Browsing FGV EESP - Textos para Discussão / Working Paper Series by Author "Medeiros, Marcelo C."

Now showing items 1-4 of 4

    • Arco: an artificial counterfactual approach for high-dimensional panel time-series data 

      Carvalho, Carlos Viana de; Masini, Ricardo Pereira; Medeiros, Marcelo C.
      2017
      We 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 ...

    • Modeling and predicting the CBOE market volatility index 

      Fernandes, Marcelo; Medeiros, Marcelo C.; Scharth, Marcel
      2013-12-09
      This 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 ...

    • The perils of counterfactual analysis with integrated processes 

      Carvalho, Carlos Viana de; Masini, Ricardo Pereira; Medeiros, Marcelo C.
      2017
      Recently, 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 autoregressive conditional duration model 

      Fernandes, Marcelo; Medeiros, Marcelo C.; Veiga, Alvaro
      2013-12-09
      In 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 ...