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econ.EM2026
Estimation risk in conditional expectiles
Marcelo Fernandes, Vitor Henriques, Eduardo Fonseca Mendes
We establish the consistency and asymptotic normality of a two-step estimator of conditional expectiles in the context of conditional scale models. We first estimate the conditiona…
econ.EM2020
Machine Learning Advances for Time Series Forecasting
Ricardo P. Masini, Marcelo C. Medeiros, Eduardo F. Mendes
In this paper we survey the most recent advances in supervised machine learning and high-dimensional models for time series forecasting. We consider both linear and nonlinear alter…