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An adaLASSO variation for seasonal time series, Rangel, L. N., Ziegelmann F. A., and Konzen E. , (Submitted)
Robust estimation of fractional seasonal processes: Modeling and forecasting daily average SO 2 concentrations, Reisen, V. A., Monte E. Z., Franco G. C., Sgrancio A. M., Molinares F. A. F., Bondon P., and Ziegelmann F. A. , Mathematics and Computers in Simulation, Volume 146, p.27-43, (2018)
Robust factor modelling for high-dimensional time series: An application to air pollution data, Reisen, V. A., Sgrancio A. M., Levy-Leduc C., Bondon P., Monte E. Z., Cotta H., and Ziegelmann F. A. , Applied Mathematics and Computation, Volume 346, p.842-852, (2019)
Realized Semicovariances: Empirical Applications to Volatility Forecasting and Portfolio Optimization, Ricco, R., and Ziegelmann F. A. , Brazilian Review of Finance, Volume 21, Issue 33, p.99-122, (2023)