| Working Paper |
File Downloads |
Abstract Views |
| Last month |
3 months |
12 months |
Total |
Last month |
3 months |
12 months |
Total |
| A (semi-)parametric functional coefficient autoregressive conditional duration model |
0 |
0 |
0 |
87 |
0 |
2 |
5 |
274 |
| A (semi-)parametric functional coefficient autoregressive conditional duration model |
0 |
1 |
1 |
15 |
0 |
6 |
13 |
76 |
| A Combinatorial Approach to Piecewise Linear Time Series Analysis |
0 |
0 |
0 |
33 |
0 |
7 |
10 |
739 |
| A Flexible Coefficient Smooth Transition Time Series Model |
0 |
0 |
0 |
226 |
5 |
6 |
9 |
1,529 |
| A Note on Nonlinear Cointegration, Misspecification and Bimodality |
0 |
0 |
0 |
23 |
0 |
6 |
9 |
92 |
| A multiple regime smooth transition heterogeneous autoregressive model for long memory and asymmetries |
0 |
0 |
1 |
273 |
2 |
10 |
16 |
677 |
| ARCO: an artificial counterfactual approach for high-dimensional panel time-series data |
0 |
0 |
1 |
21 |
1 |
11 |
18 |
158 |
| Adaptative LASSO estimation for ARDL models with GARCH innovations |
0 |
0 |
1 |
68 |
2 |
5 |
10 |
135 |
| Arco: an artificial counterfactual approach for high-dimensional panel time-series data |
0 |
0 |
0 |
77 |
0 |
4 |
12 |
193 |
| Are There Multiple Regimes in Financial Volatility? |
0 |
0 |
0 |
0 |
1 |
6 |
10 |
224 |
| Asymmetric effects and long memory in the volatility of Dow Jones stocks |
0 |
0 |
0 |
160 |
1 |
9 |
14 |
477 |
| Asymmetries, breaks, and long-range dependence: An estimation framework for daily realized volatility |
0 |
0 |
1 |
63 |
0 |
5 |
11 |
157 |
| Asymmetry and Leverage in Realized Volatility |
0 |
0 |
0 |
39 |
3 |
3 |
5 |
122 |
| Asymmetry and Leverage in Realized Volatility |
0 |
0 |
0 |
20 |
4 |
8 |
11 |
97 |
| Asymmetry and Long Memory in Volatility Modelling |
0 |
0 |
0 |
26 |
1 |
9 |
12 |
117 |
| Asymmetry and Long Memory in Volatility Modelling |
0 |
0 |
0 |
20 |
0 |
6 |
12 |
147 |
| Asymmetry and Long Memory in Volatility Modelling |
0 |
0 |
0 |
77 |
1 |
9 |
9 |
141 |
| Asymmetry and Long Memory in Volatility Modelling |
0 |
0 |
0 |
29 |
2 |
11 |
17 |
147 |
| Asymmetry and leverage in realized volatility |
0 |
0 |
0 |
71 |
2 |
6 |
7 |
132 |
| Asymptotic Theory for Regressions with Smoothly Changing Parameters |
0 |
0 |
0 |
78 |
3 |
8 |
12 |
137 |
| Bagging Constrained Equity Premium Predictors |
0 |
0 |
1 |
45 |
0 |
3 |
6 |
102 |
| BooST: Boosting Smooth Trees for Partial Effect Estimation in Nonlinear Regressions |
0 |
0 |
0 |
4 |
2 |
3 |
5 |
15 |
| Bridging factor and sparse models |
0 |
0 |
0 |
31 |
0 |
6 |
14 |
83 |
| Building Neural Network Models for Time Series: A Statistical Approach |
0 |
0 |
0 |
1,106 |
0 |
6 |
10 |
2,647 |
| Building neural network models for time series: A statistical approach |
0 |
0 |
0 |
2,763 |
0 |
5 |
9 |
6,854 |
| Currency Risk in Brazil under Two Different Exchange Rate Regimes |
0 |
0 |
0 |
0 |
1 |
3 |
4 |
1,146 |
| Diagnostic Checking in a Flexible Nonlinear Time Series Model |
