Marcelo C. Medeiros : Citation Profile

Are you Marcelo C. Medeiros?

University of Illinois at Urbana-Champaign

17

H index

25

i10 index

1254

Citations

RESEARCH PRODUCTION:

57

Articles

91

Papers

2

Chapters

RESEARCH ACTIVITY:

   23 years (2000 - 2023). See details.
   Cites by year: 54
   Journals where Marcelo C. Medeiros has often published
   Relations with other researchers
   Recent citing documents: 189.    Total self citations: 74 (5.57 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pme53
   Updated: 2023-11-04    RAS profile: 2023-10-07    
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Relations with other researchers

Works with:

Fan, Jianqing (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:

GUPTA, RANGAN (53)

Asai, Manabu (26)

Degiannakis, Stavros (23)

Chang, Chia-Lin (22)

Santucci de Magistris, Paolo (21)

Allen, David (20)

Audrino, Francesco (16)

Filis, George (15)

Claveria, Oscar (14)

Demirer, Riza (14)

Caporin, Massimiliano (13)

Cites to:

Bollerslev, Tim (113)

Teräsvirta, Timo (67)

Andersen, Torben (66)

Diebold, Francis (59)

Engle, Robert (32)

Shephard, Neil (30)

Hansen, Peter (28)

Lunde, Asger (25)

van Dijk, Dick (24)

Fan, Jianqing (21)

Bai, Jushan (20)

Main data

Where Marcelo C. Medeiros has published?

Journals with more than one article published# docs
Journal of Econometrics8
Econometric Reviews7
International Journal of Forecasting6
Brazilian Review of Econometrics6
Journal of Business & Economic Statistics4
Brazilian Review of Finance4
Economia2
Economics Letters2
Computational Statistics & Data Analysis2
Journal of Economic Surveys2
Journal of the American Statistical Association2
Journal of Time Series Analysis2
Journal of Applied Econometrics2

Working Papers Series with more than one paper published# docs
Textos para discussão / Department of Economics PUC-Rio (Brazil)36
Papers / arXiv.org14
Econometric Institute Research Papers / Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute6
SSE/EFI Working Paper Series in Economics and Finance / Stockholm School of Economics5
CIRJE F-Series / CIRJE, Faculty of Economics, University of Tokyo4
Textos para discussão / FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil)4
KIER Working Papers / Kyoto University, Institute of Economic Research2
Discussion Papers / Instituto de Pesquisa Econômica Aplicada - IPEA2
Computing in Economics and Finance 2002 / Society for Computational Economics2
CARF F-Series / Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo2

Recent works citing Marcelo C. Medeiros (2023 and 2022)

YearTitle of citing document
2022Normative analysis of the impact of Covid-19 on prominent sectors of Indian economy by using ARCH Model. (2022). Suchitra, S ; Rangappa, K B ; Chetan, G K. In: Theoretical and Applied Economics. RePEc:agr:journl:v:2(631):y:2022:i:2(631):p:151-164.

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2023.

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2022Practical 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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2022Large 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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2022Dimension Reduction for High Dimensional Vector Autoregressive Models. (2020). Hecq, Alain ; Cubadda, Gianluca. In: Papers. RePEc:arx:papers:2009.03361.

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2022Predicting Disaggregated CPI Inflation Components via Hierarchical Recurrent Neural Networks. (2020). Caspi, Itamar ; Barkan, Oren ; Koenigstein, Noam ; Hammer, Allon. In: Papers. RePEc:arx:papers:2011.07920.

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2022Hierarchical Regularizers for Mixed-Frequency Vector Autoregressions. (2021). Hecq, Alain ; Wilms, Ines ; Ternes, Marie. In: Papers. RePEc:arx:papers:2102.11780.

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2023Predicting Inflation with Neural Networks. (2021). Paranhos, Livia. In: Papers. RePEc:arx:papers:2104.03757.

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2023Bitcoin Volatility and Intrinsic Time Using Double Subordinated Levy Processes. (2021). Rachev, Svetlozar T ; Lindquist, Brent W ; Mittnik, Stefan ; Shirvani, Abootaleb. In: Papers. RePEc:arx:papers:2109.15051.

