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Short-term Covid-19 forecast for latecomers
Medeiros, Marcelo C.; Street, Alexandre; Valladão, Davi; … - 2021
fundamental importance. We propose a simple statistical method for short-term real-time forecasting of the number of Covid-19 …
Persistent link: https://www.econbiz.de/10012817060
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Machine learning advances for time series forecasting
Masini, Ricardo P.; Medeiros, Marcelo C.; Mendes, Eduardo F. - 2020
series forecasting. We consider both linear and nonlinear alternatives. Among the linear methods we pay special attention to …
Persistent link: https://www.econbiz.de/10012817069
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The proper use of Google Trends in forecasting models
Medeiros, Marcelo C.; Pires, Henrique - 2021
It is widely known that Google Trends has become one of the most popular free tools used by forecasters both in academics and in the private and public sectors. There are many papers, from several different fields, concluding that Google Trends improve forecasts' accuracy. However, what seems to...
Persistent link: https://www.econbiz.de/10012817073
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Estimation and Forecasting of Large Realized Covariance Matrices and Portfolio Choice
Callot, Laurent; Kock, Anders B.; Medeiros, Marcelo C. - 2014
In this paper we consider modeling and forecasting of large realized covariance matrices by penalized vector … investigate the sources of these driving dynamics for the realized covariance matrices of the 30 Dow Jones stocks and find that …
Persistent link: https://www.econbiz.de/10010491375
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Evaluating the forecasting performance of GARCH models using White´s Reality Check
Souza, Leonardo; Veiga, Alvaro; Medeiros, Marcelo C. - 2002
Persistent link: https://www.econbiz.de/10011807281
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Asymmetric effects and long memory in the volatility of Dow Jones stocks
Scharth, Marcel; Medeiros, Marcelo C. - 2006
multiple regimes in the realized volatility of stocks, where large falls (rises) in prices are linked to persistent regimes of …
Persistent link: https://www.econbiz.de/10011807356
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A multiple regime smooth transition heterogeneous autoregressive model for long memory and asymmetries
McAleer, Michael; Medeiros, Marcelo C. - 2007
proposed tests and estimation procedures. We apply the model to several Dow Jones Industrial Average index stocks using … flexible for purposes of forecasting volatility. …
Persistent link: https://www.econbiz.de/10011807368
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l1-Regularization of High-Dimensional Time-Series Models with Flexible Innovations
Medeiros, Marcelo C.; Mendes, Eduardo F. - 2015
We study the asymptotic properties of the Adaptive LASSO (adaLASSO) in sparse, high-dimensional, linear time-series models. We assume that both the number of covariates in the model and the number of candidate variables can increase with the sample size (polynomially orgeometrically). In other...
Persistent link: https://www.econbiz.de/10011807460
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Economic gains of realized volatility in the Brazilian stock market
Santos, Francisco; Garcia, Márcio Gomes Pinto; … - 2014
stocks. Comparing with traditional volatility methods, we find that economic gains associated with realized measures perform …
Persistent link: https://www.econbiz.de/10010402112
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L1-regularization of high-dimensional time-series models with flexible innovations
Medeiros, Marcelo C.; Mendes, Eduardo F. - 2015
We study the asymptotic properties of the Adaptive LASSO (adaLASSO) in sparse, high-dimensional, linear time-series models. We assume that both the number of covariates in the model and the number of candidate variables can increase with the sample size (polynomially or geometrically). In other...
Persistent link: https://www.econbiz.de/10010505038