Marcelo C. Medeiros

The University of Illinois at Urbana-Champaign

Professor of Economics

1407 West Gregory Drive

Urbana, IL 61801

United States

SCHOLARLY PAPERS

20

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SSRN CITATIONS
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Top 12,721

in Total Papers Citations

110

CROSSREF CITATIONS

15

Scholarly Papers (20)

1.

Forecasting Inflation in a Data-Rich Environment: The Benefits of Machine Learning Methods

Number of pages: 88 Posted: 02 May 2018 Last Revised: 08 May 2019
The University of Illinois at Urbana-Champaign, Pontifical Catholic University of Rio de Janeiro (PUC-Rio) - Department of Electrical Engineering, Pontifical Catholic University of Rio de Janeiro (PUC-Rio) - Department of Economics and Department of Economics, PUC-Rio
Downloads 1,726 (19,637)
Citation 55

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Big Data, Inflation Forecasting, Shrinkage, Factor Models, LASSO, Random Forests, Machine Learning

2.

Global Inflation: Implications for forecasting and monetary policy

Number of pages: 83 Posted: 30 Jun 2022 Last Revised: 17 Apr 2023
The University of Illinois at Urbana-Champaign, Aarhus UniversityAarhus University - CREATES and Aarhus University - School of Business and Social Sciences
Downloads 1,399 (27,026)

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global inflation, inflation forecasting, machine learning, random forests, neural networks, shrinkage

3.

ARCO: An Artificial Counterfactual Approach for High-Dimensional Panel Time-Series Data

Number of pages: 60 Posted: 17 Aug 2016 Last Revised: 23 Jul 2018
Carlos Carvalho, Ricardo Masini and Marcelo C. Medeiros
Pontifical Catholic University of Rio de Janeiro (PUC-Rio) - Department of Economics, Princeton University and The University of Illinois at Urbana-Champaign
Downloads 645 (78,884)
Citation 6

Abstract:

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counterfactual analysis, comparative studies, LASSO, ArCo, synthetic control, policy evaluation, intervention, structural break, panel data, factor models.

4.

Forecasting Large Realized Covariance Matrices: The Benefits of Factor Models and Shrinkage

Number of pages: 54 Posted: 11 May 2018 Last Revised: 28 Mar 2023
Rafael Alves, Diego Brito, Marcelo C. Medeiros and Ruy Ribeiro
affiliation not provided to SSRN, Pontifical Catholic University of Rio de Janeiro (PUC-Rio) - Department of Economics, The University of Illinois at Urbana-Champaign and Insper
Downloads 633 (80,722)
Citation 9

Abstract:

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realized covariance, factor models, shrinkage, Lasso, forecasting, portfolio allocation, big data

5.

Forecasting Realized Volatility with Linear and Nonlinear Models

Number of pages: 26 Posted: 01 Nov 2009
Michael McAleer and Marcelo C. Medeiros
Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute and The University of Illinois at Urbana-Champaign
Downloads 587 (88,821)

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financial econometrics, volatility forecasting, neural networks, nonlinear models, realized volatility, bagging.

6.

Asymmetry and Leverage in Realized Volatility

Number of pages: 31 Posted: 02 Sep 2009
Manabu Asai, Michael McAleer and Marcelo C. Medeiros
Soka University - Faculty of Economics, Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute and The University of Illinois at Urbana-Champaign
Downloads 467 (117,600)

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Asymmetry, leverage, realized volatility, integrated volatility, measurement errors, forecasts

7.

Modelling and Forecasting Noisy Realized Volatility

Number of pages: 47 Posted: 21 Sep 2009
Manabu Asai, Michael McAleer and Marcelo C. Medeiros
Soka University - Faculty of Economics, Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute and The University of Illinois at Urbana-Champaign
Downloads 465 (118,168)
Citation 4

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realized volatility, diffusion, financial econometrics, measurement errors, forecasting, model evaluation, goodness-of-fit

8.

Bridging Factor and Sparse Models

Number of pages: 65 Posted: 09 Mar 2021 Last Revised: 06 Sep 2022
Jianqing Fan, Ricardo Masini and Marcelo C. Medeiros
Princeton University - Bendheim Center for Finance, Princeton University and The University of Illinois at Urbana-Champaign
Downloads 334 (171,761)
Citation 7

Abstract:

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Factor models, sparse regression, high-dimensional, supervised learning, hypothesis testing, covariance structure.

9.

The Perils of Counterfactual Analysis with Integrated Processes

Number of pages: 41 Posted: 06 Jan 2017
Carlos Carvalho, Ricardo Masini and Marcelo C. Medeiros
Pontifical Catholic University of Rio de Janeiro (PUC-Rio) - Department of Economics, Princeton University and The University of Illinois at Urbana-Champaign
Downloads 281 (205,938)
Citation 4

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Counterfactual Analysis, Comparative Studies, Panel Data, ArCo, Synthetic Control, Policy Evaluation, Intervention, Cointegration, Factor Models, Spurious Regression, Nonstationarity

10.