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2023Testing for long-range dependence in non-stationary time series time-varying regression. (2021). Wu, Weichi ; Bai, Lujia. In: Papers. RePEc:arx:papers:2110.08089.

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2022Dynamic Factor Models with Sparse VAR Idiosyncratic Components. (2021). Margaritella, Luca ; Krampe, Jonas. In: Papers. RePEc:arx:papers:2112.07149.

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2022Deep Learning Macroeconomics. (2022). , Rafael ; Rafael, . In: Papers. RePEc:arx:papers:2201.13380.

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2022Adaptive information-based methods for determining the co-integration rank in heteroskedastic VAR models. (2022). Taylor, Robert ; De Angelis, Luca ; Cavaliere, Giuseppe ; Boswijk, Peter H. In: Papers. RePEc:arx:papers:2202.02532.

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2022A Neural Phillips Curve and a Deep Output Gap. (2022). Coulombe, Philippe Goulet. In: Papers. RePEc:arx:papers:2202.04146.

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2022Managers versus Machines: Do Algorithms Replicate Human Intuition in Credit Ratings?. (2022). Harding, Matthew. In: Papers. RePEc:arx:papers:2202.04218.

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2022scpi: Uncertainty Quantification for Synthetic Control Estimators. (2022). Cattaneo, Matias D ; Titiunik, Rocio ; Palomba, Filippo ; Feng, Yingjie. In: Papers. RePEc:arx:papers:2202.05984.

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2023Distributional Counterfactual Analysis in High-Dimensional Setup. (2022). Masini, Ricardo . In: Papers. RePEc:arx:papers:2202.11671.

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2022Confidence Intervals of Treatment Effects in Panel Data Models with Interactive Fixed Effects. (2022). Li, Xingyu ; Zhou, Qiankun ; Shen, Yan. In: Papers. RePEc:arx:papers:2202.12078.

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2022Forecasting US Inflation Using Bayesian Nonparametric Models. (2022). Marcellino, Massimiliano ; Koop, Gary ; Huber, Florian ; Clark, Todd. In: Papers. RePEc:arx:papers:2202.13793.

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2022A Volatility Estimator of Stock Market Indices Based on the Intrinsic Entropy Model. (2022). Furtuna, Titus Felix ; Ausloos, Marcel ; Vinte, Claudiu. In: Papers. RePEc:arx:papers:2205.01370.

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2022Same Root Different Leaves: Time Series and Cross-Sectional Methods in Panel Data. (2022). Yu, Bin ; Sekhon, Jasjeet ; Ding, Peng ; Shen, Dennis. In: Papers. RePEc:arx:papers:2207.14481.

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2022Quantifying the Role of Interest Rates, the Dollar and Covid in Oil Prices. (2022). Kohlscheen, Emanuel. In: Papers. RePEc:arx:papers:2208.14254.

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2023What does machine learning say about the drivers of inflation?. (2022). Kohlscheen, Emanuel. In: Papers. RePEc:arx:papers:2208.14653.

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2023Local Projection Inference in High Dimensions. (2022). Wilms, Ines ; Smeekes, Stephan ; Adamek, Robert. In: Papers. RePEc:arx:papers:2209.03218.

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2022Causal Effect Estimation with Global Probabilistic Forecasting: A Case Study of the Impact of Covid-19 Lockdowns on Energy Demand. (2022). Bergmeir, Christoph ; Weng, Angela Dieyu ; Grecov, Priscila ; Prasanna, Ankitha Nandipura. In: Papers. RePEc:arx:papers:2209.08885.

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2022The boosted HP filter is more general than you might think. (2022). Shi, Zhentao ; PEter, ; Mei, Ziwei. In: Papers. RePEc:arx:papers:2209.09810.

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2023Cross-Sectional Dynamics Under Network Structure: Theory and Macroeconomic Applications. (2022). Mlikota, Marko. In: Papers. RePEc:arx:papers:2211.13610.

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2022On LASSO for High Dimensional Predictive Regression. (2022). Shi, Zhentao ; Mei, Ziwei. In: Papers. RePEc:arx:papers:2212.07052.

