Details about Marcelo C. Medeiros

E-mail:
Homepage:	https://economics.illinois.edu/profile/marcelom
Postal address:	214 David Kinley Hall 1407 West Gregory Drive Urbana, IL 61801 USA
Workplace:	Department of Economics, University of Illinois at Urbana-Champaign, (more information at EDIRC)

Access statistics for papers by Marcelo C. Medeiros.

Last updated 2023-10-07. Update your information in the RePEc Author Service.

Short-id: pme53

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Working Papers

2024

1. Online Action Learning in High Dimensions: A Conservative Perspective
   Papers, arXiv.org

2023

2. Forecasting Large Realized Covariance Matrices: The Benefits of Factor Models and Shrinkage
   Papers, arXiv.org View citations (1)
3. Forecasting inflation using disaggregates and machine learning
   Papers, arXiv.org View citations (1)

2022

4. Bridging factor and sparse models
   Papers, arXiv.org View citations (2)
5. Do We Exploit all Information for Counterfactual Analysis? Benefits of Factor Models and Idiosyncratic Correction
   Papers, arXiv.org View citations (4)
   See also Journal Article Do We Exploit all Information for Counterfactual Analysis? Benefits of Factor Models and Idiosyncratic Correction, Journal of the American Statistical Association, Taylor & Francis Journals (2022) View citations (3) (2022)
6. Sharpe Ratio Analysis in High Dimensions: Residual-Based Nodewise Regression in Factor Models
   Papers, arXiv.org View citations (2)
   See also Journal Article Sharpe Ratio analysis in high dimensions: Residual-based nodewise regression in factor models, Journal of Econometrics, Elsevier (2023) View citations (3) (2023)

2021

7. Lockdown effects in US states: an artificial counterfactual approach
   Papers, arXiv.org
8. Machine Learning Advances for Time Series Forecasting
   Papers, arXiv.org View citations (18)
   See also Journal Article Machine learning advances for time series forecasting, Journal of Economic Surveys, Wiley Blackwell (2023) View citations (24) (2023)
9. Modeling and Forecasting Intraday Market Returns: a Machine Learning Approach
   Papers, arXiv.org
10. Regularized Estimation of High-Dimensional Vector AutoRegressions with Weakly Dependent Innovations
    Papers, arXiv.org View citations (1)
    See also Journal Article Regularized estimation of high‐dimensional vector autoregressions with weakly dependent innovations, Journal of Time Series Analysis, Wiley Blackwell (2022) View citations (6) (2022)
11. Short-Term Covid-19 Forecast for Latecomers
    Papers, arXiv.org
    See also Journal Article Short-term Covid-19 forecast for latecomers, International Journal of Forecasting, Elsevier (2022) View citations (1) (2022)
12. The Impacts of Mobility on Covid-19 Dynamics: Using Soft and Hard Data
    Papers, arXiv.org
13. The Proper Use of Google Trends in Forecasting Models
    Papers, arXiv.org View citations (8)

2020

14. BooST: Boosting Smooth Trees for Partial Effect Estimation in Nonlinear Regressions
    Papers, arXiv.org

2017

15. Arco: an artificial counterfactual approach for high-dimensional panel time-series data
    Textos para discussão, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil) View citations (5)
    Also in Textos para discussão, Department of Economics PUC-Rio (Brazil) (2016) View citations (3)
    See also Journal Article ArCo: An artificial counterfactual approach for high-dimensional panel time-series data, Journal of Econometrics, Elsevier (2018) View citations (34) (2018)
16. The perils of counterfactual analysis with integrated processes
    Textos para discussão, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil)
    Also in Textos para discussão, Department of Economics PUC-Rio (Brazil) (2016) View citations (3)

2016

17. O Impacto de Anúncios Econômicos no Mercado Futuro Brasileiro de Ações, Juros e Câmbio
    Discussion Papers, Instituto de Pesquisa Econômica Aplicada - IPEA

