Details about Marcelo C. Medeiros

Access statistics for papers by Marcelo C. Medeiros.

Last updated 2009-03-23. Update your information in the RePEc Author Service.

Short-id: pme53

Working Papers

2008

1. Asymmetry and leverage in realized volatility
   Econometric Institute Report, Erasmus University Rotterdam, Econometric Institute
2. Moment-bases estimation of smooth transition regression models with endogenous variables
   Econometric Institute Report, Erasmus University Rotterdam, Econometric Institute
3. Smooth Regimes, Macroeconomic Variables, and Bagging for the Short-Term Interest Rate Process
   University of St. Gallen Department of Economics working paper series 2008, Department of Economics, University of St. Gallen

2007

4. A multiple regime smooth transition heterogeneous autoregressive model for long memory and asymmetries
   Textos para discussão, Department of Economics PUC-Rio (Brazil) View citations
   See also Journal Article in Journal of Econometrics (2008)
5. ESTIMATION AND ASYMPTOTIC THEORY FOR A NEW CLASS OF MIXTURE MODELS
   Textos para discussão, Department of Economics PUC-Rio (Brazil)
6. Forecasting realized volatility models:the benefits of bagging and nonlinear specifications
   Textos para discussão, Department of Economics PUC-Rio (Brazil) View citations
7. Modeling and predicting the CBOE market volatility index
   Textos para discussão, Department of Economics PUC-Rio (Brazil)

2006

8. A (semi-)parametric functional coefficient autoregressive conditional duration model
   Textos para discussão, Department of Economics PUC-Rio (Brazil) View citations
9. Asymmetric effects and long memory in the volatility of Dow Jones stocks
   Textos para discussão, Department of Economics PUC-Rio (Brazil) View citations
10. Modeling and forecasting the volatility of Brazilian asset returns
    Textos para discussão, Department of Economics PUC-Rio (Brazil) View citations
11. Realized volatility: a review
    Textos para discussão, Department of Economics PUC-Rio (Brazil) View citations
    See also Journal Article in Econometric Reviews (2008)

2005

12. Modelling and forecasting short-term electricity load: a two step methodology
    Textos para discussão, Department of Economics PUC-Rio (Brazil)
13. Structure and asymptotic theory for STAR(1)-GARCH(1,1) models
    Textos para discussão, Department of Economics PUC-Rio (Brazil)

2004

14. A Flexible Coefficient Smooth Transition Time Series Model
    Working Paper Series in Economics and Finance, Stockholm School of Economics View citations
15. A package for neural network modelling
    Textos para discussão, Department of Economics PUC-Rio (Brazil)
16. Linear models, smooth transition autoregressions and neural networks for forecasting macroeconomic time series: A reexamination
    Textos para discussão, Department of Economics PUC-Rio (Brazil) View citations
    Also in Working Paper Series in Economics and Finance, Stockholm School of Economics (2004) View citations
    See also Journal Article in International Journal of Forecasting (2005)
17. Modelling multiple regimes in financial volatility with a flexible coefficient GARCH model
    Textos para discussão, Department of Economics PUC-Rio (Brazil) View citations

2003

18. Formação de preços de commodities: padrões de vinculação dos preços internos ao externos
    Textos para discussão, Department of Economics PUC-Rio (Brazil)
19. Local-global neural networks: a new approach for nonlinear time series modelling
    Textos para discussão, Department of Economics PUC-Rio (Brazil)
    See also Journal Article in Journal of the American Statistical Association (2004)
20. Three-structured smooth transition regression models based on CART algorithm
    Textos para discussão, Department of Economics PUC-Rio (Brazil)

