Marcelo Cunha Medeiros

2024

Forecasting Large Realized Covariance Matrices: The Benefits of Factor Models and Shrinkage

Alves, R. P., de Brito, D. S., Medeiros, M. C. & Ribeiro, R. M., 2024, In: Journal of Financial Econometrics. 22, 3, p. 696-742 47 p., nbad013.

Research output: Contribution to journal › Article › peer-review

2023

Bridging Factor and Sparse Models

Fan, J., Masini, R. & Medeiros, M. C., Aug 2023, In: Annals of Statistics. 51, 4, p. 1692-1717 26 p.

Research output: Contribution to journal › Article › peer-review

Modeling the evolution of deaths from infectious diseases with functional data models: The case of COVID-19 in Brazil

Collazos, J. A. A., Dias, R. & Medeiros, M. C., Mar 30 2023, In: Statistics in Medicine. 42, 7, p. 993-1012 20 p.

Research output: Contribution to journal › Article › peer-review

2022

Counterfactual Analysis and Inference With Nonstationary Data

Masini, R. & Medeiros, M. C., 2022, In: Journal of Business and Economic Statistics. 40, 1, p. 227-239 13 p.

Research output: Contribution to journal › Article › peer-review

Do We Exploit all Information for Counterfactual Analysis? Benefits of Factor Models and Idiosyncratic Correction

Fan, J., Masini, R. & Medeiros, M. C., 2022, In: Journal of the American Statistical Association. 117, 538, p. 574-590 17 p.

Research output: Contribution to journal › Article › peer-review

From zero to hero: Realized partial (co)variances

Bollerslev, T., Medeiros, M. C., Patton, A. J. & Quaedvlieg, R., Dec 2022, In: Journal of Econometrics. 231, 2, p. 348-360 13 p.

Research output: Contribution to journal › Article › peer-review

Jumps in stock prices: New insights from old data

Johnson, J. A., Medeiros, M. C. & Paye, B. S., Sep 2022, In: Journal of Financial Markets. 60, 100708.

Research output: Contribution to journal › Article › peer-review

Regularized estimation of high-dimensional vector autoregressions with weakly dependent innovations

Masini, R. P., Medeiros, M. C. & Mendes, E. F., Jul 2022, In: Journal of Time Series Analysis. 43, 4, p. 532-557 26 p.

Research output: Contribution to journal › Article › peer-review

Sharpe Ratio analysis in high dimensions: Residual-based nodewise regression in factor models

Caner, M., Medeiros, M. & Vasconcelos, G. F. R., 2022, (Accepted/In press) In: Journal of Econometrics. 235, 2, p. 393-417 25 p.

Research output: Contribution to journal › Article › peer-review

Short-term Covid-19 forecast for latecomers

Medeiros, M. C., Street, A., Valladão, D., Vasconcelos, G. & Zilberman, E., Apr 1 2022, In: International Journal of Forecasting. 38, 2, p. 467-488 22 p.

Research output: Contribution to journal › Article › peer-review

Open Access

2021

Counterfactual Analysis With Artificial Controls: Inference, High Dimensions, and Nonstationarity

Masini, R. & Medeiros, M. C., 2021, In: Journal of the American Statistical Association. 116, 536, p. 1773-1788 16 p.

Research output: Contribution to journal › Article › peer-review

Forecasting Inflation in a Data-Rich Environment: The Benefits of Machine Learning Methods

Medeiros, M. C., Vasconcelos, G. F. R., Veiga, Á. & Zilberman, E., 2021, In: Journal of Business and Economic Statistics. 39, 1, p. 98-119 22 p.

Research output: Contribution to journal › Article › peer-review

Machine Learning Advances for Time Series Forecasting

Masini, R. P., Medeiros, M. C. & Mendes, E. F., 2021, (Accepted/In press) In: Journal of Economic Surveys. 37, 1, p. 76-111 36 p.

Research output: Contribution to journal › Article › peer-review

2020

A Smooth Transition Finite Mixture Model for Accommodating Unobserved Heterogeneity

Kappe, E., DeSarbo, W. S. & Medeiros, M. C., Jul 2 2020, In: Journal of Business and Economic Statistics. 38, 3, p. 580-592 13 p.

Research output: Contribution to journal › Article › peer-review

2018

ArCo: An R package to Estimate Artificial Counterfactuals

Fonseca, Y. R., Masini, R. P., Medeiros, M. C. & Vasconcelos, G. F. R., Jul 1 2018, In: R Journal. 10, 1, p. 91-108 18 p.

Research output: Contribution to journal › Article › peer-review

Open Access

ArCo: An artificial counterfactual approach for high-dimensional panel time-series data

Carvalho, C., Masini, R. & Medeiros, M. C., Dec 2018, In: Journal of Econometrics. 207, 2, p. 352-380 29 p.