2015

18. Adaptative LASSO estimation for ARDL models with GARCH innovations
    Textos para discussão, Department of Economics PUC-Rio (Brazil)
    See also Journal Article Adaptive LASSO estimation for ARDL models with GARCH innovations, Econometric Reviews, Taylor & Francis Journals (2017) View citations (4) (2017)
19. l1-Regularization of High-Dimensional Time-Series Models with Flexible Innovations
    Textos para discussão, Department of Economics PUC-Rio (Brazil) View citations (1)

2014

20. Economic gains of realized volatility in the Brazilian stock market
    Textos para discussão, Department of Economics PUC-Rio (Brazil)
    See also Journal Article Economic gains of realized volatility in the Brazilian stock market, Brazilian Review of Finance, Brazilian Society of Finance (2014) (2014)
21. Estimation and Forecasting of Large Realized Covariance Matrices and Portfolio Choice
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (2)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2014) View citations (2)
22. Price Discovery in Brazilian FX Markets
    Textos para discussão, Department of Economics PUC-Rio (Brazil) View citations (10)
    See also Journal Article Price Discovery in Brazilian FX Markets, Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE (2015) View citations (1) (2015)
23. Price Discovery no Mercado de Câmbio Brasileiro: O Preço é Formado no Mercado à Vista ou Futuro?
    Discussion Papers, Instituto de Pesquisa Econômica Aplicada - IPEA
24. The impact of macroeconomic announcements in the Brazilian futures markets
    Textos para discussão, Department of Economics PUC-Rio (Brazil)

2013

25. A (semi-)parametric functional coefficient autoregressive conditional duration model
    Textos para discussão, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil) View citations (1)
    Also in Textos para discussão, Department of Economics PUC-Rio (Brazil) (2006) View citations (3)
26. Bagging Constrained Equity Premium Predictors
    Working Papers, University of California at Riverside, Department of Economics View citations (3)
27. Estimating Strategic Complementarity in a State-Dependent Pricing Model
    Working Papers Series, Central Bank of Brazil, Research Department
    Also in 2011 Meeting Papers, Society for Economic Dynamics (2011)
28. Modeling and predicting the CBOE market volatility index
    Textos para discussão, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil) View citations (5)
    Also in Textos para discussão, Department of Economics PUC-Rio (Brazil) (2007) View citations (14)
    See also Journal Article Modeling and predicting the CBOE market volatility index, Journal of Banking & Finance, Elsevier (2014) View citations (119) (2014)

2012

29. Asymptotic Theory for Regressions with Smoothly Changing Parameters
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (4)
    See also Journal Article Asymptotic Theory for Regressions with Smoothly Changing Parameters, Journal of Time Series Econometrics, De Gruyter (2013) View citations (10) (2013)
30. Estimating High-Dimensional Time Series Models
    Textos para discussão, Department of Economics PUC-Rio (Brazil) View citations (16)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2012) View citations (18)
31. Let's Do It Again: Bagging Equity Premium Predictors
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (2)
    Also in Textos para discussão, Department of Economics PUC-Rio (Brazil) (2012)
32. Nonlinearity, Breaks, and Long-Range Dependence in Time-Series Models
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (2)
    See also Journal Article Nonlinearity, Breaks, and Long-Range Dependence in Time-Series Models, Journal of Business & Economic Statistics, Taylor & Francis Journals (2016) View citations (5) (2016)

2011

33. Asymmetry and Long Memory in Volatility Modelling
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico
    Also in KIER Working Papers, Kyoto University, Institute of Economic Research (2010)
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2010)
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2010)
    See also Journal Article Asymmetry and Long Memory in Volatility Modeling, Journal of Financial Econometrics, Oxford University Press (2012) View citations (59) (2012)
34. Modelling and Forecasting Noisy Realized Volatility
    KIER Working Papers, Kyoto University, Institute of Economic Research
    Also in CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2009) View citations (1)
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2011)
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2010)
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2011) View citations (1)
    See also Journal Article Modelling and forecasting noisy realized volatility, Computational Statistics & Data Analysis, Elsevier (2012) View citations (25) (2012)
35. Structure and Asymptotic theory for Nonlinear Models with GARCH Errors
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute
    See also Journal Article Structure and asymptotic theory for nonlinear models with GARCH erros, Economia, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics] (2015) View citations (2) (2015)

