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Information about:
Marcelo C. Medeiros

Personal Details | Affiliation | Works
This is information that was supplied by Marcelo Medeiros in registering through RePEc. If you are Marcelo C. Medeiros , you may change this information at RePEc. Or if you are not registered and would like to be listed as well, register at RePEc. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

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Personal Details

First Name: Marcelo
Middle Name: C.
Last Name: Medeiros
Suffix:

RePEc Short-ID: pme53

Email:
Homepage: http://www.econ.puc-rio.br/mcm
Postal Address: Department of Economics Pontifical Catholic University of Rio de Janeiro(PUC-Rio) Rua Marquês de São Vicente, 225 - Gávea 22453-900 Rio de Janeiro, RJ BRAZIL
Phone: +55 21 3527-1078

Affiliation

(in no particular order)

Works

| Working papers | Articles | Access and download statistics | Citations (if any)| NEP Fields |
Download all references for this author: available formats: HTML (with abstracts), plain text (with abstracts), BibTeX, RIS (EndNote), ReDIF

Working papers

  1. Francesco Audrino & Marcelo C. Medeiros, 2008. "Smooth Regimes, Macroeconomic Variables, and Bagging for the Short-Term Interest Rate Process," University of St. Gallen Department of Economics working paper series 2008 2008-16, Department of Economics, University of St. Gallen. [Downloadable!]

  2. Areosa, W.D. & McAleer, M. & Medeiros, M.C., 2008. "Moment-bases estimation of smooth transition regression models with endogenous variables," Econometric Institute Report EI 2008-36 Revision_Date:, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
    Other versions:

  3. Asai, M. & McAleer, M. & Medeiros, M.C., 2008. "Asymmetry and leverage in realized volatility," Econometric Institute Report EI 2008-31 Revision_Date:, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
    Other versions:

  4. Eric Hillebrand & Marcelo Cunha Medeiros, 2007. "Forecasting realized volatility models:the benefits of bagging and nonlinear specifications," Textos para discussão 547, Department of Economics PUC-Rio (Brazil). [Downloadable!]

  5. Eduardo Mendes & Alvaro Veiga & MArcelo Cunha Medeiros, 2007. "Estimation And Asymptotic Theory For A New Class Of Mixture Models," Textos para discussão 538, Department of Economics PUC-Rio (Brazil). [Downloadable!]

  6. Marcelo Fernandes & Marcelo Cunha Medeiros & MArcelo Scharth, 2007. "Modeling and predicting the CBOE market volatility index," Textos para discussão 548, Department of Economics PUC-Rio (Brazil). [Downloadable!]

  7. Michael McAller & Marcelo C. Medeiros, 2007. "A multiple regime smooth transition heterogeneous autoregressive model for long memory and asymmetries," Textos para discussão 544, Department of Economics PUC-Rio (Brazil). [Downloadable!]
    Published as:

  8. Marcel Scharth & Marcelo Cunha Medeiros, 2006. "Asymmetric effects and long memory in the volatility of Dow Jones stocks," Textos para discussão 532, Department of Economics PUC-Rio (Brazil). [Downloadable!]

  9. Michael McAleer & Marcelo Cunha Medeiros, 2006. "Realized volatility: a review," Textos para discussão 531 Publication status: F, Department of Economics PUC-Rio (Brazil). [Downloadable!]
    Published as:

  10. MArcelo Carvalho & MArco Aurelio Freire & Marcelo Cunha Medeiros & Leonardo Souza, 2006. "Modeling and forecasting the volatility of Brazilian asset returns," Textos para discussão 530, Department of Economics PUC-Rio (Brazil). [Downloadable!]

  11. Marcelo Fernandes & Marcelo Cunha Medeiros & Alvaro Veiga, 2006. "A (semi-)parametric functional coefficient autoregressive conditional duration model," Textos para discussão 535, Department of Economics PUC-Rio (Brazil). [Downloadable!]

  12. Marcelo Cunha Medeiros & Felix Chan & Michael McAller, 2005. "Structure and asymptotic theory for STAR(1)-GARCH(1,1) models," Textos para discussão 506, Department of Economics PUC-Rio (Brazil).

  13. Lacir J. Soares & Marcelo Cunha Medeiros, 2005. "Modelling and forecasting short-term electricity load: a two step methodology," Textos para discussão 495, Department of Economics PUC-Rio (Brazil). [Downloadable!]

  14. Teräsvirta, Timo & van Dijk, Dick & Medeiros, Marcelo, 2004. "Linear models, smooth transition autoregressions, and neural networks for forecasting macroeconomic time series: A re-examination," Working Paper Series in Economics and Finance 561, Stockholm School of Economics, revised 04 Nov 2004.
    Other versions:
    Published as:

  15. Marcelo Cunha Medeiros, 2004. "A package for neural network modelling," Textos para discussão 489, Department of Economics PUC-Rio (Brazil). [Downloadable!]

  16. Marcelo Cunha Medeiros & Alvaro Veiga, 2004. "Modelling multiple regimes in financial volatility with a flexible coefficient GARCH model," Textos para discussão 486, Department of Economics PUC-Rio (Brazil). [Downloadable!]