Research output: Contribution to journal › Article › peer-review

2017

Adaptive LASSO estimation for ARDL models with GARCH innovations

Medeiros, M. C. & Mendes, E. F., Oct 21 2017, In: Econometric Reviews. 36, 6-9, p. 622-637 16 p.

Research output: Contribution to journal › Article › peer-review

Modeling and Forecasting Large Realized Covariance Matrices and Portfolio Choice

Callot, L. A. F., Kock, A. B. & Medeiros, M. C., Jan 1 2017, In: Journal of Applied Econometrics. 32, 1, p. 140-158 19 p.

Research output: Contribution to journal › Article › peer-review

Real-time inflation forecasting with high-dimensional models: The case of Brazil

Garcia, M. G. P., Medeiros, M. C. & Vasconcelos, G. F. R., Jul 1 2017, In: International Journal of Forecasting. 33, 3, p. 679-693 15 p.

Research output: Contribution to journal › Article › peer-review

2016

A (Semi)Parametric Functional Coefficient Logarithmic Autoregressive Conditional Duration Model

Fernandes, M., Medeiros, M. C. & Veiga, A., Aug 8 2016, In: Econometric Reviews. 35, 7, p. 1221-1250 30 p.

Research output: Contribution to journal › Article › peer-review

Forecasting Brazilian Inflation with High-Dimensional Models

Medeiros, M. C., Vasconcelos, G. F. R. & de Freitas, E. H., Nov 2016, In: Brazilian Review of Econometrics. 36, 2, p. 223-254

Research output: Contribution to journal › Article › peer-review

Open Access

Forecasting macroeconomic variables in data-rich environments

Medeiros, M. C. & Vasconcelos, G. F. R., Jan 1 2016, In: Economics Letters. 138, p. 50-52 3 p.

Research output: Contribution to journal › Article › peer-review

Instrument selection for estimation of a forward-looking Phillips Curve

Berriel, T., Medeiros, M. C. & Sena, M. J., Aug 1 2016, In: Economics Letters. 145, p. 123-125 3 p.

Research output: Contribution to journal › Article › peer-review

Nonlinearity, Breaks, and Long-Range Dependence in Time-Series Models

Hillebrand, E. & Medeiros, M. C., Jan 2 2016, In: Journal of Business and Economic Statistics. 34, 1, p. 23-41 19 p.

Research output: Contribution to journal › Article › peer-review

The High-Frequency Impact of Macroeconomic Announcements in the Brazilian Futures Markets

Garcia, M. G. P., Medeiros, M. C. & Santos, F., Nov 2016, In: Brazilian Review of Econometrics. 36, 2, p. 185-222

Research output: Contribution to journal › Article › peer-review

Open Access

_ℓ1-regularization of high-dimensional time-series models with non-Gaussian and heteroskedastic errors

Medeiros, M. C. & Mendes, E. F., Mar 1 2016, In: Journal of Econometrics. 191, 1, p. 255-271 17 p.

Research output: Contribution to journal › Article › peer-review

2015

Is the convergence of the manufacturing sector unconditional?

Assunção, J., Burity, P. & Medeiros, M. C., Sep 1 2015, In: EconomiA. 16, 3, p. 273-294 22 p.

Research output: Contribution to journal › Article › peer-review

Open Access

Price Discovery in Brazilian FX Markets

Medeiros, M. C., Garcia, M. G. P. & Santos, F., May 2015, In: Brazilian Review of Econometrics. 35, 1, p. 65-94

Research output: Contribution to journal › Article › peer-review

Open Access

Structure and asymptotic theory for nonlinear models with GARCH errors

Translated title of the contribution: Estrutura e Teoria Assintótica para Modelos Não-lineares com Erros GARCH economia e finançasChan, F., McAleer, M. & Medeiros, M. C., Jan 1 2015, In: EconomiA. 16, 1, p. 1-21 21 p.

Research output: Contribution to journal › Article › peer-review

Open Access

Unobserved Heterogeneity in Regression Models: A Semiparametric Approach based on Nonlinear Sieves

Medeiros, M. C., Assunção, J. & Burity, P., May 2015, In: Brazilian Review of Econometrics. 35, 1, p. 47-63

Research output: Contribution to journal › Article › peer-review

Open Access

2014

A Note on Nonlinear Cointegration, Misspecification, and Bimodality

Medeiros, M. C., Mendes, E. & Oxley, L., Oct 2014, In: Econometric Reviews. 33, 7, p. 713-731 19 p.

Research output: Contribution to journal › Article › peer-review

Economic Gains of Realized Volatility in the Brazilian Stock Market

Medeiros, M. C., Garcia, M. G. P. & Santos, F., 2014, In: Revista Brasileira de Finanças. 12, 3, p. 319-349

Research output: Contribution to journal › Article › peer-review

Open Access

Modeling and predicting the CBOE market volatility index

Fernandes, M., Medeiros, M. C. & Scharth, M., Mar 2014, In: Journal of Banking and Finance. 40, 1, p. 1-10 10 p.