2010

36. A Note on Nonlinear Cointegration, Misspecification and Bimodality
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance
    See also Journal Article A Note on Nonlinear Cointegration, Misspecification, and Bimodality, Econometric Reviews, Taylor & Francis Journals (2014) View citations (1) (2014)
37. Asymmetries, breaks, and long-range dependence: An estimation framework for daily realized volatility
    Textos para discussão, Department of Economics PUC-Rio (Brazil) View citations (6)
38. Forecasting Realized Volatility with Linear and Nonlinear Models
    Textos para discussão, Department of Economics PUC-Rio (Brazil) View citations (1)
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2009)
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2009)
    CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo (2009)
39. Forecasting Realized Volatility with Linear and Nonlinear Univariate Models
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance View citations (1)
    See also Journal Article FORECASTING REALIZED VOLATILITY WITH LINEAR AND NONLINEAR UNIVARIATE MODELS, Journal of Economic Surveys, Wiley Blackwell (2011) View citations (14) (2011)
40. Linear Programming-Based Estimators in Simple Linear Regression
    Textos para discussão, Department of Economics PUC-Rio (Brazil) View citations (1)
    See also Journal Article Linear programming-based estimators in simple linear regression, Journal of Econometrics, Elsevier (2011) View citations (3) (2011)
41. Linearity Testing Against a Fuzzy Rule-based Model
    Textos para discussão, Department of Economics PUC-Rio (Brazil)
42. Modeling and Forecasting Short-term Interest Rates: The Benefits of Smooth Regimes, Macroeconomic Variables, and Bagging
    Textos para discussão, Department of Economics PUC-Rio (Brazil) View citations (6)
    See also Journal Article Modeling and forecasting short‐term interest rates: The benefits of smooth regimes, macroeconomic variables, and bagging, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2011) View citations (5) (2011)
43. Moment-based estimation of smooth transition regression models with endogenous variables
    Textos para discussão, Department of Economics PUC-Rio (Brazil) View citations (2)
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2008) View citations (1)
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2009) View citations (3)
    See also Journal Article Moment-based estimation of smooth transition regression models with endogenous variables, Journal of Econometrics, Elsevier (2011) View citations (15) (2011)
44. Nonlinear Cointegration, Misspecification and Bimodality
    Textos para discussão, Department of Economics PUC-Rio (Brazil)

2009

45. Asymmetry and Leverage in Realized Volatility
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo View citations (1)
    Also in CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo (2009) View citations (1)
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2008)

2008

46. 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 View citations (1)

2007

47. A multiple regime smooth transition heterogeneous autoregressive model for long memory and asymmetries
    Textos para discussão, Department of Economics PUC-Rio (Brazil) View citations (1)
    See also Journal Article A multiple regime smooth transition Heterogeneous Autoregressive model for long memory and asymmetries, Journal of Econometrics, Elsevier (2008) View citations (130) (2008)
48. ESTIMATION AND ASYMPTOTIC THEORY FOR A NEW CLASS OF MIXTURE MODELS
    Textos para discussão, Department of Economics PUC-Rio (Brazil)
49. Forecasting realized volatility models:the benefits of bagging and nonlinear specifications
    Textos para discussão, Department of Economics PUC-Rio (Brazil) View citations (8)

2006

50. Asymmetric effects and long memory in the volatility of Dow Jones stocks
    Textos para discussão, Department of Economics PUC-Rio (Brazil) View citations (5)
    See also Journal Article Asymmetric effects and long memory in the volatility of Dow Jones stocks, International Journal of Forecasting, Elsevier (2009) View citations (41) (2009)
51. Modeling and forecasting the volatility of Brazilian asset returns
    Textos para discussão, Department of Economics PUC-Rio (Brazil) View citations (7)
52. Realized volatility: a review
    Textos para discussão, Department of Economics PUC-Rio (Brazil) View citations (54)
    See also Journal Article Realized Volatility: A Review, Econometric Reviews, Taylor & Francis Journals (2008) View citations (274) (2008)

2005

53. Modelling and forecasting short-term electricity load: a two step methodology
    Textos para discussão, Department of Economics PUC-Rio (Brazil) View citations (6)