Counterfactual Analysis With Artificial Controls: Inference, High Dimensions and Nonstationarity

Number of pages: 65 Posted: 03 Jan 2019 Last Revised: 03 Aug 2021
Ricardo Masini and Marcelo C. Medeiros
Princeton University and The University of Illinois at Urbana-Champaign
Downloads 228 (253,286)
Citation 9

Abstract:

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counterfactual analysis, comparative studies, panel data, synthetic control, policy evaluation, intervention, cointegration, spurious regression, nonstationarity, inference, resampling

11.

Jumps in Stock Prices: New Insights from Old Data

Number of pages: 53 Posted: 17 Aug 2018 Last Revised: 19 Mar 2021
James A Johnson, Marcelo C. Medeiros and Bradley S. Paye
University of Georgia, C. Herman and Mary Virginia Terry College of Business, Students, The University of Illinois at Urbana-Champaign and Virginia Tech - Department of Finance, Insurance, and Business Law
Downloads 194 (293,958)

Abstract:

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jumps, discontinuities, equity premium, high-frequency data, realized variance, jump variation, stock return predictability

12.

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
The University of Illinois at Urbana-Champaign and UNSW Australia Business School, School of Economics
Downloads 190 (300,959)
Citation 2

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

13.

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
The University of Illinois at Urbana-Champaign and UNSW Australia Business School, School of Economics
Downloads 177 (319,031)
Citation 3

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

14.

Linear Programming-Based Estimators in Simple Linear Regression

Journal of Econometrics, Vol. 165, 2011
Number of pages: 15 Posted: 15 Aug 2012
Daniel P. A. Preve and Marcelo C. Medeiros
Singapore Management University and The University of Illinois at Urbana-Champaign
Downloads 142 (383,949)

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linear regression, endogeneity, linear programming estimator, quasi-maximum likelihood estimator, exact distribution

15.

Estimation and Forecasting of Large Realized Covariance Matrices and Portfolio Choice

Tinbergen Institute Discussion Paper 14-147/III
Number of pages: 34 Posted: 14 Nov 2014
Laurent Callot, Anders Bredahl Kock and Marcelo C. Medeiros
VU University Amsterdam, Aarhus University - CREATES and The University of Illinois at Urbana-Champaign
Downloads 134 (401,779)
Citation 10

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Realized covariance, vector autoregression, shrinkage, Lasso, forecasting, portfolio allocation

16.

Smooth Regimes, Macroeconomic Variables, and Bagging for the Short-Term Interest Rate Process

University of St. Gallen, Department of Economics, Discussion Paper No. 2008-16
Number of pages: 37 Posted: 18 Aug 2008
Francesco Audrino and Marcelo C. Medeiros
University of St. Gallen and The University of Illinois at Urbana-Champaign
Downloads 107 (475,769)

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Short-term interest rate, Regression tree, Smooth transition, Conditional variance, Bagging, Asymptotic theory

17.

Counterfactual Analysis and Inference with Nonstationary Data

Number of pages: 35 Posted: 11 Jan 2020 Last Revised: 13 Jul 2020
Ricardo Masini and Marcelo C. Medeiros
Princeton University and The University of Illinois at Urbana-Champaign
Downloads 74 (599,705)
Citation 4

Abstract:

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counterfactual analysis, comparative studies, panel data, ArCo, syn- thetic control, policy evaluation, intervention, cointegration, factor models, spurious regression, nonstationarity

18.

Sharpe Ratio Analysis in High Dimensions: Residual Based Nodewise Regression in Factor Models

Journal of Econometrics, Forthcoming
Number of pages: 86 Posted: 04 Apr 2022
Mehmet Caner, Marcelo C. Medeiros and Gabriel F.R. Vasconcelos
North Carolina State University - Department of Economics, The University of Illinois at Urbana-Champaign and Department of Electrical Engineering
Downloads 56 (691,345)
Citation 3

Abstract:

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Machine Learning, Portfolio Formation, Lasso

19.

Do We Exploit All Information for Counterfactual Analysis? Benefits of Factor Models and Idiosyncratic Correction

Number of pages: 33 Posted: 07 Jan 2021
Jianqing Fan, Ricardo Masini and Marcelo C. Medeiros
Princeton University - Bendheim Center for Finance, Princeton University and The University of Illinois at Urbana-Champaign
Downloads 51 (721,097)
Citation 3

Abstract:

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counterfactual estimation, synthetic controls, ArCo, treatment effects, factor models, high-dimensional testing, LASSO, FarmTreat.

20.

The Link between Statistical Learning Theory and Econometrics: Applications in Economics, Finance, and Marketing

Econometric Reviews, 2010
Posted: 03 Jul 2015
Esfandiar Maasoumi and Marcelo C. Medeiros
Emory University and The University of Illinois at Urbana-Champaign

Abstract:

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Bagging, Forecasting, Mixture of models, Model combination, Neural networks, Nonlinear models, Regression trees, Statistical learning, Support vector regression