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Garcia, Márcio Gomes Pinto; Medeiros, Marcelo C.; … - In: Brazilian review of econometrics : BRE ; the review of … 35 (2015) 1, pp. 65-94

Persistent link: https://www.econbiz.de/10011538826

The high-frequency impact of macroeconomic announcements on the Brazilian futures markets

Garcia, Márcio Gomes Pinto; Medeiros, Marcelo C.; … - In: Brazilian review of econometrics : BRE ; the review of … 36 (2016) 2, pp. 185-222

Persistent link: https://www.econbiz.de/10011644164

A multiple regime smooth transition Heterogeneous Autoregressive model for long memory and asymmetries

McAleer, Michael; Medeiros, Marcelo C. - In: Journal of econometrics 147 (2008) 1, pp. 104-119

Persistent link: https://www.econbiz.de/10003783790

Asymmetric effects and long memory in the volatility of Dow Jones stocks

Scharth, Marcel; Medeiros, Marcelo C. - In: International journal of forecasting 25 (2009) 2, pp. 304-327

Persistent link: https://www.econbiz.de/10003870060

A multiple regime smooth transition heterogeneous autoregressive model for long memory and asymmetries

McAleer, Michael (contributor); … - 2007

Persistent link: https://www.econbiz.de/10003460319

Forecasting realized volatility with linear and nonlinear models

McAleer, Michael; Medeiros, Marcelo C. - 2009

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

Asymmetry and long memory in volatility modelling

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

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

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

Asymmetry and long memory in volatility modeling

Asai, Manabu; McAleer, Michael; Medeiros, Marcelo C. - In: Journal of financial econometrics : official journal of … 10 (2012) 3, pp. 495-512

Persistent link: https://www.econbiz.de/10009571512

Price discovery in Brazilian FX markets

Garcia, Márcio Gomes Pinto; Medeiros, Marcelo C.; … - 2014

Brazilian Foreign Exchange (FX) markets have a unique structure: most trades are conducted in the derivatives (futures) market. We study price discovery in the FX markets in Brazil and indicate which market (spot or futures) adjusts more quickly to the arrival of new information. We find that...

Persistent link: https://www.econbiz.de/10010402141