Research

Working Papers


  1. BooST: Boosting Smooth Trees for Partial Effect Estimation in Nonlinear Regressions. With Yuri Fonseca, Marcelo Medeiros and Álvaro Veiga. Link

  2. Managers versus Machines: Do Algorithms Replicate Human Intuition in Credit Ratings? With Matthew Harding.


Publications

2017-2023

  1. Sharpe Ratio analysis in high dimensions: Residual-based nodewise regression in factor models - Journal of Econometrics - with Mehmet Caner and Marcelo Medeiros. Link.

  2. Predicting Mortality from Credit Reports (2021) - Financial Planning Review- With Giacomo De Giorgi and Matthew Harding. Link

  3. Short-Term Covid-19 Forecast for Latecomers (2021) - International Journal of Forecasting - With Marcelo Medeiros, Alexandre Street, Davi Valladão and Eduardo Zilberman. Link

  4. Heterogeneity in the Effects of Food Vouchers on Nutrition Among Low-Income Adults: A Quantile Regression Analysis (2021)- American Journal of Health Promotion - Joint work with Justin S White, Matthew Harding, Mandy M Carroll, Christopher D Gardner, Sanjay Basu, Hilary K Seligman . Link.

  5. Forecasting Inflation in a data-rich environment: the benefits of machine learning methods (2021) - Journal of Business & Economic Statistics - With Marcelo Medeiros, Álvaro Veiga and Eduardo Zilberman. Link

  6. Measuring the aggregate effects of the Brazilian Development Bank on investment (2019)- The North American Journal of Economics and Finance - With Ricardo Barboza. Link

  7. Arco: An r package to estimate artificial counterfactuals (2018) - The R Journal - With Ricardo Masini, Yuri Fonseca and Marcelo Medeiros. Link

  8. Real-time inflation forecasting with high-dimensional models: The case of Brazil (2017) - International Journal of Forecasting - With Marcio Garcia and Marcelo Medeiros. Link

2016 and Before

  1. Mitigating wind exposure with zero-cost collar insurance (2016) - Renewable Energy - With Gláucia Fernandes, Eduardo Gomes and Luiz Brandão. Link

  2. Forecasting brazilian inflation with high-dimensional models (2016) - Brazilian Review of Econometrics - With Marcelo Medeiros and Eduardo Freitas. Link

  3. Forecasting macroeconomic variables in data-rich environments (2016) - Economics Letters - With Marcelo Medeiros. Link

  4. Parametric Portfolio Selection: Evaluating and Comparing to Markowitz Portfolios (2014) - Brazilian Review of Finance - With Marcelo Medeiros and Artur Passos. Link


Book Chapters

Penalized Time Series Regression (2020) - Macroeconomic Forecasting in the Era of Big Data - With Anders Kock and Marcelo Medeiros. Link.