0 |
0 |
0 |
77 |
0 |
6 |
11 |
849 |
| Do We Exploit all Information for Counterfactual Analysis? Benefits of Factor Models and Idiosyncratic Correction |
0 |
0 |
0 |
26 |
0 |
6 |
11 |
37 |
| ESTIMATION AND ASYMPTOTIC THEORY FOR A NEW CLASS OF MIXTURE MODELS |
0 |
0 |
0 |
48 |
0 |
5 |
8 |
179 |
| Economic gains of realized volatility in the Brazilian stock market |
0 |
0 |
0 |
55 |
0 |
3 |
5 |
61 |
| Estimating High-Dimensional Time Series Models |
0 |
0 |
0 |
153 |
2 |
7 |
7 |
364 |
| Estimating High-Dimensional Time Series Models |
0 |
0 |
0 |
54 |
0 |
7 |
16 |
177 |
| Estimating Strategic Complementarity in a State-Dependent Pricing Model |
0 |
0 |
0 |
25 |
1 |
71 |
74 |
164 |
| Estimating Strategic Complementarity in a State-Dependent Pricing Model |
0 |
0 |
0 |
14 |
0 |
2 |
4 |
96 |
| Estimation and Forecasting of Large Realized Covariance Matrices and Portfolio Choice |
0 |
0 |
0 |
59 |
1 |
7 |
8 |
99 |
| Estimation and Forecasting of Large Realized Covariance Matrices and Portfolio Choice |
0 |
0 |
0 |
41 |
0 |
3 |
9 |
59 |
| Evaluating the performance of GARCH models using White´s Reality Check |
0 |
0 |
1 |
314 |
2 |
8 |
9 |
889 |
| Forecasting Large Realized Covariance Matrices: The Benefits of Factor Models and Shrinkage |
0 |
0 |
1 |
67 |
0 |
7 |
13 |
35 |
| Forecasting Realized Volatility with Linear and Nonlinear Models |
0 |
0 |
0 |
44 |
0 |
7 |
10 |
135 |
| Forecasting Realized Volatility with Linear and Nonlinear Models |
0 |
0 |
0 |
73 |
0 |
2 |
6 |
173 |
| Forecasting Realized Volatility with Linear and Nonlinear Models |
0 |
0 |
0 |
86 |
0 |
5 |
7 |
163 |
| Forecasting Realized Volatility with Linear and Nonlinear Models |
0 |
0 |
0 |
18 |
3 |
8 |
8 |
84 |
| Forecasting Realized Volatility with Linear and Nonlinear Univariate Models |
0 |
0 |
0 |
84 |
3 |
8 |
13 |
151 |
| Forecasting inflation using disaggregates and machine learning |
2 |
3 |
9 |
69 |
7 |
16 |
40 |
126 |
| Forecasting realized volatility models:the benefits of bagging and nonlinear specifications |
0 |
0 |
0 |
199 |
0 |
12 |
13 |
508 |
| Formação de preços de commodities: padrões de vinculação dos preços internos ao externos |
0 |
1 |
1 |
157 |
0 |
5 |
5 |
795 |
| Let's Do It Again: Bagging Equity Premium Predictors |
0 |
0 |
0 |
91 |
1 |
5 |
8 |
116 |
| Let´s do it again: bagging equity premium predictors |
0 |
0 |
0 |
13 |
1 |
2 |
6 |
60 |
| Linear Programming-Based Estimators in Simple Linear Regression |
0 |
0 |
1 |
55 |
0 |
4 |
6 |
280 |
| Linear models, smooth transition autoregressions and neural networks for forecasting macroeconomic time series: A reexamination |
0 |
0 |
1 |
767 |
0 |
8 |
15 |
1,496 |
| Linear models, smooth transition autoregressions, and neural networks for forecasting macroeconomic time series: A re-examination |
0 |
0 |
0 |
240 |
0 |
7 |
7 |
1,505 |
| Linearity Testing Against a Fuzzy Rule-based Model |
0 |
0 |
0 |
17 |
2 |
10 |
