Personal information

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home-page

Other IDs

Scopus Author ID: 7102179820
ResearcherID: I-9133-2014

Keywords

Econometrics, Financial Econometrics, Time Series, Statistics, High-dimensional models

Countries

Brazil

Activities

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Employment (2)

Pontifícia Universidade Católica do Rio de Janeiro: Rio de Janeiro, RJ, BR

2008-08 to present | Associate Professor (Economics)
Employment
Source: Self-asserted source
Marcelo Medeiros

Pontifícia Universidade Católica do Rio de Janeiro: Rio de Janeiro, RJ, BR

2000-10 to 2008-07 | Assistant Professor (Economics)
Employment
Source: Self-asserted source
Marcelo Medeiros

Education and qualifications (3)

Pontifícia Universidade Católica do Rio de Janeiro: Rio de Janeiro, RJ, BR

1998-03 to 2000-07 | PhD (Electrical Engineering)
Education
Source: Self-asserted source
Marcelo Medeiros

Pontifícia Universidade Católica do Rio de Janeiro: Rio de Janeiro, RJ, BR

1997-01 to 1998-03 | Master of Science (Electrical Engineering)
Education
Source: Self-asserted source
Marcelo Medeiros

Pontifícia Universidade Católica do Rio de Janeiro: Rio de Janeiro, RJ, BR

1992-03 to 1996-12 | Bachelor (Electrical Engineering)
Education
Source: Self-asserted source
Marcelo Medeiros

Works (43)

Forecasting Large Realized Covariance Matrices: The Benefits of Factor Models and Shrinkage

Journal of Financial Econometrics
2024-06-17 | Journal article
DOI: 10.1093/jjfinec/nbad013
Contributors: Rafael P Alves; Diego S de Brito; Marcelo C Medeiros; Ruy M Ribeiro
Source: check_circle
Crossref

Modeling the evolution of deaths from infectious diseases with functional data models: The case of COVID‐19 in Brazil

Statistics in Medicine
2023-03-30 | Journal article
DOI: 10.1002/sim.9654
Contributors: Julian A. A. Collazos; Ronaldo Dias; Marcelo C. Medeiros
Source: check_circle
Crossref

Machine learning advances for time series forecasting

Journal of Economic Surveys
2023-02 | Journal article
DOI: 10.1111/joes.12429
Contributors: Ricardo P. Masini; Marcelo C. Medeiros; Eduardo F. Mendes
Source: check_circle
Crossref

Do We Exploit all Information for Counterfactual Analysis? Benefits of Factor Models and Idiosyncratic Correction

Journal of the American Statistical Association
2022-04-03 | Journal article
DOI: 10.1080/01621459.2021.2004895
Contributors: Jianqing Fan; Ricardo Masini; Marcelo C. Medeiros
Source: check_circle
Crossref

Counterfactual Analysis and Inference With Nonstationary Data

Journal of Business & Economic Statistics
2022-01-02 | Journal article
DOI: 10.1080/07350015.2020.1799814
Contributors: Ricardo Masini; Marcelo C. Medeiros
Source: check_circle
Crossref

Counterfactual Analysis With Artificial Controls: Inference, High Dimensions, and Nonstationarity

Journal of the American Statistical Association
2021-10-02 | Journal article
DOI: 10.1080/01621459.2021.1964978
Contributors: Ricardo Masini; Marcelo C. Medeiros
Source: check_circle
Crossref

Forecasting Inflation in a Data-Rich Environment: The Benefits of Machine Learning Methods

Journal of Business & Economic Statistics
2021-01-02 | Journal article
DOI: 10.1080/07350015.2019.1637745
Contributors: Marcelo C. Medeiros; Gabriel F. R. Vasconcelos; Álvaro Veiga; Eduardo Zilberman
Source: check_circle
Crossref

A Smooth Transition Finite Mixture Model for Accommodating Unobserved Heterogeneity

Journal of Business & Economic Statistics
2020-07-02 | Journal article
DOI: 10.1080/07350015.2018.1543126
Contributors: Eelco Kappe; Wayne S. DeSarbo; Marcelo C. Medeiros
Source: check_circle
Crossref

Forecasting macroeconomic variables in data-rich environments

Economics Letters
2016-01 | Journal article
DOI: 10.1016/j.econlet.2015.11.017
Contributors: Marcelo C. Medeiros; Gabriel F.R. Vasconcelos
Source: check_circle
Crossref

A Note on Nonlinear Cointegration, Misspecification, and Bimodality

2014 | Journal article
DOI:

10.1080/07474938.2012.690676

EID:

2-s2.0-84893906111
Contributors: Medeiros, M.C.; Mendes, E.; Oxley, L.
Source: Self-asserted source
Marcelo Medeiros via Scopus - Elsevier

Modeling and predicting the CBOE market volatility index

2014 | Journal article
DOI:

10.1016/j.jbankfin.2013.11.004

EID:

2-s2.0-84890319583
Contributors: Fernandes, M.; Medeiros, M.C.; Scharth, M.
Source: Self-asserted source
Marcelo Medeiros via Scopus - Elsevier