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2022Methods in Econophysics: Estimating the Probability Density and Volatility. (2022). Alghalith, Moawia. In: Papers. RePEc:arx:papers:2301.10178.

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2023Sparse High-Dimensional Vector Autoregressive Bootstrap. (2023). Wilms, Ines ; Smeekes, Stephan ; Adamek, Robert. In: Papers. RePEc:arx:papers:2302.01233.

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2023Inference in Non-stationary High-Dimensional VARs. (2023). Smeekes, Stephan ; Margaritella, Luca. In: Papers. RePEc:arx:papers:2302.01434.

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2023Optimal probabilistic forecasts for risk management. (2023). Martin, Gael M ; Loaiza-Maya, Ruben ; Maneesoonthorn, Worapree ; Sun, Yuru. In: Papers. RePEc:arx:papers:2303.01651.

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2023Statistical Estimation for Covariance Structures with Tail Estimates using Nodewise Quantile Predictive Regression Models. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2305.11282.

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2023Volatility jumps and the classification of monetary policy announcements. (2023). Gallo, Giampiero ; Otranto, Edoardo ; Lacava, Demetrio. In: Papers. RePEc:arx:papers:2305.12192.

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2023Generalized Autoregressive Score Trees and Forests. (2023). Simsek, Yasin ; Patton, Andrew J. In: Papers. RePEc:arx:papers:2305.18991.

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2023Graph Neural Networks for Forecasting Multivariate Realized Volatility with Spillover Effects. (2023). Dong, Xiaowen ; Cucuringu, Mihai ; Pu, Xingyue ; Zhang, Chao. In: Papers. RePEc:arx:papers:2308.01419.

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2023Econometrics of Machine Learning Methods in Economic Forecasting. (2023). Striaukas, Jonas ; Ghysels, Eric ; Babii, Andrii. In: Papers. RePEc:arx:papers:2308.10993.

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2023High Dimensional Time Series Regression Models: Applications to Statistical Learning Methods. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2308.16192.

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2022.

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2022Machine Learning Methods for Inflation Forecasting in Brazil: new contenders versus classical models. (2022). Gaglianone, Wagner ; Araujo, Gustavo Silva. In: Working Papers Series. RePEc:bcb:wpaper:561.

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2022Quantifying the role of interest rates, the Dollar and Covid in oil prices. (2022). Kohlscheen, Emanuel. In: BIS Working Papers. RePEc:bis:biswps:1040.

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2022FX Intervention to Stabilize or Manipulate the Exchange Rate? Inference from Profitability. (2022). Sandri, Damiano. In: BIS Working Papers. RePEc:bis:biswps:1059.

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2023A pulse check on recent developments in time series econometrics. (2023). Chan, Felix ; Oxley, Les. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:37:y:2023:i:1:p:3-6.

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2023Synthetic Control Method: A tool for comparative case studies in economic history. (2023). Spruk, Rok ; Garoupa, Nuno ; Emery, Thomas ; Gilchrist, David. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:37:y:2023:i:2:p:409-445.

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2023Exploring Okuns law asymmetry: An endogenous threshold logistic smooth transition regression approach. (2023). McAdam, Peter ; Tzavalis, Elias ; Christopoulos, Dimitris. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:85:y:2023:i:1:p:123-158.

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2022Forecasting UK inflation bottom up. (2021). Potjagailo, Galina ; Kapetanios, George ; Kalamara, Eleni ; Joseph, Andreas. In: Bank of England working papers. RePEc:boe:boeewp:0915.

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2022Central bank swap lines: micro-level evidence. (2022). Wang, Junxuan ; Viswanath-Natraj, Ganesh ; Mueller, Philippe ; Ferrara, Gerardo. In: Bank of England working papers. RePEc:boe:boeewp:0977.

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2022An interpretable machine learning workflow with an application to economic forecasting. (2022). Joseph, Andreas ; Buckmann, Marcus. In: Bank of England working papers. RePEc:boe:boeewp:0984.

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2022Constructing GDP Nowcasting Models Using Alternative Data. (2022). Nakazawa, Takashi. In: Bank of Japan Working Paper Series. RePEc:boj:bojwps:wp22e09.

