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Details about Marcelo C. Medeiros

E-mail:
Homepage:http://www.econ.puc-rio.br/mcm
Phone:+55 21 3527-1078
Postal address:Department of Economics Pontifical Catholic University of Rio de Janeiro(PUC-Rio) Rua Marquês de São Vicente, 225 - Gávea 22453-900 Rio de Janeiro, RJ BRAZIL
Workplace:Departamento de Economia (Department of Economics), Pontifícia Universidade Católica do Rio de Janeiro (Pontifical Catholic University of Rio de Janeiro), (more information at EDIRC)

Access statistics for papers by Marcelo C. Medeiros.

Last updated 2017-07-18. Update your information in the RePEc Author Service.

Short-id: pme53


Jump to Journal Articles

Working Papers

2017

  1. Arco: an artificial counterfactual approach for high-dimensional panel time-series data
    Textos para discussão, FGV/EESP - Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil) Downloads
    Also in Textos para discussão, Department of Economics PUC-Rio (Brazil) (2016) Downloads View citations (2)
  2. The perils of counterfactual analysis with integrated processes
    Textos para discussão, FGV/EESP - Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil) Downloads
    Also in Textos para discussão, Department of Economics PUC-Rio (Brazil) (2016) Downloads View citations (1)

2016

  1. A Estabilidade da Desigualdade no Brasil entre 2006 e 2012: resultados adicionais
    Discussion Papers, Instituto de Pesquisa Econômica Aplicada - IPEA Downloads
  2. Desigualdades de gênero em tempo de trabalho pago e não pago no Brasil, 2013
    Discussion Papers, Instituto de Pesquisa Econômica Aplicada - IPEA Downloads
  3. O Impacto de Anúncios Econômicos no Mercado Futuro Brasileiro de Ações, Juros e Câmbio
    Discussion Papers, Instituto de Pesquisa Econômica Aplicada - IPEA Downloads

2015

  1. Adaptative LASSO estimation for ARDL models with GARCH innovations
    Textos para discussão, Department of Economics PUC-Rio (Brazil) Downloads
  2. l1-Regularization of High-Dimensional Time-Series Models with Flexible Innovations
    Textos para discussão, Department of Economics PUC-Rio (Brazil) Downloads

2014

  1. Economic gains of realized volatility in the Brazilian stock market
    Textos para discussão, Department of Economics PUC-Rio (Brazil) Downloads
    See also Journal Article in Brazilian Review of Finance (2014)
  2. Estimation and Forecasting of Large Realized Covariance Matrices and Portfolio Choice
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (2)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2014) Downloads View citations (2)
  3. Price Discovery in Brazilian FX Markets
    Textos para discussão, Department of Economics PUC-Rio (Brazil) Downloads View citations (3)
    See also Journal Article in Brazilian Review of Econometrics (2015)
  4. 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 Downloads
  5. The impact of macroeconomic announcements in the Brazilian futures markets
    Textos para discussão, Department of Economics PUC-Rio (Brazil) Downloads

2013

  1. A (semi-)parametric functional coefficient autoregressive conditional duration model
    Textos para discussão, FGV/EESP - Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil) Downloads
    Also in Textos para discussão, Department of Economics PUC-Rio (Brazil) (2006) Downloads View citations (2)
  2. Bagging Constrained Equity Premium Predictors
    Working Papers, University of California at Riverside, Department of Economics Downloads View citations (2)
  3. Estimating Strategic Complementarity in a State-Dependent Pricing Model
    Working Papers Series, Central Bank of Brazil, Research Department Downloads
    Also in 2011 Meeting Papers, Society for Economic Dynamics (2011) Downloads
  4. Modeling and predicting the CBOE market volatility index
    Textos para discussão, FGV/EESP - Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil) Downloads View citations (3)
    Also in Textos para discussão, Department of Economics PUC-Rio (Brazil) (2007) Downloads View citations (13)

    See also Journal Article in Journal of Banking & Finance (2014)

