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Particle efficient importance sampling
Scharth, Marcel; Kohn, Robert - In: Journal of econometrics 190 (2016) 1, pp. 133-147
Persistent link: https://www.econbiz.de/10011591626
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Leverage, asymmetry, and heavy tails in the high-dimensional factor stochastic volatility model
Li, Mengheng; Scharth, Marcel - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 1, pp. 285-301
Persistent link: https://www.econbiz.de/10012804111
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Forecasting with machine learning methods
Medeiros, Marcelo C. - In: Econometrics with Machine Learning, (pp. 111-149). 2022
Persistent link: https://www.econbiz.de/10013447825
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Machine Learning Advances for Time Series Forecasting
Masini, Ricardo P.; Medeiros, Marcelo C.; Mendes, Eduardo F. - In: Journal of Economic Surveys (2021)
Persistent link: https://www.econbiz.de/10012635933
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Asymptotic theory for regressions with smoothly changing parameters
Hillebrand, Eric; Medeiros, Marcelo C.; Xu, Junyue - In: Journal of time series econometrics 5 (2013) 2, pp. 133-162
Persistent link: https://www.econbiz.de/10010225454
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Modeling and forecasting large realized covariance matrices and portfolio choice
Callot, Laurent A. F.; Kock, Anders Bredahl; Medeiros, … - In: Journal of applied econometrics 32 (2017) 1, pp. 140-158
Persistent link: https://www.econbiz.de/10011688494
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Nonlinearity, breaks, and long-range dependence in time-series models
Hillebrand, Eric; Medeiros, Marcelo C. - In: Journal of business & economic statistics : JBES ; a … 34 (2016) 1, pp. 23-41
Persistent link: https://www.econbiz.de/10011691143
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Real-time inflation forecasting with high-dimensional models : the case of Brazil
Garcia, Márcio Gomes Pinto; Medeiros, Marcelo C.; … - In: International journal of forecasting 33 (2017) 3, pp. 679-693
Persistent link: https://www.econbiz.de/10011746198
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L1-regularization of high-dimensional time-series models with non-Gaussian and heteroskedastic errors
Medeiros, Marcelo C.; Mendes, Eduardo F. - In: Journal of econometrics 191 (2016) 1, pp. 255-271
Persistent link: https://www.econbiz.de/10011598121
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A (semi)parametric functional coefficient logarithmic autoregressive conditional duration model
Fernandes, Marcelo; Medeiros, Marcelo C.; Veiga, Alvaro - In: Econometric reviews 35 (2016) 5/7, pp. 1221-1250
Persistent link: https://www.econbiz.de/10011591186