Asymmetry and long memory in volatility modeling

2012 | Journal article
DOI:

10.1093/jjfinec/nbr015

EID:

2-s2.0-84863451878
Contributors: Asai, M.; McAleer, M.; Medeiros, M.C.
Source: Self-asserted source
Marcelo Medeiros via Scopus - Elsevier

Modelling and forecasting noisy realized volatility

2012 | Journal article
DOI:

10.1016/j.csda.2011.06.024

EID:

2-s2.0-80052037027
Contributors: Asai, M.; McAleer, M.; Medeiros, M.C.
Source: Self-asserted source
Marcelo Medeiros via Scopus - Elsevier

Forecasting realized volatility with linear and nonlinear univariate models

2011 | Journal article
DOI:

10.1111/j.1467-6419.2010.00640.x

EID:

2-s2.0-78651416160
Contributors: McAleer, M.; Medeiros, M.C.
Source: Self-asserted source
Marcelo Medeiros via Scopus - Elsevier

Linear programming-based estimators in simple linear regression

2011 | Journal article
DOI:

10.1016/j.jeconom.2011.05.011

EID:

2-s2.0-80053307804
Contributors: Preve, D.; Medeiros, M.C.
Source: Self-asserted source
Marcelo Medeiros via Scopus - Elsevier

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

2011 | Journal article
DOI:

10.1002/jae.1171

EID:

2-s2.0-80053068008
Contributors: Audrino, F.; Medeiros, M.C.
Source: Self-asserted source
Marcelo Medeiros via Scopus - Elsevier

Moment-based estimation of smooth transition regression models with endogenous variables

2011 | Journal article
DOI:

10.1016/j.jeconom.2011.05.009

EID:

2-s2.0-80053337736
Contributors: Areosa, W.D.; McAleer, M.; Medeiros, M.C.
Source: Self-asserted source
Marcelo Medeiros via Scopus - Elsevier

Linearity testing for fuzzy rule-based models

2010 | Journal article
DOI:

10.1016/j.fss.2010.01.005

EID:

2-s2.0-77950629339
Contributors: Aznarte, J.L.; Medeiros, M.C.; Benítez, J.M.
Source: Self-asserted source
Marcelo Medeiros via Scopus - Elsevier

Testing for remaining autocorrelation of the residuals in the framework of fuzzy rule-based time series modelling

2010 | Journal article
DOI:

10.1142/S021848851000660X

EID:

2-s2.0-77954547257
Contributors: Aznarte, J.L.; Medeiros, M.C.; Benítez, J.M.
Source: Self-asserted source
Marcelo Medeiros via Scopus - Elsevier

The benefits of bagging for forecast models of realized volatility

2010 | Journal article
DOI:

10.1080/07474938.2010.481554

EID:

2-s2.0-77956743996
Contributors: Hillebrand, E.; Medeiros, M.C.
Source: Self-asserted source
Marcelo Medeiros via Scopus - Elsevier

The link between statistical learning theory and econometrics: Applications in economics, finance, and marketing

2010 | Journal article
DOI:

10.1080/07474938.2010.481544

EID:

2-s2.0-77956716564
Contributors: Maasoumi, E.; Medeiros, M.C.
Source: Self-asserted source
Marcelo Medeiros via Scopus - Elsevier

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

2009 | Journal article
DOI:

10.1016/j.ijforecast.2009.01.008

EID:

2-s2.0-61849155777
Contributors: Scharth, M.; Medeiros, M.C.
Source: Self-asserted source
Marcelo Medeiros via Scopus - Elsevier

Modeling multiple regimes in financial volatility with a flexible coefficient garch(1,1) model

2009 | Journal article
DOI:

10.1017/S026646660809004X

EID:

2-s2.0-61849171924
Contributors: Medeiros, M.C.; Veiga, A.
Source: Self-asserted source
Marcelo Medeiros via Scopus - Elsevier

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

2008 | Journal article
DOI:

10.1016/j.jeconom.2008.09.032

EID:

2-s2.0-55349091307
Contributors: McAleer, M.; Medeiros, M.C.
Source: Self-asserted source
Marcelo Medeiros via Scopus - Elsevier

A neural network demand system with heteroskedastic errors

2008 | Journal article
DOI:

10.1016/j.jeconom.2008.09.031

EID:

2-s2.0-55949091986
Contributors: McAleer, M.; Medeiros, M.C.; Slottje, D.
Source: Self-asserted source
Marcelo Medeiros via Scopus - Elsevier

An alternative approach to estimating demand: Neural network regression with conditional volatility for high frequency air passenger arrivals

2008 | Journal article
DOI:

10.1016/j.jeconom.2008.09.018

EID:

2-s2.0-55949136826
Contributors: Medeiros, M.C.; McAleer, M.; Slottje, D.; Ramos, V.; Rey-Maquieira, J.
Source: Self-asserted source
Marcelo Medeiros via Scopus - Elsevier

Estimating and forecasting GARCH models in the presence of structural breaks and regime switches

2008 | Book
DOI:

10.1016/S1574-8715(07)00208-4

EID:

2-s2.0-84896513795
Contributors: Hillebrand, E.; Medeiros, M.C.
Source: Self-asserted source
Marcelo Medeiros via Scopus - Elsevier

Modeling and forecasting short-term electricity load: A comparison of methods with an application to Brazilian data

2008 | Journal article
DOI:

10.1016/j.ijforecast.2008.08.003

EID:

2-s2.0-55349147976
Contributors: Soares, L.J.; Medeiros, M.C.
Source: Self-asserted source
Marcelo Medeiros via Scopus - Elsevier

Realized volatility: A review

2008 | Journal article
DOI:

10.1080/07474930701853509

EID:

2-s2.0-40549142517
Contributors: McAleer, M.; Medeiros, M.C.
Source: Self-asserted source
Marcelo Medeiros via Scopus - Elsevier

Tree-structured smooth transition regression models

2008 | Journal article
DOI:

10.1016/j.csda.2007.08.018

EID:

2-s2.0-38149033564
Contributors: da Rosa, J.C.; Veiga, A.; Medeiros, M.C.
Source: Self-asserted source
Marcelo Medeiros via Scopus - Elsevier

Building neural network models for time series: A statistical approach

2006 | Journal article
DOI:

10.1002/for.974

EID:

2-s2.0-31644446914
Contributors: Medeiros, M.C.; Teräsvirta, T.; Rech, G.
Source: Self-asserted source
Marcelo Medeiros via Scopus - Elsevier

A flexible coefficient smooth transition time series model

2005 | Journal article
DOI:

10.1109/TNN.2004.836246

EID:

2-s2.0-13844275978
Contributors: Medeiros, M.C.; Veiga, A.
Source: Self-asserted source
Marcelo Medeiros via Scopus - Elsevier

Linear models, smooth transition autoregressions, and neural networks for forecasting macroeconomic time series: A re-examination

2005 | Journal article
DOI:

10.1016/j.ijforecast.2005.04.010

EID:

2-s2.0-26944442012
Contributors: Teräsvirta, T.; van Dijk, D.; Medeiros, M.C.
Source: Self-asserted source
Marcelo Medeiros via Scopus - Elsevier

Reply

2005 | Journal article
DOI:

10.1016/j.ijforecast.2005.04.011

EID:

2-s2.0-26944487605
Contributors: Teräsvirta, T.; van Dijk, D.; Medeiros, M.C.
Source: Self-asserted source
Marcelo Medeiros via Scopus - Elsevier

Local global neural networks: A new approach for nonlinear time series modeling

2004 | Journal article
DOI:

10.1198/016214504000001691

EID:

2-s2.0-10844281822
Contributors: Suárez-Fariñas, M.; Pedreira, C.E.; Medeiros, M.C.
Source: Self-asserted source
Marcelo Medeiros via Scopus - Elsevier

Diagnostic checking in a flexible nonlinear time series model

2003 | Journal article
DOI:

10.1111/1467-9892.00316

EID:

2-s2.0-0141976692
Contributors: Medeiros, M.C.; Veiga, A.
Source: Self-asserted source
Marcelo Medeiros via Scopus - Elsevier

A combinatorial approach to piecewise linear time series analysis

2002 | Journal article
DOI:

10.1198/106186002317375712

EID:

2-s2.0-0036004151
Contributors: Medeiros, M.C.; Veiga, A.; Resende, M.G.C.
Source: Self-asserted source
Marcelo Medeiros via Scopus - Elsevier

Modeling exchange rates: Smooth transitions, neural networks, and linear models

2001 | Journal article
DOI:

10.1109/72.935089

EID:

2-s2.0-0035392124
Contributors: Medeiros, M.C.; Veiga, A.; Pedreira, C.E.
Source: Self-asserted source
Marcelo Medeiros via Scopus - Elsevier

Piecewise linear time series estimation with GRASP

2001 | Journal article
DOI:

10.1023/A:1011238718363

EID:

2-s2.0-0035399129
Contributors: Medeiros, M.C.; Resende, M.G.C.; Veiga, A.
Source: Self-asserted source
Marcelo Medeiros via Scopus - Elsevier

Statistical methods for modelling neural networks

2001 | Journal article
EID:

2-s2.0-0035576634
Contributors: Medeiros, M.C.; Teräsvirta, T.
Source: Self-asserted source
Marcelo Medeiros via Scopus - Elsevier

What are the effects of forecasting linear time series with neural networks?

2001 | Journal article
EID:

2-s2.0-0035577127
Contributors: Medeiros, M.C.; Pedreira, C.E.
Source: Self-asserted source
Marcelo Medeiros via Scopus - Elsevier

A hybrid linear-neural model for time series forecasting

2000 | Journal article
DOI:

10.1109/72.883463

EID:

2-s2.0-0001121243
Contributors: Medeiros, M.C.; Veiga, Á.
Source: Self-asserted source
Marcelo Medeiros via Scopus - Elsevier

Universality in bootstrap and diffusion percolation

1997 | Journal article
EID:

2-s2.0-0042630891
Contributors: Medeiros, M.C.; Chaves, C.M.
Source: Self-asserted source
Marcelo Medeiros via Scopus - Elsevier
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