4 citations · 9 across the 3 of their papers we have counts for
3 papers
econ.EM2023★ 3 cited
Forecasting inflation using disaggregates and machine learning
Gilberto Boaretto, Marcelo C. Medeiros
This paper examines the effectiveness of several forecasting methods for predicting inflation, focusing on aggregating disaggregated forecasts - also known in the literature as the…
q-fin.ST2023★ 4 cited
Forecasting Large Realized Covariance Matrices: The Benefits of Factor Models and Shrinkage
Rafael Alves, Diego S. de Brito, Marcelo C. Medeiros +1
We propose a model to forecast large realized covariance matrices of returns, applying it to the constituents of the S\&P 500 daily. To address the curse of dimensionality, we deco…
econ.EM2021★ 2 cited
Modeling and Forecasting Intraday Market Returns: a Machine Learning Approach
Iuri H. Ferreira, Marcelo C. Medeiros
In this paper we examine the relation between market returns and volatility measures through machine learning methods in a high-frequency environment. We implement a minute-by-minu…