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Pontifícia Universidade Católica do Rio de Janeiro (PUC-Rio)
Departamento de Economia, Pontifícia Universidade Católica do Rio de Janeiro
Textos para discussão, Departamento de Economia, Pontifícia Universidade Católica do Rio de Janeiro
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2021
Residual 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 ratios
Caner, Mehmet
;
Medeiros, Marcelo C.
;
Vasconcelos, Gabriel F. R.
2002
Evaluating the forecasting performance of GARCH models using White´s Reality Check
Souza, Leonardo
;
Veiga, Alvaro
;
Medeiros, Marcelo C.
2012
Let´s do it again: bagging equity premium predictors
Hillebrand, Eric
;
Lee, Tae-hwy
;
Medeiros, Marcelo C.
2020
Do we exploit all information for counterfactual analysis? Benefits of factor models and idiosyncratic correction
Fan, Jianqing
;
Masini, Ricardo
;
Medeiros, Marcelo C.
2004
Linear models, smooth transition autoregressions and neural networks for forecasting macroeconomic time series: A reexamination
Teräsvirta, Timo
;
van Dijk, Dick
;
Medeiros, Marcelo C.
2004
Modeling multiple regimes in financial volatility with a flexible coefficient GARCH model
Medeiros, Marcelo C.
;
Veiga, Alvaro
2007
Modeling and predicting the CBOE market volatility index
Fernandes, Marcelo
;
Medeiros, Marcelo C.
;
Scharth, Marcel
2021
Bridging factor and sparse models
Fan, Jianqing
;
Masini, Ricardo
;
Medeiros, Marcelo C.
2015
Adaptative LASSO estimation for ARDL models with GARCH innovations
Medeiros, Marcelo C.
;
Mendes, Eduardo F.
2003
Local-global neural networks: a new approach for nonlinear time series modelling
Fariñas, Mayte Suarez
;
Pedreira, Carloe E.
;
Medeiros, Marcelo C.
Author
6
Mendes, Eduardo F.
5
McAleer, Michael
4
Veiga, Alvaro
3
Hillebrand, Eric
2
Fan, Jianqing
2
Fernandes, Marcelo
2
Masini, Ricardo
2
Masini, Ricardo P.
2
Scharth, Marcel
2
Terasvirta, Timo
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