2012

  1. Asymptotic Theory for Regressions with Smoothly Changing Parameters
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (4)
    See also Journal Article in Journal of Time Series Econometrics (2013)
  2. Estimating High-Dimensional Time Series Models
    Textos para discussão, Department of Economics PUC-Rio (Brazil) Downloads View citations (12)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2012) Downloads View citations (14)
  3. Let's Do It Again: Bagging Equity Premium Predictors
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (2)
    Also in Textos para discussão, Department of Economics PUC-Rio (Brazil) (2012) Downloads
  4. Nonlinearity, Breaks, and Long-Range Dependence in Time-Series Models
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (2)
    See also Journal Article in Journal of Business & Economic Statistics (2016)

2011

  1. 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 Downloads
    Also in KIER Working Papers, Kyoto University, Institute of Economic Research (2010) Downloads View citations (1)
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2010) Downloads
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2010) Downloads

    See also Journal Article in Journal of Financial Econometrics (2012)
  2. Modelling and Forecasting Noisy Realized Volatility
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads View citations (1)
    Also in CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2009) Downloads
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2010) Downloads
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2011) Downloads
    KIER Working Papers, Kyoto University, Institute of Economic Research (2011) Downloads

    See also Journal Article in Computational Statistics & Data Analysis (2012)
  3. Structure and Asymptotic theory for Nonlinear Models with GARCH Errors
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads
    See also Journal Article in Economia (2015)

2010

  1. A Note on Nonlinear Cointegration, Misspecification and Bimodality
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance Downloads
    See also Journal Article in Econometric Reviews (2014)
  2. Asymmetries, breaks, and long-range dependence: An estimation framework for daily realized volatility
    Textos para discussão, Department of Economics PUC-Rio (Brazil) Downloads View citations (3)
  3. Forecasting Realized Volatility with Linear and Nonlinear Models
    Textos para discussão, Department of Economics PUC-Rio (Brazil) Downloads View citations (1)
    Also in CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo (2009) Downloads
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2009) Downloads
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2009) Downloads
  4. Forecasting Realized Volatility with Linear and Nonlinear Univariate Models
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance Downloads View citations (1)
    See also Journal Article in Journal of Economic Surveys (2011)
  5. Linear Programming-Based Estimators in Simple Linear Regression
    Textos para discussão, Department of Economics PUC-Rio (Brazil) Downloads View citations (1)
    See also Journal Article in Journal of Econometrics (2011)
  6. Linearity Testing Against a Fuzzy Rule-based Model
    Textos para discussão, Department of Economics PUC-Rio (Brazil) Downloads
  7. 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) Downloads View citations (5)
    See also Journal Article in Journal of Applied Econometrics (2011)
  8. Moment-based estimation of smooth transition regression models with endogenous variables
    Textos para discussão, Department of Economics PUC-Rio (Brazil) Downloads View citations (1)
    Also in CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2009) Downloads View citations (3)
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2008) Downloads View citations (1)

    See also Journal Article in Journal of Econometrics (2011)
  9. Nonlinear Cointegration, Misspecification and Bimodality
    Textos para discussão, Department of Economics PUC-Rio (Brazil) Downloads

2009

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

2008

  1. 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 Downloads View citations (1)

2007

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

2006

  1. Asymmetric effects and long memory in the volatility of Dow Jones stocks
    Textos para discussão, Department of Economics PUC-Rio (Brazil) Downloads View citations (2)
    See also Journal Article in International Journal of Forecasting (2009)
  2. Modeling and forecasting the volatility of Brazilian asset returns
    Textos para discussão, Department of Economics PUC-Rio (Brazil) Downloads View citations (5)
  3. Realized volatility: a review
    Textos para discussão, Department of Economics PUC-Rio (Brazil) Downloads View citations (50)
    See also Journal Article in Econometric Reviews (2008)

2005

  1. Modelling and forecasting short-term electricity load: a two step methodology
    Textos para discussão, Department of Economics PUC-Rio (Brazil) Downloads View citations (4)