2002

21. Are There Multiple Regimes in Financial Volatility?
    Computing in Economics and Finance 2002, Society for Computational Economics
22. Building Neural Network Models for Time Series: A Statistical Approach
    Textos para discussão, Department of Economics PUC-Rio (Brazil) View citations
    Also in Working Paper Series in Economics and Finance, Stockholm School of Economics (2002) View citations
    See also Journal Article in Journal of Forecasting (2006)
23. Currency Risk in Brazil under Two Different Exchange Rate Regimes
    Computing in Economics and Finance 2002, Society for Computational Economics
24. Evaluating the performance of GARCH models using White´s Reality Check
    Textos para discussão, Department of Economics PUC-Rio (Brazil) View citations
25. Modeling and forecasting Brazilian industrial production: unit roots, seasonality and non-linearity
    Computing in Economics and Finance 2002, Society for Computational Economics

2001

26. Diagnostic Checking in a Flexible Nonlinear Time Series Model
    Working Paper Series in Economics and Finance, Stockholm School of Economics View citations
    See also Journal Article in Journal of Time Series Analysis (2003)
27. Monetary policy during Brazil´s Real Plan: estimating the Central Bank´s reaction function
    Textos para discussão, Department of Economics PUC-Rio (Brazil)
    See also Journal Article in Revista Brasileira de Economia (2005)
28. Statistical methods for modelling neural networks
    Textos para discussão, Department of Economics PUC-Rio (Brazil) View citations
29. What are the effects of forecasting linear time series with neural networks
    Textos para discussão, Department of Economics PUC-Rio (Brazil) View citations

2000

30. A Combinatorial Approach to Piecewise Linear Time Series Analysis
    Working Paper Series in Economics and Finance, Stockholm School of Economics View citations
31. Modelling exchange rates: smooth transitions, neural networks, and linear models
    Textos para discussão, Department of Economics PUC-Rio (Brazil) View citations

Journal Articles

2009

1. MODELING MULTIPLE REGIMES IN FINANCIAL VOLATILITY WITH A FLEXIBLE COEFFICIENT GARCH(1,1) MODEL
   Econometric Theory, 2009, 25, (01), 117-161 View citations

2008

2. A multiple regime smooth transition Heterogeneous Autoregressive model for long memory and asymmetries
   Journal of Econometrics, 2008, 147, (1), 104-119 View citations
   See also Working Paper (2007)
3. A neural network demand system with heteroskedastic errors
   Journal of Econometrics, 2008, 147, (2), 359-371
4. An alternative approach to estimating demand: Neural network regression with conditional volatility for high frequency air passenger arrivals
   Journal of Econometrics, 2008, 147, (2), 372-383
5. Modeling and forecasting short-term electricity load: A comparison of methods with an application to Brazilian data
   International Journal of Forecasting, 2008, 24, (4), 630-644
6. Realized Volatility: A Review
   Econometric Reviews, 2008, 27, (1-3), 10-45 View citations
   See also Working Paper (2006)
7. Tree-structured smooth transition regression models
   Computational Statistics & Data Analysis, 2008, 52, (5), 2469-2488 View citations

2006

8. Building neural network models for time series: a statistical approach
   Journal of Forecasting, 2006, 25, (1), 49-75 View citations
   See also Working Paper (2002)

2005

9. Linear models, smooth transition autoregressions, and neural networks for forecasting macroeconomic time series: A re-examination
   International Journal of Forecasting, 2005, 21, (4), 755-774 View citations
   See also Working Paper (2004)
10. Monetary Policy During Brazil´s Real Plan: Estimating the Central Bank´s Reaction Function
    Revista Brasileira de Economia, 2005, 59, (1) View citations
    See also Working Paper (2001)
11. Reply
    International Journal of Forecasting, 2005, 21, (4), 781-783

2004

12. Local Global Neural Networks: A New Approach for Nonlinear Time Series Modeling
    Journal of the American Statistical Association, 2004, 99, 1092-1107
    See also Working Paper (2003)

2003

13. Diagnostic Checking in a Flexible Nonlinear Time Series Model
    Journal of Time Series Analysis, 2003, 24, (4), 461-482 View citations
    See also Working Paper (2001)