11 |
88 |
| Local-global neural networks: a new approach for nonlinear time series modelling |
0 |
0 |
0 |
188 |
1 |
6 |
7 |
508 |
| Lockdown effects in US states: an artificial counterfactual approach |
0 |
0 |
0 |
2 |
1 |
3 |
6 |
19 |
| Machine Learning Advances for Time Series Forecasting |
0 |
1 |
3 |
183 |
1 |
21 |
37 |
269 |
| Modeling and Forecasting Intraday Market Returns: a Machine Learning Approach |
0 |
3 |
5 |
38 |
2 |
19 |
30 |
59 |
| Modeling and Forecasting Short-term Interest Rates: The Benefits of Smooth Regimes, Macroeconomic Variables, and Bagging |
0 |
0 |
0 |
105 |
2 |
6 |
16 |
282 |
| Modeling and forecasting the volatility of Brazilian asset returns |
0 |
0 |
0 |
82 |
3 |
6 |
6 |
271 |
| Modeling and predicting the CBOE market volatility index |
1 |
2 |
4 |
552 |
3 |
12 |
28 |
1,640 |
| Modeling and predicting the CBOE market volatility index |
0 |
1 |
1 |
91 |
0 |
8 |
16 |
290 |
| Modelling and Forecasting Noisy Realized Volatility |
0 |
0 |
0 |
52 |
1 |
6 |
8 |
133 |
| Modelling and Forecasting Noisy Realized Volatility |
0 |
0 |
0 |
67 |
4 |
13 |
16 |
145 |
| Modelling and Forecasting Noisy Realized Volatility |
0 |
0 |
0 |
64 |
1 |
6 |
9 |
161 |
| Modelling and Forecasting Noisy Realized Volatility |
0 |
0 |
0 |
63 |
0 |
2 |
11 |
141 |
| Modelling and Forecasting Noisy Realized Volatility |
0 |
0 |
0 |
23 |
0 |
4 |
6 |
154 |
| Modelling and forecasting short-term electricity load: a two step methodology |
0 |
0 |
0 |
299 |
0 |
3 |
7 |
695 |
| Modelling exchange rates: smooth transitions, neural networks, and linear models |
0 |
0 |
0 |
451 |
2 |
4 |
9 |
1,051 |
| Modelling multiple regimes in financial volatility with a flexible coefficient GARCH model |
0 |
0 |
0 |
303 |
0 |
6 |
10 |
641 |
| Moment-Based Estimation of Smooth Transition Regression Models with Endogenous Variables |
0 |
0 |
0 |
78 |
2 |
7 |
10 |
226 |
| Moment-based estimation of smooth transition regression models with endogenous variables |
0 |
0 |
1 |
78 |
1 |
14 |
15 |
287 |
| Moment-bases estimation of smooth transition regression models with endogenous variables |
0 |
0 |
0 |
64 |
3 |
13 |
13 |
195 |
| Monetary policy during Brazil´s Real Plan: estimating the Central Bank´s reaction function |
0 |
0 |
0 |
440 |
1 |
3 |
4 |
1,793 |
| Nonlinear Cointegration, Misspecification and Bimodality |
0 |
0 |
0 |
33 |
1 |
9 |
10 |
124 |
| Nonlinearity, Breaks, and Long-Range Dependence in Time-Series Models |
0 |
0 |
0 |
82 |
1 |
2 |
3 |
107 |
| O Impacto de Anúncios Econômicos no Mercado Futuro Brasileiro de Ações, Juros e Câmbio |
1 |
2 |
2 |
36 |
3 |
7 |
10 |
93 |
| Online Action Learning in High Dimensions: A Conservative Perspective |
0 |
0 |
0 |
4 |
0 |
4 |
7 |
21 |
| Price Discovery in Brazilian FX Markets |
1 |
1 |
2 |
62 |
5 |
11 |
16 |
228 |
| Price Discovery no Mercado de Câmbio Brasileiro: O Preço é Formado no Mercado à Vista ou Futuro? |
0 |
0 |
0 |
10 |
0 |
2 |
3 |
38 |
