation of smooth transition regression models with endogenous variables In: Journal of Econometrics.
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article14
2008Moment-bases estimation of smooth transition regression models with endogenous variables.(2008) In: Econometric Institute Research Papers.
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paper
2010Moment-based estimation of smooth transition regression models with endogenous variables.(2010) In: Textos para discussão.
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paper
2009Moment-Based Estimation of Smooth Transition Regression Models with Endogenous Variables.(2009) In: CIRJE F-Series.
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paper
2011Linear programming-based estimators in simple linear regression In: Journal of Econometrics.
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article4
2010Linear Programming-Based Estimators in Simple Linear Regression.(2010) In: Textos para discussão.
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paper
2016?1-regularization of high-dimensional time-series models with non-Gaussian and heteroskedastic errors In: Journal of Econometrics.
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article6
2005Linear models, smooth transition autoregressions, and neural networks for forecasting macroeconomic time series: A re-examination In: International Journal of Forecasting.
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article84
2004Linear models, smooth transition autoregressions, and neural networks for forecasting macroeconomic time series: A re-examination.(2004) In: SSE/EFI Working Paper Series in Economics and Finance.
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paper
2004Linear models, smooth transition autoregressions and neural networks for forecasting macroeconomic time series: A reexamination.(2004) In: Textos para discussão.
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paper
2005Reply In: International Journal of Forecasting.
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article0
2008Modeling and forecasting short-term electricity load: A comparison of methods with an application to Brazilian data In: International Journal of Forecasting.
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article47
2009Asymmetric effects and long memory in the volatility of Dow Jones stocks In: International Journal of Forecasting.
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article31
2006Asymmetric effects and long memory in the volatility of Dow Jones stocks.(2006) In: Textos para discussão.
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paper
2017Real-time inflation forecasting with high-dimensional models: The case of Brazil In: International Journal of Forecasting.
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article12
2014Modeling and predicting the CBOE market volatility index In: Journal of Banking & Finance.
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article83
2013Modeling and predicting the CBOE market volatility index.(2013) In: Textos para discussão.
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paper
2007Modeling and predicting the CBOE market volatility index.(2007) In: Textos para discussão.
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paper
2013A (semi-)parametric functional coefficient autoregressive conditional duration model In: Textos para discussão.
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paper2
2006A (semi-)parametric functional coefficient autoregressive conditional duration model.(2006) In: Textos para discussão.
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2017Arco: an artificial counterfactual approach for high-dimensional panel time-series data In: Textos para discussão.
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2016ARCO: an artificial counterfactual approach for high-dimensional panel time-series data.(2016) In: Textos para discussão.
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2017The perils of counterfactual analysis with integrated processes In: Textos para discussão.
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paper1
2016The perils of Counterfactual Analysis with Integrated Processes.(2016) In: Textos para discussão.
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2005Monetary Policy During Brazil´s Real Plan: Estimating the Central Bank´s Reaction Function In: Revista Brasileira de Economia - RBE.
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2001Monetary policy during Brazil´s Real Plan: estimating the Central Bank´s reaction function.(2001) In: Textos para discussão.
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paper
2000A Flexible Coefficient Smooth Transition Time Series Model In: SSE/EFI Working Paper Series in Economics and Finance.
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paper9
2000A Combinatorial Approach to Piecewise Linear Time Series Analysis In: SSE/EFI Working Paper Series in Economics and Finance.
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paper2
2002Building neural network models for time series: A statistical approach In: SSE/EFI Working Paper Series in Economics and Finance.
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2006Building neural network models for time series: a statistical approach.(2006) In: Journal of Forecasting.
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article
2002Building Neural Network Models for Time Series: A Statistical Approach.(2002) In: Textos para discussão.
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2014Price Discovery no Mercado de Câmbio Brasileiro: O Preço é Formado no Mercado à Vista ou Futuro? In: Discussion Papers.
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paper0
2016A Estabilidade da Desigualdade no Brasil entre 2006 e 2012: resultados adicionais In: Discussion Papers.
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paper1
2016O Impacto de Anúncios Econômicos no Mercado Futuro Brasileiro de Ações, Juros e Câmbio In: Discussion Papers.
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paper0
2016Desigualdades de gênero em tempo de trabalho pago e não pago no Brasil, 2013 In: Discussion Papers.
