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M

Marcelo C. Medeiros

university of illinois

25H-index
182Paper Count
3.0KCitation Count
Published Papers 24
Publication Date
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A sorted penalty estimator: Inference for a correlation-robust shrinkage method
errJournal of Econometrics
IF4
err2026-03-19
err0
PREAI
errMarcelo C. Medeiros; Chuanping Sun
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Sharpe Ratio analysis in high dimensions: Residual-based nodewise regression in factor models
errJOURNAL OF ECONOMETRICS
IF4
err2023-08-01
err1
errOAAI
errCaner, Mehmet; Medeiros, Marcelo; Vasconcelos, Gabriel F. R.
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BRIDGING FACTOR AND SPARSE MODELS
errANNALS OF STATISTICS
IF3.7
err2023-08-01
err8
errOAAI
errFan, Jianqing; Masini, Ricardo P.; Medeiros, Marcelo C.
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From zero to hero: Realized partial (co)variances
errJOURNAL OF ECONOMETRICS
IF4
err2022-12-01
err8
errOAAI
errBollerslev, Tim; Medeiros, Marcelo C.; Patton, Andrew J.; Quaedvlieg, Rogier
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Short-term Covid-19 forecast for latecomers
errINTERNATIONAL JOURNAL OF FORECASTING
IF7.1
err2022-04-01
err5
errOAAI
errMedeiros, Marcelo C.; Street, Alexandre; Valladao, Davi; Vasconcelos, Gabriel; Zilberman, Eduardo
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Do We Exploit all Information for Counterfactual Analysis? Benefits of Factor Models and Idiosyncratic Correction
errJOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION
IF3
err2022-01-28
err8
errOAAI
errFan, Jianqing; Masini, Ricardo; Medeiros, Marcelo C.
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Counterfactual Analysis With Artificial Controls: Inference, High Dimensions, and Nonstationarity
errJOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION
IF3
err2021-09-20
err17
errOAAI
errMasini, Ricardo; Medeiros, Marcelo C.
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Machine Learning Advances for Time Series Forecasting
errJOURNAL OF ECONOMIC SURVEYS
IF5
err2021-07-01
err150
errOAAI
errMasini, Ricardo P.; Medeiros, Marcelo C.; Mendes, Eduardo F.
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ArCo: An artificial counterfactual approach for high-dimensional panel time-series data
errJOURNAL OF ECONOMETRICS
IF4
err2018-12-01
err45
errOAAI
errCarvalho, Carlos; Masini, Ricardo; Medeiros, Marcelo C.
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Real-time inflation forecasting with high-dimensional models: The case of Brazil
errINTERNATIONAL JOURNAL OF FORECASTING
IF7.1
err2017-07-01
err39
errOAAI
errGarcia, Marcio G. P.; Medeiros, Marcelo C.; Vasconcelos, Gabriel F. R.
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l1-regularization of high-dimensional time-series models with non-Gaussian and heteroskedastic errors
errJOURNAL OF ECONOMETRICS
IF4
err2016-03-01
err86
PREAI
errMedeiros, Marcelo C.; Mendes, Eduardo F.
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Modeling and predicting the CBOE market volatility index
errJOURNAL OF BANKING & FINANCE
IF3.8
err2014-03-01
err168
errOAAI
errFernandes, Marcelo; Medeiros, Marcelo C.; Scharth, Marcel
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Linear programming-based estimators in simple linear regression
errJOURNAL OF ECONOMETRICS
IF4
err2011-11-01
err6
errOAAI
errPreve, Daniel; Medeiros, Marcelo C.
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Moment-based estimation of smooth transition regression models with endogenous variables
errJOURNAL OF ECONOMETRICS
IF4
err2011-11-01
err17
errOAAI
errAreosa, Waldyr Dutra; McAleer, Michael; Medeiros, Marcelo C.
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FORECASTING REALIZED VOLATILITY WITH LINEAR AND NONLINEAR UNIVARIATE MODELS
errJOURNAL OF ECONOMIC SURVEYS
IF5
err2010-11-19
err22
errOAAI
errMcAleer, Michael; Medeiros, Marcelo C.
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Linearity testing for fuzzy rule-based models
errFUZZY SETS AND SYSTEMS
IF2.7
err2010-07-01
err9
PREAI
errLuis Aznarte, Jose; Medeiros, Marcelo C.; Benitez, Jose M.
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Asymmetric effects and long memory in the volatility of Dow Jones stocks
errINTERNATIONAL JOURNAL OF FORECASTING
IF7.1
err2009-04-01
err38
errOAAI
errScharth, Marcel; Medeiros, Marcelo C.
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A neural network demand system with heteroskedastic errors
errJOURNAL OF ECONOMETRICS
IF4
err2008-12-01
err8
PREAI
errMcAleer, Michael; Medeiros, Marcelo C.; Slottje, Daniel
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errSave
An alternative approach to estimating demand: Neural network regression with conditional volatility for high frequency air passenger arrivals
errJOURNAL OF ECONOMETRICS
IF4
err2008-12-01
err32
PREAI
errMedeiros, Marcelo C.; McAleer, Michael; Slottje, Daniel; Ramos, Vicente; Rey-Maquieira, Javier
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A multiple regime smooth transition Heterogeneous Autoregressive model for long memory and asymmetries
errJOURNAL OF ECONOMETRICS
IF4
err2008-11-01
err118
errOAAI
errMcAleer, Michael; Medeiros, Marcelo C.
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Research Directions

No research directions
Co-authors
Cooperation Journals
J
Jianqing Fan
H-index: 101 · Papers: 685
T
Tim Bollerslev
H-index: 76 · Papers: 173
M
Michael McAleer
H-index: 64 · Papers: 1.0K
T
Timo Teräsvirta
H-index: 57 · Papers: 291
A
Andrew J. Patton
H-index: 52 · Papers: 162
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