2004

  1. A Flexible Coefficient Smooth Transition Time Series Model
    SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics View citations (17)
  2. Linear models, smooth transition autoregressions and neural networks for forecasting macroeconomic time series: A reexamination
    Textos para discussão, Department of Economics PUC-Rio (Brazil) Downloads View citations (4)
    Also in SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics (2004) View citations (2)

    See also Journal Article in International Journal of Forecasting (2005)
  3. Modelling multiple regimes in financial volatility with a flexible coefficient GARCH model
    Textos para discussão, Department of Economics PUC-Rio (Brazil) Downloads View citations (1)

2003

  1. Formação de preços de commodities: padrões de vinculação dos preços internos ao externos
    Textos para discussão, Department of Economics PUC-Rio (Brazil) Downloads View citations (2)
  2. Local-global neural networks: a new approach for nonlinear time series modelling
    Textos para discussão, Department of Economics PUC-Rio (Brazil) Downloads
    See also Journal Article in Journal of the American Statistical Association (2004)
  3. Three-structured smooth transition regression models based on CART algorithm
    Textos para discussão, Department of Economics PUC-Rio (Brazil) Downloads

2002

  1. Are There Multiple Regimes in Financial Volatility?
    Computing in Economics and Finance 2002, Society for Computational Economics
  2. Building Neural Network Models for Time Series: A Statistical Approach
    Textos para discussão, Department of Economics PUC-Rio (Brazil) Downloads View citations (9)
    Also in SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics (2002) Downloads View citations (3)

    See also Journal Article in Journal of Forecasting (2006)
  3. Currency Risk in Brazil under Two Different Exchange Rate Regimes
    Computing in Economics and Finance 2002, Society for Computational Economics
  4. Evaluating the performance of GARCH models using White´s Reality Check
    Textos para discussão, Department of Economics PUC-Rio (Brazil) Downloads View citations (2)

2001

  1. Diagnostic Checking in a Flexible Nonlinear Time Series Model
    SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics View citations (2)
    See also Journal Article in Journal of Time Series Analysis (2003)
  2. Monetary policy during Brazil´s Real Plan: estimating the Central Bank´s reaction function
    Textos para discussão, Department of Economics PUC-Rio (Brazil) Downloads View citations (9)
    See also Journal Article in Revista Brasileira de Economia - RBE (2005)
  3. Statistical methods for modelling neural networks
    Textos para discussão, Department of Economics PUC-Rio (Brazil) Downloads
  4. What are the effects of forecasting linear time series with neural networks
    Textos para discussão, Department of Economics PUC-Rio (Brazil) Downloads View citations (1)

2000

  1. 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)
  2. Modelling exchange rates: smooth transitions, neural networks, and linear models
    Textos para discussão, Department of Economics PUC-Rio (Brazil) Downloads View citations (3)

Journal Articles

2017

  1. Real-time inflation forecasting with high-dimensional models: The case of Brazil
    International Journal of Forecasting, 2017, 33, (3), 679-693 Downloads

2016

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

2015

  1. Is the convergence of the manufacturing sector unconditional?
    Economia, 2015, 16, (3), 273_294 Downloads
  2. Price Discovery in Brazilian FX Markets
    Brazilian Review of Econometrics, 2015, 35, (1) Downloads
    See also Working Paper (2014)
  3. Structure and asymptotic theory for nonlinear models with GARCH erros
    Economia, 2015, 16, (1), 1_21 Downloads
    See also Working Paper (2011)
  4. Unobserved Heterogeneity in Regression Models: A Semiparametric Approach Based on Nonlinear Sieves
    Brazilian Review of Econometrics, 2015, 35, (1) Downloads

2014

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

2013

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

2012

  1. Asymmetry and Long Memory in Volatility Modeling
    Journal of Financial Econometrics, 2012, 10, (3), 495-512 Downloads View citations (26)
    See also Working Paper (2011)
  2. Modelling and forecasting noisy realized volatility
    Computational Statistics & Data Analysis, 2012, 56, (1), 217-230 Downloads View citations (14)
    See also Working Paper (2011)

