Similar Search Results - EconBiz

Asymmetry and long memory in volatility modelling

Asai, Manabu; McAleer, Michael; Medeiros, Marcelo C. - 2010

Persistent link: https://www.econbiz.de/10008664039

Forecasting realized volatility with linear and nonlinear models

McAleer, Michael; Medeiros, Marcelo C. - 2009

Persistent link: https://www.econbiz.de/10003910296

Asymmetry and leverage in realized volatility

Asai, Manabu (contributor); McAleer, Michael (contributor); … - 2008

Persistent link: https://www.econbiz.de/10003780794

Modeling and predicting the CBOE market volatility index

Fernandes, Marcelo; Medeiros, Marcelo C.; Scharth, Marcel - 2007

This paper performs a thorough statistical examination of the time-series properties of the market volatility index (VIX) from the Chicago Board Options Exchange (CBOE). The motivation lies on the widespread consensus that the VIX is a barometer to the overall market sentiment as to what...

Persistent link: https://www.econbiz.de/10011807372

The benefits of bagging for forecast models of realized volatility

Hillebrand, Eric; Medeiros, Marcelo C. - In: Econometric reviews 29 (2010) 5/6, pp. 571-593

Persistent link: https://www.econbiz.de/10008668163

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

Audrino, Francesco; Medeiros, Marcelo C. - In: Journal of applied econometrics 26 (2011) 6, pp. 999-1022

Persistent link: https://www.econbiz.de/10009408836

Smooth regimes, macroeconomic variables, and bagging for the short-term interest rate process

Audrino, Francesco; Medeiros, Marcelo C. - 2008

Persistent link: https://www.econbiz.de/10003773443

Modeling and predicting the CBOE market volatility index

Fernandes, Marcelo (contributor); … - 2007

Persistent link: https://www.econbiz.de/10003520954

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

Forecasting inflation in a data-rich environment : the benefits of machine learning methods

Medeiros, Marcelo C.; Vasconcelos, Gabriel F. R.; … - In: Journal of business & economic statistics : JBES ; a … 39 (2021) 1, pp. 98-119

Persistent link: https://www.econbiz.de/10012424502

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