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2000Modelling exchange rates: smooth transitions, neural networks, and linear models In: Textos para discussão.
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2001Statistical methods for modelling neural networks In: Textos para discussão.
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paper0
2001What are the effects of forecasting linear time series with neural networks In: Textos para discussão.
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paper2
2002Evaluating the performance of GARCH models using White´s Reality Check In: Textos para discussão.
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paper2
2003Three-structured smooth transition regression models based on CART algorithm In: Textos para discussão.
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paper0
2003Formação de preços de commodities: padrões de vinculação dos preços internos ao externos In: Textos para discussão.
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paper2
2004Modelling multiple regimes in financial volatility with a flexible coefficient GARCH model In: Textos para discussão.
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paper2
2005Modelling and forecasting short-term electricity load: a two step methodology In: Textos para discussão.
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paper5
2006Modeling and forecasting the volatility of Brazilian asset returns In: Textos para discussão.
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2006Realized volatility: a review In: Textos para discussão.
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2008Realized Volatility: A Review.(2008) In: Econometric Reviews.
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2007ESTIMATION AND ASYMPTOTIC THEORY FOR A NEW CLASS OF MIXTURE MODELS In: Textos para discussão.
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2007Forecasting realized volatility models:the benefits of bagging and nonlinear specifications In: Textos para discussão.
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2010Linearity Testing Against a Fuzzy Rule-based Model In: Textos para discussão.
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2010Modeling and Forecasting Short-term Interest Rates: The Benefits of Smooth Regimes, Macroeconomic Variables, and Bagging In: Textos para discussão.
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2011Modeling and forecasting short‐term interest rates: The benefits of smooth regimes, macroeconomic variables, and bagging.(2011) In: Journal of Applied Econometrics.
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2010Nonlinear Cointegration, Misspecification and Bimodality In: Textos para discussão.
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2010Asymmetries, breaks, and long-range dependence: An estimation framework for daily realized volatility In: Textos para discussão.
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2014Price Discovery in Brazilian FX Markets In: Textos para discussão.
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2015Price Discovery in Brazilian FX Markets.(2015) In: Brazilian Review of Econometrics.
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2014The impact of macroeconomic announcements in the Brazilian futures markets In: Textos para discussão.
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2015l1-Regularization of High-Dimensional Time-Series Models with Flexible Innovations In: Textos para discussão.
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2015Adaptative LASSO estimation for ARDL models with GARCH innovations In: Textos para discussão.
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2017Adaptive LASSO estimation for ARDL models with GARCH innovations.(2017) In: Econometric Reviews.
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2005Evaluating the Forecasting Performance of GARCH Models Using White’s Reality Check In: Brazilian Review of Econometrics.
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2007In?ation Dynamics in Brazil: The Case of a Small Open Economy In: Brazilian Review of Econometrics.
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2013Nonlinear Error Correction Models With an Application to Commodity Prices In: Brazilian Review of Econometrics.
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2015Unobserved Heterogeneity in Regression Models: A Semiparametric Approach Based on Nonlinear Sieves In: Brazilian Review of Econometrics.
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2016The High Frequency Impact of Macroeconomic Announcements in the Brazilian Futures Markets In: Brazilian Review of Econometrics.
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2016Forecasting Brazilian Inflation with High-Dimensional Models In: Brazilian Review of Econometrics.
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2002Currency Risk in Brazil under Two Different Exchange Rate Regimes In: Computing in Economics and Finance 2002.
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2002Are There Multiple Regimes in Financial Volatility? In: Computing in Economics and Finance 2002.
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2010The Link Between Statistical Learning Theory and Econometrics: Applications in Economics, Finance, and Marketing In: Econometric Reviews.
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2010The Benefits of Bagging for Forecast Models of Realized Volatility In: Econometric Reviews.
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2016A (Semi)Parametric Functional Coefficient Logarithmic Autoregressive Conditional Duration Model In: Econometric Reviews.
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2016Model Selection and Shrinkage: An Overview In: Econometric Reviews.
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2013Bagging Constrained Equity Premium Predictors In: Working Papers.
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2008Smooth Regimes, Macroeconomic Variables, and Bagging for the Short-Term Interest Rate Process In: University of St. Gallen Department of Economics working paper series 2008.
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2017Modeling and Forecasting Large Realized Covariance Matrices and Portfolio Choice In: Journal of Applied Econometrics.
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