| Realized volatility: a review |
0 |
0 |
3 |
887 |
0 |
10 |
24 |
1,856 |
| Regularized Estimation of High-Dimensional Vector AutoRegressions with Weakly Dependent Innovations |
0 |
0 |
0 |
21 |
0 |
2 |
2 |
20 |
| Sharpe Ratio Analysis in High Dimensions: Residual-Based Nodewise Regression in Factor Models |
0 |
0 |
0 |
28 |
0 |
6 |
15 |
58 |
| Short-Term Covid-19 Forecast for Latecomers |
0 |
0 |
0 |
6 |
1 |
2 |
3 |
26 |
| Smooth Regimes, Macroeconomic Variables, and Bagging for the Short-Term Interest Rate Process |
0 |
0 |
0 |
82 |
3 |
5 |
11 |
282 |
| Statistical methods for modelling neural networks |
0 |
0 |
0 |
850 |
1 |
7 |
9 |
2,215 |
| Structure and Asymptotic theory for Nonlinear Models with GARCH Errors |
0 |
0 |
0 |
37 |
0 |
7 |
7 |
81 |
| The Impacts of Mobility on Covid-19 Dynamics: Using Soft and Hard Data |
0 |
0 |
0 |
2 |
0 |
3 |
4 |
15 |
| The Proper Use of Google Trends in Forecasting Models |
0 |
0 |
5 |
56 |
4 |
7 |
21 |
107 |
| The impact of macroeconomic announcements in the Brazilian futures markets |
0 |
1 |
4 |
43 |
0 |
5 |
8 |
92 |
| The perils of Counterfactual Analysis with Integrated Processes |
0 |
0 |
0 |
39 |
1 |
5 |
15 |
84 |
| The perils of counterfactual analysis with integrated processes |
0 |
0 |
0 |
87 |
0 |
5 |
7 |
52 |
| Three-structured smooth transition regression models based on CART algorithm |
0 |
0 |
0 |
305 |
0 |
9 |
13 |
1,089 |
| What are the effects of forecasting linear time series with neural networks |
0 |
0 |
0 |
189 |
0 |
3 |
3 |
503 |
| l1-Regularization of High-Dimensional Time-Series Models with Flexible Innovations |
0 |
0 |
0 |
70 |
1 |
8 |
11 |
186 |
| Total Working Papers |
5 |
16 |
50 |
14,353 |
103 |
675 |
1,066 |
41,544 |
| Journal Article |
File Downloads |
Abstract Views |
| Last month |
3 months |
12 months |
Total |
Last month |
3 months |
12 months |
Total |
| A (Semi)Parametric Functional Coefficient Logarithmic Autoregressive Conditional Duration Model |
0 |
0 |
0 |
0 |
0 |
2 |
3 |
21 |
| A Note on Nonlinear Cointegration, Misspecification, and Bimodality |
0 |
0 |
0 |
6 |
0 |
4 |
6 |
47 |
| A Smooth Transition Finite Mixture Model for Accommodating Unobserved Heterogeneity |
0 |
0 |
0 |
2 |
0 |
1 |
3 |
19 |
| A multiple regime smooth transition Heterogeneous Autoregressive model for long memory and asymmetries |
0 |
0 |
1 |
97 |
0 |
3 |
14 |
375 |
| A neural network demand system with heteroskedastic errors |
0 |
0 |
2 |
58 |
0 |
20 |
25 |
222 |
| Adaptive LASSO estimation for ARDL models with GARCH innovations |
0 |
0 |
1 |
19 |
0 |
4 |
6 |
89 |
| An alternative approach to estimating demand: Neural network regression with conditional volatility for high frequency air passenger arrivals |
0 |
0 |
0 |
50 |
0 |
3 |
9 |
285 |
| ArCo: An artificial counterfactual approach for high-dimensional panel time-series data |
0 |
0 |
1 |
62 |
3 |
6 |
19 |
299 |
| Asymmetric effects and long memory in the volatility of Dow Jones stocks |