  17. Marcelo de Paiva Abreu & Marcelo Cunha Medeiros & Rogério L.F. Werneck, 2003. "Formação de preços de commodities: padrões de vinculação dos preços internos ao externos," Textos para discussão 474, Department of Economics PUC-Rio (Brazil). [Downloadable!]

  18. Mayte Suarez Farinãs & Carlos Eduardo Pedreira & Marcelo C. Medeiros, 2003. "Local-global neural networks: a new approach for nonlinear time series modelling," Textos para discussão 470, Department of Economics PUC-Rio (Brazil). [Downloadable!]
    Published as:

  19. Joel Corrêa da Rosa & Álvaro Veiga & Marcelo C. Medeiros, 2003. "Three-structured smooth transition regression models based on CART algorithm," Textos para discussão 469, Department of Economics PUC-Rio (Brazil). [Downloadable!]

  20. Marcelo C. Medeiros & Alvaro Veiga, 2002. "Are There Multiple Regimes in Financial Volatility?," Computing in Economics and Finance 2002 311, Society for Computational Economics.

  21. Leonardo Souza & Alvaro Veiga & Marcelo C. Medeiros, 2002. "Evaluating the performance of GARCH models using White´s Reality Check," Textos para discussão 453, Department of Economics PUC-Rio (Brazil). [Downloadable!]

  22. Medeiros, Marcelo C. & Teräsvirta, Timo & Rech, Gianluigi, 2002. "Building neural network models for time series: A statistical approach," Working Paper Series in Economics and Finance 508, Stockholm School of Economics. [Downloadable!]
    Other versions:
    Published as:

  23. Marcelo Castelo Branco & Marcio Garcia & Marcelo C. Medeiros, 2002. "Currency Risk in Brazil under Two Different Exchange Rate Regimes," Computing in Economics and Finance 2002 188, Society for Computational Economics.

  24. Filipe R. Campante & Luciano Vereda & Marcelo C. Medeiros, 2002. "Modeling and forecasting Brazilian industrial production: unit roots, seasonality and non-linearity," Computing in Economics and Finance 2002 189, Society for Computational Economics.

  25. Maria José Salgado & Márcio Gomes Pinto Garcia & Marcelo C. Medeiros, 2001. "Monetary policy during Brazil´s Real Plan: estimating the Central Bank´s reaction function," Textos para discussão 444, Department of Economics PUC-Rio (Brazil). [Downloadable!]
    Published as:

  26. Marcelo C. Medeiros & Timo Terasvirta, 2001. "Statistical methods for modelling neural networks," Textos para discussão 445, Department of Economics PUC-Rio (Brazil). [Downloadable!]

  27. Marcelo C. Medeiros & Carlos E. Pedreira, 2001. "What are the effects of forecasting linear time series with neural networks," Textos para discussão 446, Department of Economics PUC-Rio (Brazil). [Downloadable!]

  28. Medeiros, Marcelo & Veiga, Alvaro, 2000. "A Flexible Coefficient Smooth Transition Time Series Model," Working Paper Series in Economics and Finance 360, Stockholm School of Economics, revised 10 Feb 2000.

  29. Marcelo Cunha Medeiros & Álvaro Veiga & Carlos Eduardo Pedreira, 2000. "Modelling exchange rates: smooth transitions, neural networks, and linear models," Textos para discussão 432, Department of Economics PUC-Rio (Brazil). [Downloadable!]

  30. Medeiros, Marcelo & Veiga, Alvaro & Resende, Mauricio, 2000. "A Combinatorial Approach to Piecewise Linear Time Series Analysis," Working Paper Series in Economics and Finance 393, Stockholm School of Economics.

  31. Medeiros, Marcelo & Veiga, Alvaro, 2000. "Diagnostic Checking in a Flexible Nonlinear Time Series Model," Working Paper Series in Economics and Finance 386, Stockholm School of Economics, revised 15 Jan 2001.
    Published as:

Articles

  1. Medeiros, Marcelo C. & Veiga, Alvaro, 2009. "Modeling Multiple Regimes In Financial Volatility With A Flexible Coefficient Garch(1,1) Model," Econometric Theory, Cambridge University Press, vol. 25(01), pages 117-161, February. [Downloadable!]

  2. McAleer, Michael & Medeiros, Marcelo C., 2008. "A multiple regime smooth transition Heterogeneous Autoregressive model for long memory and asymmetries," Journal of Econometrics, Elsevier, vol. 147(1), pages 104-119, November. [Downloadable!] (restricted)
    Other versions:

  3. McAleer, Michael & Medeiros, Marcelo C. & Slottje, Daniel, 2008. "A neural network demand system with heteroskedastic errors," Journal of Econometrics, Elsevier, vol. 147(2), pages 359-371, December. [Downloadable!] (restricted)

  4. Michael McAleer & Marcelo Medeiros, 2008. "Realized Volatility: A Review," Econometric Reviews, Taylor and Francis Journals, vol. 27(1-3), pages 10-45. [Downloadable!] (restricted)
    Other versions:

  5. Medeiros, Marcelo C. & McAleer, Michael & Slottje, Daniel & Ramos, Vicente & Rey-Maquieira, Javier, 2008. "An alternative approach to estimating demand: Neural network regression with conditional volatility for high frequency air passenger arrivals," Journal of Econometrics, Elsevier, vol. 147(2), pages 372-383, December. [Downloadable!] (restricted)

  6. da Rosa, Joel Correa & Veiga, Alvaro & Medeiros, Marcelo C., 2008. "Tree-structured smooth transition regression models," Computational Statistics & Data Analysis, Elsevier, vol. 52(5), pages 2469-2488, January. [Downloadable!] (restricted)

  7. Soares, Lacir J. & Medeiros, Marcelo C., 2008. "Modeling and forecasting short-term electricity load: A comparison of methods with an application to Brazilian data," International Journal of Forecasting, Elsevier, vol. 24(4), pages 630-644. [Downloadable!] (restricted)

  8. Timo Teräsvirta & Marcelo C. Medeiros & Gianluigi Rech, 2006. "Building neural network models for time series: a statistical approach," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 25(1), pages 49-75. [Downloadable!]
    Other versions:

  9. Terasvirta, Timo & van Dijk, Dick & Medeiros, Marcelo C., 2005. "Reply," International Journal of Forecasting, Elsevier, vol. 21(4), pages 781-783. [Downloadable!] (restricted)

  10. Maria José S. Salgado & Márcio G. P. Garcia & Marcelo C. Medeiros, 2005. "Monetary Policy During Brazil´s Real Plan: Estimating the Central Bank´s Reaction Function," Revista Brasileira de Economia, Graduate School of Economics, Getulio Vargas Foundation (Brazil), vol. 59(1), April.
    Other versions:

  11. Terasvirta, Timo & van Dijk, Dick & Medeiros, Marcelo C., 2005. "Linear models, smooth transition autoregressions, and neural networks for forecasting macroeconomic time series: A re-examination," International Journal of Forecasting, Elsevier, vol. 21(4), pages 755-774. [Downloadable!] (restricted)
    Other versions:

  12. Mayte Suarez -Farinas & Carlos E. Pedreira & Marcelo C. Medeiros, 2004. "Local Global Neural Networks: A New Approach for Nonlinear Time Series Modeling," Journal of the American Statistical Association, American Statistical Association, vol. 99, pages 1092-1107, December. [Downloadable!] (restricted)
    Other versions:

  13. Marcelo C. Medeiros & Alvaro Veiga, 2003. "Diagnostic Checking in a Flexible Nonlinear Time Series Model," Journal of Time Series Analysis, Blackwell Publishing, vol. 24(4), pages 461-482, 07. [Downloadable!] (restricted)
    Other versions:

NEP Fields

28 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-CBA: Central Banking (1) 2008-09-13
  2. NEP-CFN: Corporate Finance (1) 2007-08-27
  3. NEP-CMP: Computational Economics (8) 2001-05-02 2001-09-26 2001-09-26 2002-09-21 2003-01-19 2004-07-18 2004-07-26 2004-10-21 Author is listed
  4. NEP-ECM: Econometrics (18) 2000-02-21 2000-06-12 2000-09-18 2001-09-26 2001-09-26 2002-04-25 2002-09-21 2003-01-19 2004-07-18 2004-07-26 2006-02-05 2006-12-01 2007-01-13 2007-04-09 2007-06-11 2007-08-27 2008-09-13 2009-03-28 Author is listed
  5. NEP-ENE: Energy Economics (1) 2005-09-11
  6. NEP-ENT: Entrepreneurship (2) 2001-09-26 2001-09-26
  7. NEP-ETS: Econometric Time Series (21) 2000-02-21 2000-06-12 2000-09-01 2001-05-02 2001-09-26 2002-04-25 2002-09-21 2003-01-19 2003-10-28 2004-07-18 2004-07-26 2004-07-26 2004-10-21 2006-02-05 2006-12-01 2006-12-01 2007-01-13 2007-04-09 2007-06-11 2007-08-27 2009-03-28 Author is listed
  8. NEP-EVO: Evolutionary Economics (1) 2001-09-26
  9. NEP-FIN: Finance (1) 2004-07-26
  10. NEP-FMK: Financial Markets (4) 2001-05-02 2004-07-26 2007-01-13 2009-03-28
  11. NEP-FOR: Forecasting (6) 2005-09-11 2006-12-01 2007-01-13 2007-06-11 2007-08-27 2007-08-27 Author is listed
  12. NEP-IFN: International Finance (2) 2001-05-02 2001-09-26
  13. NEP-LAB: Labour Economics (1) 2002-04-25
  14. NEP-MAC: Macroeconomics (3) 2004-07-26 2007-08-27 2008-09-13
  15. NEP-MON: Monetary Economics (2) 2001-09-26 2008-09-13
  16. NEP-MST: Market Microstructure (2) 2006-12-01 2006-12-01
  17. NEP-NET: Network Economics (3) 2001-05-02 2001-09-26 2001-09-26
  18. NEP-RMG: Risk Management (3) 2006-12-01 2007-01-13 2007-08-27
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This page was last updated on 2009-11-13.

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