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2022Exponential High-Frequency-Based-Volatility (EHEAVY) Models. (2022). Xu, Yongdeng. In: Cardiff Economics Working Papers. RePEc:cdf:wpaper:2022/5.

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2023Regional Economic Impacts of the Øresund Cross-Border Fixed Link: Cui Bono?. (2023). Funke, Michael ; Tasane, Helery ; Mannasoo, Kadri. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10557.

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2023Volatility jumps and the classification of monetary policy announcements. (2023). Gallo, Giampiero ; Otranto, E ; Lacava, D. In: Working Paper CRENoS. RePEc:cns:cnscwp:202306.

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2022‘When a Stranger Shall Sojourn with Thee: The Impact of the Venezuelan Exodus on Colombian Labor Markets. (2022). Santamaria, J. In: Documentos de trabajo - Alianza EFI. RePEc:col:000561:020046.

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2022The boosted HP filter is more general than you might think. (2022). , Peter ; PEter, ; Shi, Zhentao ; Mei, Ziwei. In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:2348.

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2022Nowcasting GDP using machine learning methods. (2022). Kant, Dennis ; Pick, Andreas ; de Winter, Jasper. In: Working Papers. RePEc:dnb:dnbwpp:754.

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2023Density forecasts of inflation: a quantile regression forest approach. (2023). Paredes, Joan ; Moutachaker, Ines ; Lenza, Michele. In: Working Paper Series. RePEc:ecb:ecbwps:20232830.

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2023Short- and long-term forecasting for building energy consumption considering IPMVP recommendations, WEO and COP27 scenarios. (2023). Rodrigues, Rafael Nilson ; Cordeiro, Pedro Cesar ; Orsi, Gustavo Cardoso ; Luiz, Vinicius Viana ; Avila, Sergio Luciano ; Dos, Deilson Martins ; Santos, Greicili Dos. In: Applied Energy. RePEc:eee:appene:v:339:y:2023:i:c:s0306261923003446.

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2022Empirical study and model simulation of global stock market dynamics during COVID-19. (2022). Li, Jiangcheng ; Jiang, Xiongfei ; Xiong, Long ; Zhang, Jiu ; Ma, Jiahao ; Zheng, BO ; Jin, Lifu. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:159:y:2022:i:c:s0960077922003484.

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2022A neural network ensemble approach for GDP forecasting. (2022). Rungi, Armando ; Riccaboni, Massimo ; Longo, Luigi. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:134:y:2022:i:c:s016518892100213x.

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2022Asymmetric multivariate HAR models for realized covariance matrix: A study based on volatility timing strategies. (2022). Zhang, YI ; Qu, Hui. In: Economic Modelling. RePEc:eee:ecmode:v:106:y:2022:i:c:s0264999321002881.

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2023Nowcasting Chinese GDP in a data-rich environment: Lessons from machine learning algorithms. (2023). Xu, Hao ; Ni, HE ; Zhang, Qin. In: Economic Modelling. RePEc:eee:ecmode:v:122:y:2023:i:c:s0264999323000160.

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2023The role of uncertainty in forecasting volatility comovements across stock markets. (2023). Palomba, Giulio ; Rossi, Eduardo ; Bucci, Andrea. In: Economic Modelling. RePEc:eee:ecmode:v:125:y:2023:i:c:s0264999323001219.

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2022The impact of VIX on China’s financial market: A new perspective based on high-dimensional and time-varying methods. (2022). Sun, Yan-Lin ; Chen, Bin-Xia. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:63:y:2022:i:c:s1062940822001668.

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2022Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers. (2022). Chang, Chia-Lin ; Asai, Manabu ; McAleer, Michael. In: Journal of Econometrics. RePEc:eee:econom:v:227:y:2022:i:1:p:285-304.

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2022An explainable attention network for fraud detection in claims management. (2022). Spindler, Martin ; Low, Leander ; Farbmacher, Helmut. In: Journal of Econometrics. RePEc:eee:econom:v:228:y:2022:i:2:p:244-258.