0 |
0 |
0 |
31 |
1 |
14 |
21 |
159 |
| Asymmetry and Long Memory in Volatility Modeling |
0 |
0 |
0 |
29 |
2 |
3 |
7 |
123 |
| Asymptotic Theory for Regressions with Smoothly Changing Parameters |
0 |
0 |
0 |
22 |
2 |
5 |
8 |
71 |
| Building neural network models for time series: a statistical approach |
0 |
0 |
1 |
530 |
2 |
8 |
12 |
1,175 |
| Counterfactual Analysis With Artificial Controls: Inference, High Dimensions, and Nonstationarity |
0 |
0 |
1 |
3 |
1 |
5 |
8 |
14 |
| Counterfactual Analysis and Inference With Nonstationary Data |
0 |
0 |
1 |
4 |
0 |
1 |
4 |
13 |
| Diagnostic Checking in a Flexible Nonlinear Time Series Model |
0 |
0 |
0 |
77 |
0 |
3 |
4 |
326 |
| Do We Exploit all Information for Counterfactual Analysis? Benefits of Factor Models and Idiosyncratic Correction |
0 |
0 |
0 |
4 |
0 |
1 |
6 |
13 |
| Economic gains of realized volatility in the Brazilian stock market |
0 |
0 |
1 |
7 |
0 |
4 |
7 |
45 |
| Evaluating the Forecasting Performance of GARCH Models Using White’s Reality Check |
0 |
0 |
0 |
7 |
2 |
7 |
7 |
38 |
| FORECASTING REALIZED VOLATILITY WITH LINEAR AND NONLINEAR UNIVARIATE MODELS |
0 |
0 |
0 |
0 |
1 |
6 |
8 |
89 |
| Forecasting Brazilian Inflation with High-Dimensional Models |
0 |
1 |
3 |
15 |
2 |
4 |
6 |
51 |
| Forecasting Inflation in a Data-Rich Environment: The Benefits of Machine Learning Methods |
11 |
26 |
117 |
334 |
32 |
91 |
358 |
886 |
| Forecasting macroeconomic variables in data-rich environments |
0 |
1 |
5 |
64 |
1 |
7 |
20 |
171 |
| Foreign Exchange Rate Futures Trends: Foreign Exchange Risk or Systematic Forecasting Errors? |
0 |
0 |
0 |
2 |
0 |
1 |
1 |
13 |
| From zero to hero: Realized partial (co)variances |
1 |
1 |
2 |
7 |
3 |
8 |
11 |
23 |
| Instrument selection for estimation of a forward-looking Phillips Curve |
0 |
0 |
0 |
21 |
2 |
5 |
8 |
74 |
| Inflation Dynamics in Brazil: The Case of a Small Open Economy |
0 |
0 |
1 |
6 |
0 |
3 |
12 |
50 |
| Is the convergence of the manufacturing sector unconditional? |
0 |
0 |
0 |
7 |
2 |
6 |
6 |
72 |
| Jumps in stock prices: New insights from old data |
2 |
2 |
4 |
6 |
2 |
6 |
20 |
38 |
| Linear models, smooth transition autoregressions, and neural networks for forecasting macroeconomic time series: A re-examination |
0 |
1 |
1 |
301 |
2 |
5 |
9 |
662 |
| Linear programming-based estimators in simple linear regression |
0 |
0 |
0 |
23 |
2 |
4 |
9 |
153 |
| Local Global Neural Networks: A New Approach for Nonlinear Time Series Modeling |
0 |
0 |
0 |
29 |
0 |
8 |
8 |
115 |
| MODELING MULTIPLE REGIMES IN FINANCIAL VOLATILITY WITH A FLEXIBLE COEFFICIENT GARCH(1,1) MODEL |
0 |
0 |
0 |
58 |
1 |
5 |
9 |
155 |
| Machine learning advances for time series forecasting |
0 |
4 |
15 |
58 |
10 |
90 |
129 |
245 |
| Model Selection and Shrinkage: An Overview |
0 |
0 |
0 |
19 |
0 |
1 |
2 |
54 |
| Modeling and Forecasting Large Realized Covariance Matrices and Portfolio Choice |