2004

54. A Flexible Coefficient Smooth Transition Time Series Model
    SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics View citations (18)
55. 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 (5)
    Also in SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics (2004) View citations (3)
    See also Journal Article Linear models, smooth transition autoregressions, and neural networks for forecasting macroeconomic time series: A re-examination, International Journal of Forecasting, Elsevier (2005) View citations (96) (2005)
56. Modelling multiple regimes in financial volatility with a flexible coefficient GARCH model
    Textos para discussão, Department of Economics PUC-Rio (Brazil) View citations (4)

2003

57. Formação de preços de commodities: padrões de vinculação dos preços internos ao externos
    Textos para discussão, Department of Economics PUC-Rio (Brazil) View citations (2)
58. 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 Local Global Neural Networks: A New Approach for Nonlinear Time Series Modeling, Journal of the American Statistical Association, American Statistical Association (2004) View citations (20) (2004)
59. Three-structured smooth transition regression models based on CART algorithm
    Textos para discussão, Department of Economics PUC-Rio (Brazil)

2002

60. Are There Multiple Regimes in Financial Volatility?
    Computing in Economics and Finance 2002, Society for Computational Economics View citations (1)
61. Building Neural Network Models for Time Series: A Statistical Approach
    Textos para discussão, Department of Economics PUC-Rio (Brazil) View citations (13)
    Also in SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics (2002) View citations (8)
    See also Journal Article Building neural network models for time series: a statistical approach, Journal of Forecasting, John Wiley & Sons, Ltd. (2006) View citations (50) (2006)
62. Currency Risk in Brazil under Two Different Exchange Rate Regimes
    Computing in Economics and Finance 2002, Society for Computational Economics
63. Evaluating the performance of GARCH models using White´s Reality Check
    Textos para discussão, Department of Economics PUC-Rio (Brazil) View citations (2)

2001

64. Diagnostic Checking in a Flexible Nonlinear Time Series Model
    SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics View citations (4)
    See also Journal Article Diagnostic Checking in a Flexible Nonlinear Time Series Model, Journal of Time Series Analysis, Wiley Blackwell (2003) View citations (18) (2003)
65. Monetary policy during Brazil´s Real Plan: estimating the Central Bank´s reaction function
    Textos para discussão, Department of Economics PUC-Rio (Brazil) View citations (10)
    See also Journal Article Monetary Policy During Brazil´s Real Plan: Estimating the Central Bank´s Reaction Function, Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil) (2005) View citations (9) (2005)
66. Statistical methods for modelling neural networks
    Textos para discussão, Department of Economics PUC-Rio (Brazil)
67. What are the effects of forecasting linear time series with neural networks
    Textos para discussão, Department of Economics PUC-Rio (Brazil) View citations (2)

2000

68. A Combinatorial Approach to Piecewise Linear Time Series Analysis
    SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics View citations (2)
69. Modelling exchange rates: smooth transitions, neural networks, and linear models
    Textos para discussão, Department of Economics PUC-Rio (Brazil) View citations (5)

Journal Articles

2023

1. Machine learning advances for time series forecasting
   Journal of Economic Surveys, 2023, 37, (1), 76-111 View citations (24)
   See also Working Paper Machine Learning Advances for Time Series Forecasting, Papers (2021) View citations (18) (2021)
2. Sharpe Ratio analysis in high dimensions: Residual-based nodewise regression in factor models
   Journal of Econometrics, 2023, 235, (2), 393-417 View citations (3)
   See also Working Paper Sharpe Ratio Analysis in High Dimensions: Residual-Based Nodewise Regression in Factor Models, Papers (2022) View citations (2) (2022)