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2023Structural inference in sparse high-dimensional vector autoregressions. (2023). Trenkler, C ; Paparoditis, E ; Krampe, J. In: Journal of Econometrics. RePEc:eee:econom:v:234:y:2023:i:1:p:276-300.

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2023Forward-selected panel data approach for program evaluation. (2023). Huang, Jingyi ; Shi, Zhentao. In: Journal of Econometrics. RePEc:eee:econom:v:234:y:2023:i:2:p:512-535.

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2023Synthetic Learner: Model-free inference on treatments over time. (2023). Bradic, Jelena ; Viviano, Davide. In: Journal of Econometrics. RePEc:eee:econom:v:234:y:2023:i:2:p:691-713.

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2023Modeling realized covariance measures with heterogeneous liquidity: A generalized matrix-variate Wishart state-space model. (2023). Hartkopf, Jan Patrick ; Gribisch, Bastian. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:1:p:43-64.

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2023Unrestricted maximum likelihood estimation of multivariate realized volatility models. (2023). Golosnoy, Vasyl ; Vogler, Jan. In: European Journal of Operational Research. RePEc:eee:ejores:v:304:y:2023:i:3:p:1063-1074.

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2022Forecasting oil and gold volatilities with sentiment indicators under structural breaks. (2022). GUPTA, RANGAN ; Demirer, Riza ; Ji, Qiang ; Luo, Jiawen. In: Energy Economics. RePEc:eee:eneeco:v:105:y:2022:i:c:s014098832100596x.

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2022Global financial cycle and the predictability of oil market volatility: Evidence from a GARCH-MIDAS model. (2022). Salisu, Afees ; GUPTA, RANGAN ; Demirer, Riza. In: Energy Economics. RePEc:eee:eneeco:v:108:y:2022:i:c:s0140988322001128.

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2022Green bonds and implied volatilities: Dynamic causality, spillovers, and implications for portfolio management. (2022). Do, Hung Xuan ; Pham, Linh. In: Energy Economics. RePEc:eee:eneeco:v:112:y:2022:i:c:s0140988322002651.

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2022Quantile risk spillovers between energy and agricultural commodity markets: Evidence from pre and during COVID-19 outbreak. (2022). Lee, Chien-Chiang ; Adewuyi, Adeolu O ; Aikins, Emmanuel Joel ; Tiwari, Aviral Kumar. In: Energy Economics. RePEc:eee:eneeco:v:113:y:2022:i:c:s0140988322003796.

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2022Analysis of time series models for Brazilian electricity demand forecasting. (2022). Castro, Victor F ; Zocatelli, Matheus ; Velasquez, Carlos E. In: Energy. RePEc:eee:energy:v:247:y:2022:i:c:s0360544222003863.

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2022Do heterogeneous oil price shocks really have different effects on earnings management?. (2022). Lin, Boqiang ; Wu, Nan. In: International Review of Financial Analysis. RePEc:eee:finana:v:79:y:2022:i:c:s1057521921003203.

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2023Forecasting global stock market volatilities in an uncertain world. (2023). Zhang, Ting ; Wang, Gang-Jin ; Zeng, Zhi-Jian ; Xie, Chi ; Li, Zhao-Chen. In: International Review of Financial Analysis. RePEc:eee:finana:v:85:y:2023:i:c:s1057521922004136.

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2023Risk appetite and option prices: Evidence from the Chinese SSE50 options market. (2023). Sui, Cong ; Wang, Shouyang ; Liu, Qing. In: International Review of Financial Analysis. RePEc:eee:finana:v:86:y:2023:i:c:s1057521923000571.

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2022A grey-based correlation with multi-scale analysis: S&P 500 VIX and individual VIXs of large US company stocks. (2022). Wang, Zhenkun ; Hussain, Syed Jawad ; Ferreira, Paulo ; Bouri, Elie ; Ferrer, Roman. In: Finance Research Letters. RePEc:eee:finlet:v:48:y:2022:i:c:s154461232200157x.

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2022Determinants of cryptocurrency returns: A LASSO quantile regression approach. (2022). Yarovaya, Larisa ; Lucey, Brian ; Ciner, Cetin. In: Finance Research Letters. RePEc:eee:finlet:v:49:y:2022:i:c:s1544612322002380.