0 |
0 |
0 |
23 |
0 |
2 |
2 |
71 |
| Modeling and Forecasting the Volatility of Brazilian Asset Returns: a Realized Variance Approach |
0 |
0 |
1 |
3 |
1 |
2 |
5 |
31 |
| Modeling and forecasting short-term electricity load: A comparison of methods with an application to Brazilian data |
0 |
0 |
0 |
86 |
0 |
2 |
5 |
244 |
| Modeling and forecasting short‐term interest rates: The benefits of smooth regimes, macroeconomic variables, and bagging |
0 |
0 |
0 |
0 |
0 |
11 |
12 |
93 |
| Modeling and predicting the CBOE market volatility index |
0 |
1 |
3 |
88 |
3 |
9 |
21 |
318 |
| Modelling and forecasting noisy realized volatility |
0 |
0 |
0 |
37 |
0 |
3 |
5 |
174 |
| Moment-based estimation of smooth transition regression models with endogenous variables |
1 |
1 |
1 |
43 |
4 |
8 |
9 |
154 |
| Monetary Policy During Brazil´s Real Plan: Estimating the Central Bank´s Reaction Function |
0 |
0 |
0 |
0 |
0 |
2 |
3 |
24 |
| Nonlinear Error Correction Models With an Application to Commodity Prices |
0 |
0 |
0 |
0 |
1 |
3 |
3 |
16 |
| Nonlinearity, Breaks, and Long-Range Dependence in Time-Series Models |
0 |
0 |
0 |
4 |
1 |
2 |
7 |
26 |
| Parametric Portfolio Selection: Evaluating and Comparing to Markowitz Portfolios |
0 |
0 |
0 |
34 |
1 |
5 |
7 |
92 |
| Price Discovery in Brazilian FX Markets |
1 |
1 |
2 |
12 |
2 |
8 |
19 |
107 |
| Real-time inflation forecasting with high-dimensional models: The case of Brazil |
1 |
1 |
6 |
147 |
2 |
9 |
24 |
429 |
| Realized Volatility: A Review |
1 |
2 |
5 |
323 |
3 |
11 |
31 |
992 |
| Regularized estimation of high‐dimensional vector autoregressions with weakly dependent innovations |
0 |
0 |
0 |
4 |
0 |
2 |
2 |
11 |
| Reply |
0 |
0 |
0 |
24 |
2 |
5 |
7 |
99 |
| Sharpe Ratio analysis in high dimensions: Residual-based nodewise regression in factor models |
1 |
1 |
1 |
3 |
1 |
6 |
10 |
25 |
| Short-term Covid-19 forecast for latecomers |
0 |
0 |
0 |
2 |
1 |
8 |
12 |
17 |
| Structure and asymptotic theory for nonlinear models with GARCH erros |
0 |
0 |
0 |
9 |
0 |
6 |
9 |
66 |
| The Benefits of Bagging for Forecast Models of Realized Volatility |
0 |
1 |
1 |
49 |
0 |
6 |
15 |
176 |
| The High Frequency Impact of Macroeconomic Announcements in the Brazilian Futures Markets |
0 |
0 |
1 |
7 |
0 |
9 |
16 |
56 |
| The Link Between Statistical Learning Theory and Econometrics: Applications in Economics, Finance, and Marketing |
0 |
0 |
1 |
196 |
0 |
3 |
7 |
505 |
| Tree-structured smooth transition regression models |
0 |
0 |
0 |
29 |
1 |
4 |
7 |
88 |
| Unobserved Heterogeneity in Regression Models: A Semiparametric Approach Based on Nonlinear Sieves |
0 |
0 |
0 |
6 |
2 |
4 |
7 |
38 |
| ℓ1-regularization of high-dimensional time-series models with non-Gaussian and heteroskedastic errors |
1 |
1 |
5 |
87 |
4 |
8 |
22 |
267 |
| Total Journal Articles |
20 |
45 |
184 |
3,174 |
102 |
482 |
1,052 |
10,304 |
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