Biography
Marcelo has a BA, MSc. and PhD degrees in Electrical Engineering from the Pontifical Catholic University of Rio de Janeiro (PUC-Rio), with an emphasis on Statistics, Optimization, and Control Theory. His area of research is econometrics and data science, and he is particularly interested in the intersection between econometric/statistical theory and cutting-edge machine learning tools. He focuses his research on theoretical developments and empirical applications in finance, macroeconomics, forecasting, and the evaluation of public policies, among other areas. Marcelo was elected Fellow of the Society of Financial Econometrics (SoFiE) in 2022 and serves as Associate Editor for the Journal of the American Statistical Association (Theory and Methods), the Journal of Business and Economic Statistics, and the Journal of Financial Econometrics. Marcelo has published more than 50 papers in international peer-reviewed journals such as, for example, the Journal of the American Statistical Association, the Journal of Econometrics, the Journal of Business and Economic Statistics, Econometric Theory, the International Journal of Forecasting, and the Journal of Banking and Finance.
Additional Campus Affiliations
Jorge Paulo Lemann Distinguished Chair, Economics
Assistant Head for Faculty Development, Economics
Professor, Economics
Professor, Finance
Recent Publications
Alves, R. P., de Brito, D. S., Medeiros, M. C., & Ribeiro, R. M. (2024). Forecasting Large Realized Covariance Matrices: The Benefits of Factor Models and Shrinkage. Journal of Financial Econometrics, 22(3), 696-742. Article nbad013. https://doi.org/10.1093/jjfinec/nbad013
Medeiros, M. C. (2024). Counterfactual Imputation: Comments on “Imputation of Counterfactual Outcomes when the Errors are Predictable” by Silvia Gonçalves and Serena Ng. Journal of Business and Economic Statistics, 42(4), 1128-1132. https://doi.org/10.1080/07350015.2024.2368805
Collazos, J. A. A., Dias, R., & Medeiros, M. C. (2023). Modeling the evolution of deaths from infectious diseases with functional data models: The case of COVID-19 in Brazil. Statistics in Medicine, 42(7), 993-1012. https://doi.org/10.1002/sim.9654
Fan, J., Masini, R., & Medeiros, M. C. (2023). Bridging Factor and Sparse Models. Annals of Statistics, 51(4), 1692-1717. https://doi.org/10.1214/23-AOS2304
Bollerslev, T., Medeiros, M. C., Patton, A. J., & Quaedvlieg, R. (2022). From zero to hero: Realized partial (co)variances. Journal of Econometrics, 231(2), 348-360. https://doi.org/10.1016/j.jeconom.2021.04.013