Research output: Contribution to journal › Article › peer-review

Parametric Portfolio Selection: Evaluating and Comparing to Markowitz Portfolios

Medeiros, M. C., Vasconcelos, G. F. R. & Passos, A. M., 2014, In: Revista Brasileira de Finanças. 12, 2, p. 257-284

Research output: Contribution to journal › Article › peer-review

Open Access

2013

Nonlinear Error Correction Models with An Application To Commodity Prices

Medeiros, M. C. & Rafael, M., Nov 2013, In: Brazilian Review of Econometrics. 33, 2, p. 145-170

Research output: Contribution to journal › Article › peer-review

Open Access

2012

Asymmetry and long memory in volatility modeling

Asai, M., McAleer, M. & Medeiros, M. C., Jun 2012, In: Journal of Financial Econometrics. 10, 3, p. 495-512 18 p.

Research output: Contribution to journal › Article › peer-review

Modelling and forecasting noisy realized volatility

Asai, M., McAleer, M. & Medeiros, M. C., Jan 1 2012, In: Computational Statistics and Data Analysis. 56, 1, p. 217-230 14 p.

Research output: Contribution to journal › Article › peer-review

2011

Forecasting realized volatility with linear and nonlinear univariate models

McAleer, M. & Medeiros, M. C., Feb 2011, In: Journal of Economic Surveys. 25, 1, p. 6-18 13 p.

Research output: Contribution to journal › Article › peer-review

Linear programming-based estimators in simple linear regression

Preve, D. & Medeiros, M. C., Nov 3 2011, In: Journal of Econometrics. 165, 1, p. 128-136 9 p.

Research output: Contribution to journal › Article › peer-review

Modeling and forecasting short-term interest rates: The benefits of smooth regimes, macroeconomic variables, and bagging

Audrino, F. & Medeiros, M. C., Sep 2011, In: Journal of Applied Econometrics. 26, 6, p. 999-1022 24 p.

Research output: Contribution to journal › Article › peer-review

Moment-based estimation of smooth transition regression models with endogenous variables

Areosa, W. D., McAleer, M. & Medeiros, M. C., Nov 3 2011, In: Journal of Econometrics. 165, 1, p. 100-111 12 p.

Research output: Contribution to journal › Article › peer-review

2010

Linearity testing for fuzzy rule-based models

Aznarte, J. L., Medeiros, M. C. & Benítez, J. M., Jul 1 2010, In: Fuzzy Sets and Systems. 161, 13, p. 1836-1851 16 p.

Research output: Contribution to journal › Article › peer-review

Testing for remaining autocorrelation of the residuals in the framework of fuzzy rule-based time series modelling

Aznarte, J. L., Medeiros, M. C. & Benítez, J. M., Aug 2010, In: International Journal of Uncertainty, Fuzziness and Knowlege-Based Systems. 18, 4, p. 371-387 17 p.

Research output: Contribution to journal › Article › peer-review

The benefits of bagging for forecast models of realized volatility

Hillebrand, E. & Medeiros, M. C., 2010, In: Econometric Reviews. 29, 5, p. 571-593 23 p.

Research output: Contribution to journal › Article › peer-review

The link between statistical learning theory and econometrics: Applications in economics, finance, and marketing

Maasoumi, E. & Medeiros, M. C., 2010, In: Econometric Reviews. 29, 5, p. 470-475 6 p.

Research output: Contribution to journal › Article › peer-review

2009

Asymmetric effects and long memory in the volatility of Dow Jones stocks

Scharth, M. & Medeiros, M. C., Apr 2009, In: International Journal of Forecasting. 25, 2, p. 304-327 24 p.

Research output: Contribution to journal › Article › peer-review

Modeling multiple regimes in financial volatility with a flexible coefficient garch(1,1) model

Medeiros, M. C. & Veiga, A., Feb 2009, In: Econometric Theory. 25, 1, p. 117-161 45 p.

Research output: Contribution to journal › Article › peer-review

2008

A multiple regime smooth transition Heterogeneous Autoregressive model for long memory and asymmetries

McAleer, M. & Medeiros, M. C., Nov 2008, In: Journal of Econometrics. 147, 1, p. 104-119 16 p.

Research output: Contribution to journal › Article › peer-review

An alternative approach to estimating demand: Neural network regression with conditional volatility for high frequency air passenger arrivals

Medeiros, M. C., McAleer, M., Slottje, D., Ramos, V. & Rey-Maquieira, J., Dec 2008, In: Journal of Econometrics. 147, 2, p. 372-383 12 p.

Research output: Contribution to journal › Article › peer-review

A neural network demand system with heteroskedastic errors

McAleer, M., Medeiros, M. C. & Slottje, D., Dec 2008, In: Journal of Econometrics. 147, 2, p. 359-371 13 p.

Research output: Contribution to journal › Article › peer-review

Marcelo Cunha Medeiros

Research output

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