2022

3. Counterfactual Analysis and Inference With Nonstationary Data
   Journal of Business & Economic Statistics, 2022, 40, (1), 227-239 View citations (2)
4. Do We Exploit all Information for Counterfactual Analysis? Benefits of Factor Models and Idiosyncratic Correction
   Journal of the American Statistical Association, 2022, 117, (538), 574-590 View citations (3)
   See also Working Paper Do We Exploit all Information for Counterfactual Analysis? Benefits of Factor Models and Idiosyncratic Correction, Papers (2022) View citations (4) (2022)
5. From zero to hero: Realized partial (co)variances
   Journal of Econometrics, 2022, 231, (2), 348-360 View citations (1)
6. Jumps in stock prices: New insights from old data
   Journal of Financial Markets, 2022, 60, (C) View citations (2)
7. Regularized estimation of high‐dimensional vector autoregressions with weakly dependent innovations
   Journal of Time Series Analysis, 2022, 43, (4), 532-557 View citations (6)
   See also Working Paper Regularized Estimation of High-Dimensional Vector AutoRegressions with Weakly Dependent Innovations, Papers (2021) View citations (1) (2021)
8. Short-term Covid-19 forecast for latecomers
   International Journal of Forecasting, 2022, 38, (2), 467-488 View citations (1)
   See also Working Paper Short-Term Covid-19 Forecast for Latecomers, Papers (2021) (2021)

2021

9. Counterfactual Analysis With Artificial Controls: Inference, High Dimensions, and Nonstationarity
   Journal of the American Statistical Association, 2021, 116, (536), 1773-1788 View citations (13)
10. Forecasting Inflation in a Data-Rich Environment: The Benefits of Machine Learning Methods
    Journal of Business & Economic Statistics, 2021, 39, (1), 98-119 View citations (89)

2020

11. A Smooth Transition Finite Mixture Model for Accommodating Unobserved Heterogeneity
    Journal of Business & Economic Statistics, 2020, 38, (3), 580-592

2018

12. ArCo: An artificial counterfactual approach for high-dimensional panel time-series data
    Journal of Econometrics, 2018, 207, (2), 352-380 View citations (34)
    See also Working Paper Arco: an artificial counterfactual approach for high-dimensional panel time-series data, Textos para discussão (2017) View citations (5) (2017)

2017

13. Adaptive LASSO estimation for ARDL models with GARCH innovations
    Econometric Reviews, 2017, 36, (6-9), 622-637 View citations (4)
    See also Working Paper Adaptative LASSO estimation for ARDL models with GARCH innovations, Textos para discussão (2015) (2015)
14. Modeling and Forecasting Large Realized Covariance Matrices and Portfolio Choice
    Journal of Applied Econometrics, 2017, 32, (1), 140-158 View citations (53)
15. Real-time inflation forecasting with high-dimensional models: The case of Brazil
    International Journal of Forecasting, 2017, 33, (3), 679-693 View citations (37)

2016

16. A (Semi)Parametric Functional Coefficient Logarithmic Autoregressive Conditional Duration Model
    Econometric Reviews, 2016, 35, (7), 1221-1250 View citations (1)
17. Forecasting Brazilian Inflation with High-Dimensional Models
    Brazilian Review of Econometrics, 2016, 36, (2) View citations (7)
18. Forecasting macroeconomic variables in data-rich environments
    Economics Letters, 2016, 138, (C), 50-52 View citations (9)
19. Instrument selection for estimation of a forward-looking Phillips Curve
    Economics Letters, 2016, 145, (C), 123-125 View citations (1)
20. Model Selection and Shrinkage: An Overview
    Econometric Reviews, 2016, 35, (8-10), 1343-1346
21. Nonlinearity, Breaks, and Long-Range Dependence in Time-Series Models
    Journal of Business & Economic Statistics, 2016, 34, (1), 23-41 View citations (5)
    See also Working Paper Nonlinearity, Breaks, and Long-Range Dependence in Time-Series Models, CREATES Research Papers (2012) View citations (2) (2012)
22. The High Frequency Impact of Macroeconomic Announcements in the Brazilian Futures Markets
    Brazilian Review of Econometrics, 2016, 36, (2)
23. ℓ1-regularization of high-dimensional time-series models with non-Gaussian and heteroskedastic errors
    Journal of Econometrics, 2016, 191, (1), 255-271 View citations (34)

