7 citations · 30 across the 13 of their papers we have counts for
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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…