Eduardo F Mendes

UNSW Australia Business School, School of Economics

Post-doctoral research fellow

High Street

Sydney, NSW 2052

Australia

SCHOLARLY PAPERS

4

DOWNLOADS

368

SSRN CITATIONS

0

CROSSREF CITATIONS

3

Scholarly Papers (4)

1.

L_1-Regularization of High-Dimensional Time-Series Models with Flexible Innovations

Number of pages: 49 Posted: 04 Jul 2015
Marcelo C. Medeiros and Eduardo F Mendes
Pontifical Catholic University of Rio de Janeiro (PUC-Rio) - Department of Economics and UNSW Australia Business School, School of Economics
Downloads 120 (272,929)
Citation 1

Abstract:

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sparse models, shrinkage, LASSO, adaLASSO, time series, forecasting, GARCH.

2.

Adaptive LASSO Estimation for ARDL Models with GARCH Innovations

Number of pages: 20 Posted: 05 Jul 2015 Last Revised: 17 Aug 2016
Marcelo C. Medeiros and Eduardo F Mendes
Pontifical Catholic University of Rio de Janeiro (PUC-Rio) - Department of Economics and UNSW Australia Business School, School of Economics
Downloads 115 (279,691)
Citation 2

Abstract:

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ARDL, GARCH, sparse models, shrinkage, LASSO, adaLASSO, time series

3.

Testing for Symmetry and Conditional Symmetry Using Asymmetric Kernels

Swiss Finance Institute Research Paper No. 11-32
Number of pages: 32 Posted: 22 Aug 2011 Last Revised: 16 Apr 2014
Marcelo Fernandes, O. Scaillet and Eduardo F Mendes
Queen Mary University of London - Economics Department, University of Geneva GSEM and GFRI and UNSW Australia Business School, School of Economics
Downloads 98 (311,923)

Abstract:

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asymmetric kernel, gamma kernel, inverse Gaussian kernel, nonparametric testing, reciprocal inverse Gaussian kernel, symmetry

4.

Markov Interacting Importance Samplers

Number of pages: 44 Posted: 26 Feb 2015 Last Revised: 25 Jun 2015
Eduardo F Mendes, Marcel Scharth and Robert Kohn
UNSW Australia Business School, School of Economics, The University of Sydney and University of New South Wales - School of Economics and School of Banking and Finance
Downloads 35 (514,338)
Citation 1

Abstract:

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Bayesian inference, Control variates, Mixed Logit, PMCMC, Markov Modulated Poisson Process, Rao-Blackwellization, Variance reduction