2015

24. Is the convergence of the manufacturing sector unconditional?
    Economia, 2015, 16, (3), 273_294 View citations (2)
25. Price Discovery in Brazilian FX Markets
    Brazilian Review of Econometrics, 2015, 35, (1) View citations (1)
    See also Working Paper Price Discovery in Brazilian FX Markets, Textos para discussão (2014) View citations (10) (2014)
26. Structure and asymptotic theory for nonlinear models with GARCH erros
    Economia, 2015, 16, (1), 1_21 View citations (2)
    See also Working Paper Structure and Asymptotic theory for Nonlinear Models with GARCH Errors, Econometric Institute Research Papers (2011) (2011)
27. Unobserved Heterogeneity in Regression Models: A Semiparametric Approach Based on Nonlinear Sieves
    Brazilian Review of Econometrics, 2015, 35, (1)

2014

28. A Note on Nonlinear Cointegration, Misspecification, and Bimodality
    Econometric Reviews, 2014, 33, (7), 713-731 View citations (1)
    See also Working Paper A Note on Nonlinear Cointegration, Misspecification and Bimodality, Working Papers in Economics (2010) (2010)
29. Economic gains of realized volatility in the Brazilian stock market
    Brazilian Review of Finance, 2014, 12, (3), 319-349
    See also Working Paper Economic gains of realized volatility in the Brazilian stock market, Textos para discussão (2014) (2014)
30. Modeling and predicting the CBOE market volatility index
    Journal of Banking & Finance, 2014, 40, (C), 1-10 View citations (119)
    See also Working Paper Modeling and predicting the CBOE market volatility index, Textos para discussão (2013) View citations (5) (2013)
31. Parametric Portfolio Selection: Evaluating and Comparing to Markowitz Portfolios
    Brazilian Review of Finance, 2014, 12, (2), 257-284

2013

32. Asymptotic Theory for Regressions with Smoothly Changing Parameters
    Journal of Time Series Econometrics, 2013, 5, (2), 133-162 View citations (10)
    See also Working Paper Asymptotic Theory for Regressions with Smoothly Changing Parameters, CREATES Research Papers (2012) View citations (4) (2012)
33. Nonlinear Error Correction Models With an Application to Commodity Prices
    Brazilian Review of Econometrics, 2013, 33, (2)

2012

34. Asymmetry and Long Memory in Volatility Modeling
    Journal of Financial Econometrics, 2012, 10, (3), 495-512 View citations (59)
    See also Working Paper Asymmetry and Long Memory in Volatility Modelling, Documentos de Trabajo del ICAE (2011) (2011)
35. Modelling and forecasting noisy realized volatility
    Computational Statistics & Data Analysis, 2012, 56, (1), 217-230 View citations (25)
    See also Working Paper Modelling and Forecasting Noisy Realized Volatility, KIER Working Papers (2011) (2011)

2011

36. FORECASTING REALIZED VOLATILITY WITH LINEAR AND NONLINEAR UNIVARIATE MODELS
    Journal of Economic Surveys, 2011, 25, (1), 6-18 View citations (14)
    See also Working Paper Forecasting Realized Volatility with Linear and Nonlinear Univariate Models, Working Papers in Economics (2010) View citations (1) (2010)
37. Linear programming-based estimators in simple linear regression
    Journal of Econometrics, 2011, 165, (1), 128-136 View citations (3)
    See also Working Paper Linear Programming-Based Estimators in Simple Linear Regression, Textos para discussão (2010) View citations (1) (2010)
38. Modeling and forecasting short‐term interest rates: The benefits of smooth regimes, macroeconomic variables, and bagging
    Journal of Applied Econometrics, 2011, 26, (6), 999-1022 View citations (5)
    See also Working Paper Modeling and Forecasting Short-term Interest Rates: The Benefits of Smooth Regimes, Macroeconomic Variables, and Bagging, Textos para discussão (2010) View citations (6) (2010)
39. Moment-based estimation of smooth transition regression models with endogenous variables
    Journal of Econometrics, 2011, 165, (1), 100-111 View citations (15)
    See also Working Paper Moment-based estimation of smooth transition regression models with endogenous variables, Textos para discussão (2010) View citations (2) (2010)

2010

40. The Benefits of Bagging for Forecast Models of Realized Volatility
    Econometric Reviews, 2010, 29, (5-6), 571-593 View citations (32)
41. The Link Between Statistical Learning Theory and Econometrics: Applications in Economics, Finance, and Marketing
    Econometric Reviews, 2010, 29, (5-6), 470-475 View citations (1)