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2023A three-factor stochastic model for forecasting production of energy materials. (2023). Orlando, Giuseppe ; Bufalo, Michele. In: Finance Research Letters. RePEc:eee:finlet:v:51:y:2023:i:c:s1544612322005347.

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2023Forecast Targeting and Financial Stability: Evidence from the European Central Bank and Bank of England. (2023). Murgia, Lucia Milena ; Curi, Claudia. In: Finance Research Letters. RePEc:eee:finlet:v:51:y:2023:i:c:s1544612322006626.

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2023Climate risks and realized volatility of major commodity currency exchange rates. (2023). GUPTA, RANGAN ; Pierdzioch, Christian ; Cepni, Oguzhan ; Bonato, Matteo. In: Journal of Financial Markets. RePEc:eee:finmar:v:62:y:2023:i:c:s1386418122000519.

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2023Discovering the drivers of stock market volatility in a data-rich world. (2023). Ryu, Doojin ; Cho, Hoon ; Chun, Dohyun. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:82:y:2023:i:c:s1042443122001561.

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2022Forecasting realized volatility of agricultural commodity futures with infinite Hidden Markov HAR models. (2022). Hou, Chenghan ; Ji, Qiang ; Klein, Tony ; Luo, Jiawen. In: International Journal of Forecasting. RePEc:eee:intfor:v:38:y:2022:i:1:p:51-73.

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2022Forecasting: theory and practice. (2022). Shang, Han Lin ; Rubaszek, Michał ; Martinez, Andrew ; Grossi, Luigi ; Franses, Philip Hans ; Fiszeder, Piotr ; Clements, Michael ; Castle, Jennifer ; Carnevale, Claudio ; Kolassa, Stephan ; Thorarinsdottir, Thordis ; Guo, Xiaojia ; Reade, James J ; Petropoulos, Fotios ; Nikolopoulos, Konstantinos ; Koehler, Anne B ; Thomakos, Dimitrios ; Browell, Jethro ; Rapach, David E ; Modis, Theodore ; Kang, Yanfei ; Tashman, Len ; Boylan, John E ; Gunter, Ulrich ; Ramos, Patricia ; Ellison, Joanne ; Meeran, Sheik ; Richmond, Victor ; Talagala, Thiyanga S ; Bijak, Jakub ; Guidolin, Massimo ; Pinson, Pierre ; Dokumentov, Alexander ; Jeon, Jooyoung ; Bessa, Ricardo J ; Pedregal, Diego J ; de Baets, Shari ; Ziel, Florian ; Syntetos, Aris A ; Bergmeir, Christoph
2023Nowcasting food inflation with a massive amount of online prices. (2023). Szafranek, Karol ; Stelmasiak, Damian ; Macias, Pawe. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:2:p:809-826.

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2023Targeting predictors in random forest regression. (2023). Nielsen, Mikkel Slot ; Muhlbach, Nicolaj Sondergaard ; Christensen, Bent Jesper ; Borup, Daniel. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:2:p:841-868.

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2023Real-time inflation forecasting using non-linear dimension reduction techniques. (2023). Huber, Florian ; Klieber, Karin ; Hauzenberger, Niko. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:2:p:901-921.

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2022A geometric framework for covariance dynamics. (2022). Park, Frank C ; Han, Chulwoo. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:134:y:2022:i:c:s0378426621002703.

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2022Modeling and forecasting realized portfolio weights. (2022). Gribisch, Bastian ; Golosnoy, Vasyl. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:138:y:2022:i:c:s0378426622000048.

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2022Oil price volatility forecasts: What do investors need to know?. (2022). Filis, George ; Degiannakis, Stavros. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:123:y:2022:i:c:s026156062100245x.

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2022Classification of monetary and fiscal dominance regimes using machine learning techniques. (2022). Hollmayr, Josef ; Hinterlang, Natascha. In: Journal of Macroeconomics. RePEc:eee:jmacro:v:74:y:2022:i:c:s0164070422000623.