2011

  1. FORECASTING REALIZED VOLATILITY WITH LINEAR AND NONLINEAR UNIVARIATE MODELS
    Journal of Economic Surveys, 2011, 25, (1), 6-18 View citations (4)
    See also Working Paper (2010)
  2. Linear programming-based estimators in simple linear regression
    Journal of Econometrics, 2011, 165, (1), 128-136 Downloads View citations (3)
    See also Working Paper (2010)
  3. 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 (3)
    See also Working Paper (2010)
  4. Moment-based estimation of smooth transition regression models with endogenous variables
    Journal of Econometrics, 2011, 165, (1), 100-111 Downloads View citations (10)
    See also Working Paper (2010)

2010

  1. The Benefits of Bagging for Forecast Models of Realized Volatility
    Econometric Reviews, 2010, 29, (5-6), 571-593 Downloads View citations (15)
  2. The Link Between Statistical Learning Theory and Econometrics: Applications in Economics, Finance, and Marketing
    Econometric Reviews, 2010, 29, (5-6), 470-475 Downloads

2009

  1. Asymmetric effects and long memory in the volatility of Dow Jones stocks
    International Journal of Forecasting, 2009, 25, (2), 304-327 Downloads View citations (29)
    See also Working Paper (2006)
  2. MODELING MULTIPLE REGIMES IN FINANCIAL VOLATILITY WITH A FLEXIBLE COEFFICIENT GARCH(1,1) MODEL
    Econometric Theory, 2009, 25, (01), 117-161 Downloads View citations (11)

2008

  1. A multiple regime smooth transition Heterogeneous Autoregressive model for long memory and asymmetries
    Journal of Econometrics, 2008, 147, (1), 104-119 Downloads View citations (81)
    See also Working Paper (2007)
  2. A neural network demand system with heteroskedastic errors
    Journal of Econometrics, 2008, 147, (2), 359-371 Downloads View citations (4)
  3. 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 Downloads View citations (12)
  4. 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 Downloads View citations (29)
  5. Realized Volatility: A Review
    Econometric Reviews, 2008, 27, (1-3), 10-45 Downloads View citations (105)
    See also Working Paper (2006)
  6. Tree-structured smooth transition regression models
    Computational Statistics & Data Analysis, 2008, 52, (5), 2469-2488 Downloads View citations (7)

2007

  1. Inflation Dynamics in Brazil: The Case of a Small Open Economy
    Brazilian Review of Econometrics, 2007, 27, (1) Downloads View citations (3)

2006

  1. Building neural network models for time series: a statistical approach
    Journal of Forecasting, 2006, 25, (1), 49-75 Downloads View citations (27)
    See also Working Paper (2002)
  2. Foreign Exchange Rate Futures Trends: Foreign Exchange Risk or Systematic Forecasting Errors?
    Brazilian Review of Finance, 2006, 4, (2), 123-140 Downloads
  3. Modeling and Forecasting the Volatility of Brazilian Asset Returns: a Realized Variance Approach
    Brazilian Review of Finance, 2006, 4, (1), 55-77 Downloads View citations (2)

2005

  1. Evaluating the Forecasting Performance of GARCH Models Using White’s Reality Check
    Brazilian Review of Econometrics, 2005, 25, (1) Downloads View citations (1)
  2. 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 Downloads View citations (53)
    See also Working Paper (2004)
  3. Monetary Policy During Brazil´s Real Plan: Estimating the Central Bank´s Reaction Function
    Revista Brasileira de Economia - RBE, 2005, 59, (1) Downloads View citations (7)
    See also Working Paper (2001)
  4. Reply
    International Journal of Forecasting, 2005, 21, (4), 781-783 Downloads

2004

  1. Local Global Neural Networks: A New Approach for Nonlinear Time Series Modeling
    Journal of the American Statistical Association, 2004, 99, 1092-1107 Downloads View citations (17)
    See also Working Paper (2003)

2003

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