2009

42. Asymmetric effects and long memory in the volatility of Dow Jones stocks
    International Journal of Forecasting, 2009, 25, (2), 304-327 View citations (41)
    See also Working Paper Asymmetric effects and long memory in the volatility of Dow Jones stocks, Textos para discussão (2006) View citations (5) (2006)
43. MODELING MULTIPLE REGIMES IN FINANCIAL VOLATILITY WITH A FLEXIBLE COEFFICIENT GARCH(1,1) MODEL
    Econometric Theory, 2009, 25, (1), 117-161 View citations (23)

2008

44. A multiple regime smooth transition Heterogeneous Autoregressive model for long memory and asymmetries
    Journal of Econometrics, 2008, 147, (1), 104-119 View citations (130)
    See also Working Paper A multiple regime smooth transition heterogeneous autoregressive model for long memory and asymmetries, Textos para discussão (2007) View citations (1) (2007)
45. A neural network demand system with heteroskedastic errors
    Journal of Econometrics, 2008, 147, (2), 359-371 View citations (7)
46. 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 View citations (24)
47. 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 View citations (61)
48. Realized Volatility: A Review
    Econometric Reviews, 2008, 27, (1-3), 10-45 View citations (274)
    See also Working Paper Realized volatility: a review, Textos para discussão (2006) View citations (54) (2006)
49. Tree-structured smooth transition regression models
    Computational Statistics & Data Analysis, 2008, 52, (5), 2469-2488 View citations (8)

2007

50. Inflation Dynamics in Brazil: The Case of a Small Open Economy
    Brazilian Review of Econometrics, 2007, 27, (1) View citations (22)

2006

51. Building neural network models for time series: a statistical approach
    Journal of Forecasting, 2006, 25, (1), 49-75 View citations (50)
    See also Working Paper Building Neural Network Models for Time Series: A Statistical Approach, Textos para discussão (2002) View citations (13) (2002)
52. Foreign Exchange Rate Futures Trends: Foreign Exchange Risk or Systematic Forecasting Errors?
    Brazilian Review of Finance, 2006, 4, (2), 123-140
53. Modeling and Forecasting the Volatility of Brazilian Asset Returns: a Realized Variance Approach
    Brazilian Review of Finance, 2006, 4, (1), 55-77 View citations (6)

2005

54. Evaluating the Forecasting Performance of GARCH Models Using White’s Reality Check
    Brazilian Review of Econometrics, 2005, 25, (1) View citations (1)
55. 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 (96)
    See also Working Paper Linear models, smooth transition autoregressions and neural networks for forecasting macroeconomic time series: A reexamination, Textos para discussão (2004) View citations (5) (2004)
56. Monetary Policy During Brazil´s Real Plan: Estimating the Central Bank´s Reaction Function
    Revista Brasileira de Economia - RBE, 2005, 59, (1) View citations (9)
    See also Working Paper Monetary policy during Brazil´s Real Plan: estimating the Central Bank´s reaction function, Textos para discussão (2001) View citations (10) (2001)
57. Reply
    International Journal of Forecasting, 2005, 21, (4), 781-783

2004

58. Local Global Neural Networks: A New Approach for Nonlinear Time Series Modeling
    Journal of the American Statistical Association, 2004, 99, 1092-1107 View citations (20)
    See also Working Paper Local-global neural networks: a new approach for nonlinear time series modelling, Textos para discussão (2003) (2003)

2003

59. Diagnostic Checking in a Flexible Nonlinear Time Series Model
    Journal of Time Series Analysis, 2003, 24, (4), 461-482 View citations (18)
    See also Working Paper Diagnostic Checking in a Flexible Nonlinear Time Series Model, SSE/EFI Working Paper Series in Economics and Finance (2001) View citations (4) (2001)

Chapters

2022

1. Forecasting with Machine Learning Methods
   Springer

2008

2. Chapter 8 Estimating and Forecasting GARCH Models in the Presence of Structural Breaks and Regime Switches
   A chapter in Forecasting in the Presence of Structural Breaks and Model Uncertainty, 2008, pp 303-327