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2022Forecasting output growth of advanced economies over eight centuries: The role of gold market volatility as a proxy of global uncertainty. (2022). Salisu, Afees ; GUPTA, RANGAN ; Das, Sonali ; Karmakar, Sayar. In: Resources Policy. RePEc:eee:jrpoli:v:75:y:2022:i:c:s0301420721005341.

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2022Climate risks and forecastability of the realized volatility of gold and other metal prices. (2022). Pierdzioch, Christian ; GUPTA, RANGAN. In: Resources Policy. RePEc:eee:jrpoli:v:77:y:2022:i:c:s0301420722001295.

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2022Economic impact of crude oil supply disruption on social welfare losses and strategic petroleum reserves. (2022). Iqbal, Sajid ; Saydaliev, Hayot Berk ; Liu, Zhen ; Yang, Yang. In: Resources Policy. RePEc:eee:jrpoli:v:77:y:2022:i:c:s0301420722001374.

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2022Value-at-Risk forecasting: A hybrid ensemble learning GARCH-LSTM based approach. (2022). Jain, Ishan ; Kakade, Kshitij ; Mishra, Aswini Kumar. In: Resources Policy. RePEc:eee:jrpoli:v:78:y:2022:i:c:s0301420722003476.

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More than 100 citations found, this list is not complete...

