Listagem por autor "Medeiros, Marcelo C."
Itens para a visualização no momento 1-13 of 13
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Adaptive LASSO estimation for ARDL models with GARCH innovations
2017In this paper, we show the validity of the adaptive least absolute shrinkage and selection operator (LASSO) procedure in estimating stationary autoregressive distributed lag(p,q) models with innovations in a broad class ... -
Arco: an artificial counterfactual approach for high-dimensional panel time-series data
2017We consider a new, flexible and easy-to-implement method to estimate causal effects of an intervention on a single treated unit and when a control group is not readily available. We propose a two-step methodology where in ... -
Estimating strategic complementarity in a state-dependent pricing model
2013-05Apresentação dos palestrantes Marco Bonomo - Insper e Tiago Berriel - FGV EPGE no contexto do evento "3rd Global Conference - Business Cycles". Mais informações em: <http://epge.fgv.br/conferencias/business-cycles/pt/index.php>. -
The high frequency impact of macroeconomic announcements in the Brazilian futures markets
2016-11-01The estimation of the impact of macroeconomic announcements in the Brazilian futures markets is used to uncover the relationship between macroeconomic fundamentals and asset prices. Using intraday data from October 2008 ... -
L(1)-regularization of high-dimensional time-series models with non-gaussian and heteroskedastic errors
2016-03We study the asymptotic properties of the Adaptive LASSO (adaLASSO) in sparse, high-dimensional, linear time-series models. The adaLASSO is a one-step implementation of the family of folded concave penalized least-squares. ... -
The limited power of information: monitoring and corruption deterrence-evidence from a random-audits program in Brazil
2011-05While corruption is documented to have high social costs, the mechanisms that enable and deter corruption are not entirely understood. This paper takes advantage of the introduction of a random-audits program in Brazil, ... -
Modeling and predicting the CBOE market volatility index
2013-12-09This paper performs a thorough statistical examination of the time-series properties of the daily market volatility index (VIX) from the Chicago Board Options Exchange (CBOE). The motivation lies not only on the widespread ... -
Modelling and forecasting the volatility of brazilian asset returns: a realized variance approach
2004-06-03The goal of this paper is twofold. First, using five of the most actively traded stocks in the Brazilian financial market, this paper shows that the normality assumption commonly used in the risk management area to describe ... -
The perils of counterfactual analysis with integrated processes
2017Recently, there has been a growing interest in developing econometric tools to conduct counterfactual analysis with aggregate data when a "treated" unit suffers an intervention, such as a policy change, and there is no ... -
A (semi)parametric functional coefficient logarithmic autoregressive conditional duration model
2016-08-08In this article, we propose a class of logarithmic autoregressive conditional duration (ACD)-type models that accommodates overdispersion, intermittent dynamics, multiple regimes, and asymmetries in financial durations. ... -
A (semi-)parametric functional coefficient autoregressive conditional duration model
2013-12-09In this paper, we propose a class of ACD-type models that accommodates overdispersion, intermittent dynamics, multiple regimes, and sign and size asymmetries in financial durations. In particular, our functional coefficient ... -
Tree-structured smooth transition models
2005-11-03The goal of this paper is to introduce a class of tree-structured models that combines aspects of regression trees and smooth transition regression models. The model is called the Smooth Transition Regression Tree (STR-Tree). ... -
ℓ1-regularization of high-dimensional time-series models with non-Gaussian and heteroskedastic errors
2016We study the asymptotic properties of the Adaptive LASSO (adaLASSO) in sparse, high-dimensional, linear time-series models. The adaLASSO is a one-step implementation of the family of folded concave penalized least-squares. ...
