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Results 21-30 of 41.
Year of PublicationTitleAuthor(s)
2021Residual based nodewise regression in factor models with ultra-high dimensions: Analysis of mean-variance portfolio efficiency and estimation of out-of-sample and constrained maximum Sharpe ratiosCaner, Mehmet; Medeiros, Marcelo C.; Vasconcelos, Gabriel F. R.
2002Evaluating the forecasting performance of GARCH models using White´s Reality CheckSouza, Leonardo; Veiga, Alvaro; Medeiros, Marcelo C.
2012Let´s do it again: bagging equity premium predictorsHillebrand, Eric; Lee, Tae-hwy; Medeiros, Marcelo C.
2020Do we exploit all information for counterfactual analysis? Benefits of factor models and idiosyncratic correctionFan, Jianqing; Masini, Ricardo; Medeiros, Marcelo C.
2004Linear models, smooth transition autoregressions and neural networks for forecasting macroeconomic time series: A reexaminationTeräsvirta, Timo; van Dijk, Dick; Medeiros, Marcelo C.
2004Modeling multiple regimes in financial volatility with a flexible coefficient GARCH modelMedeiros, Marcelo C.; Veiga, Alvaro
2007Modeling and predicting the CBOE market volatility indexFernandes, Marcelo; Medeiros, Marcelo C.; Scharth, Marcel
2021Bridging factor and sparse modelsFan, Jianqing; Masini, Ricardo; Medeiros, Marcelo C.
2015Adaptative LASSO estimation for ARDL models with GARCH innovationsMedeiros, Marcelo C.; Mendes, Eduardo F.
2003Local-global neural networks: a new approach for nonlinear time series modellingFariñas, Mayte Suarez; Pedreira, Carloe E.; Medeiros, Marcelo C.