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.
[Full Text][Citation analysis]		paper18
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.
[Full Text][Citation analysis]		article2
2020BooST: Boosting Smooth Trees for Partial Effect Estimation in Nonlinear Regressions In: Papers.
[Full Text][Citation analysis]		paper0
2021Regularized Estimation of High-Dimensional Vector AutoRegressions with Weakly Dependent Innovations In: Papers.
[Full Text][Citation analysis]		paper5
2022Regularized estimation of high?dimensional vector autoregressions with weakly dependent innovations.(2022) In: Journal of Time Series Analysis.
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2022Sharpe Ratio Analysis in High Dimensions: Residual-Based Nodewise Regression in Factor Models In: Papers.
[Full Text][Citation analysis]		paper3
2023Sharpe Ratio analysis in high dimensions: Residual-based nodewise regression in factor models.(2023) In: Journal of Econometrics.
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2021Short-Term Covid-19 Forecast for Latecomers In: Papers.
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2021Online Action Learning in High Dimensions: A Conservative Perspective In: Papers.
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2022Do We Exploit all Information for Counterfactual Analysis? Benefits of Factor Models and Idiosyncratic Correction In: Papers.
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2022Do We Exploit all Information for Counterfactual Analysis? Benefits of Factor Models and Idiosyncratic Correction.(2022) In: Journal of the American Statistical Association.
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2021Machine Learning Advances for Time Series Forecasting In: Papers.
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2023Machine learning advances for time series forecasting.(2023) In: Journal of Economic Surveys.
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2022Bridging factor and sparse models In: Papers.
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2021The Proper Use of Google Trends in Forecasting Models In: Papers.
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2021The Impacts of Mobility on Covid-19 Dynamics: Using Soft and Hard Data In: Papers.
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2021Modeling and Forecasting Intraday Market Returns: a Machine Learning Approach In: Papers.
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2023Forecasting Large Realized Covariance Matrices: The Benefits of Factor Models and Shrinkage In: Papers.
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2023Forecasting inflation using disaggregates and machine learning In: Papers.
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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.
[Full Text][Citation analysis]		article0
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.
[Full Text][Citation analysis]		article3
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.
[Full Text][Citation analysis]		paper25
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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2010Asymmetry and Long Memory in Volatility Modelling In: Working Papers in Economics.
[Full Text][Citation analysis]		paper49
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: The Journal of Financial Econometrics.
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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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2009Forecasting Realized Volatility with Linear and Nonlinear Models In: CARF F-Series.
[Full Text][Citation analysis]		paper1
2009Forecasting Realized Volatility with Linear and Nonlinear Models.(2009) In: Econometric Institute Research Papers.
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2010Forecasting Realized Volatility with Linear and Nonlinear Models.(2010) In: Textos para discussão.
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2009Forecasting Realized Volatility with Linear and Nonlinear Models.(2009) In: CIRJE F-Series.
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2009MODELING MULTIPLE REGIMES IN FINANCIAL VOLATILITY WITH A FLEXIBLE COEFFICIENT GARCH(1,1) MODEL In: Econometric Theory.
[Full Text][Citation analysis]		article19
2008Tree-structured smooth transition regression models In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]		article3
2016Forecasting macroeconomic variables in data-rich environments In: Economics Letters.
[Full Text][Citation analysis]		article3
2016Instrument selection for estimation of a forward-looking Phillips Curve In: Economics Letters.
[Full Text][Citation analysis]		article1
2008A multiple regime smooth transition Heterogeneous Autoregressive model for long memory and asymmetries In: Journal of Econometrics.
[Full Text][Citation analysis]		article108
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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2008An alternative approach to estimating demand: Neural network regression with conditional volatility for high frequency air passenger arrivals In: Journal of Econometrics.
[Full Text][Citation analysis]		article21
2011Moment-based estimation of smooth transition regression models with endogenous variables In: Journal of Econometrics.
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2008Moment-bases estimation of smooth transition regression models with endogenous variables.(2008) In: Econometric Institute Research Papers.
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2010Moment-based estimation of smooth transition regression models with endogenous variables.(2010) In: Textos para discussão.
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2009Moment-Based Estimation of Smooth Transition Regression Models with Endogenous Variables.(2009) In: CIRJE F-Series.
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2011Linear programming-based estimators in simple linear regression In: Journal of Econometrics.
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2010Linear Programming-Based Estimators in Simple Linear Regression.(2010) In: Textos para discussão.
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2018ArCo: An artificial counterfactual approach for high-dimensional panel time-series data In: Journal of Econometrics.
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2017Arco: an artificial counterfactual approach for high-dimensional panel time-series data.(2017) 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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2022From zero to hero: Realized partial (co)variances In: Journal of Econometrics.
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2022Jumps in stock prices: New insights from old data In: Journal of Financial Markets.
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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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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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2004Linear models, smooth transition autoregressions and neural networks for forecasting macroeconomic time series: A reexamination.(2004) In: Textos para discussão.
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2005Reply In: International Journal of Forecasting.
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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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2009Asymmetric effects and long memory in the volatility of Dow Jones stocks In: International Journal of Forecasting.
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2006Asymmetric effects and long memory in the volatility of Dow Jones stocks.(2006) In: Textos para discussão.
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2017Real-time inflation forecasting with high-dimensional models: The case of Brazil In: International Journal of Forecasting.
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2014Modeling and predicting the CBOE market volatility index In: Journal of Banking & Finance.
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2013Modeling and predicting the CBOE market volatility index.(2013) In: Textos para discussão.
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2007Modeling and predicting the CBOE market volatility index.(2007) In: Textos para discussão.
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2013A (semi-)parametric functional coefficient autoregressive conditional duration model In: Textos para discussão.
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2006A (semi-)parametric functional coefficient autoregressive conditional duration model.(2006) In: Textos para discussão.
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2017The perils of counterfactual analysis with integrated processes In: Textos para discussão.
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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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2000A Flexible Coefficient Smooth Transition Time Series Model In: SSE/EFI Working Paper Series in Economics and Finance.
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2000A Combinatorial Approach to Piecewise Linear Time Series Analysis In: SSE/EFI Working Paper Series in Economics and Finance.
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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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2002Building Neural Network Models for Time Series: A Statistical Approach.(2002) In: Textos para discussão.
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2016O Impacto de Anúncios Econômicos no Mercado Futuro Brasileiro de Ações, Juros e Câmbio 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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2003Three-structured smooth transition regression models based on CART algorithm In: Textos para discussão.
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2003Formação de preços de commodities: padrões de vinculação dos preços internos ao externos In: Textos para discussão.
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2004Modelling multiple regimes in financial volatility with a flexible coefficient GARCH model In: Textos para discussão.
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2005Modelling and forecasting short-term electricity load: a two step methodology In: Textos para discussão.
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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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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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2022Forecasting with Machine Learning Methods In: Advanced Studies in Theoretical and Applied Econometrics.
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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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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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