@article {8308,
	title = {An adaLASSO variation for seasonal time series},
	year = {Submitted},
	author = {Rangel, L. N. and F. A. Ziegelmann and E. Konzen}
}
@article {8306,
	title = {Combining LASSO-Type Methods with a Smooth Transition Random Forest},
	year = {Submitted},
	author = {Gandini, A. and F. A. Ziegelmann}
}
@article {8493,
	title = {Dynamic Factor Copulas for Minimum-CVaR Portfolio Optimization},
	year = {Submitted},
	author = {G. Alovisi and F. A. Ziegelmann}
}
@article {8492,
	title = {Forecasting Tail Risk for Energy Markets via Dynamic GAS Vine Copulas},
	year = {Submitted},
	author = {L. Abreu and P. Tofoli and F. A. Ziegelmann}
}
@article {8305,
	title = {Machine Learning Methods and Time Series: a Through Comparison Study via Simulation and U.S. Inflation Forecasting},
	year = {Submitted},
	author = {Boesch, K. and F. A. Ziegelmann}
}
@article {7724,
	title = {Measuring and explaining efficiency of different countries responses to COVID-19 pandemic: a conditional robust nonparametric approach},
	year = {Submitted},
	author = {Kuchenbecker, A. S. and Torrent, H. S. and F. A. Ziegelmann}
}
@article {7728,
	title = {(Portuguese) O Impacto do Com{\'e}rcio Internacional sobre as Condi{\c c}{\~o}es de Sa{\'u}de: uma Abordagem Estrutural},
	journal = {Revista Brasileira de Economia},
	volume = {77},
	year = {2023},
	pages = {e122023},
	author = {Souza, W. P. S. F. and F. A. Ziegelmann and Figueiredo, E. A.}
}
@article {7725,
	title = {A Pairs Trading Strategy based on Mixed Copulas},
	journal = {The Quarterly Review of Economics and Finance},
	volume = {87},
	year = {2023},
	pages = {16-34},
	author = {Silva, F. B. S. and F. A. Ziegelmann and J. F. Caldeira}
}
@article {7726,
	title = {Realized Semicovariances: Empirical Applications to Volatility Forecasting and Portfolio Optimization},
	journal = {Brazilian Review of Finance},
	volume = {21},
	year = {2023},
	pages = {99-122},
	author = {Ricco, R. and F. A. Ziegelmann}
}
@article {7723,
	title = {Robust Nonparametric Frontier Estimation in Two Steps},
	journal = {Econometric Reviews},
	volume = {42},
	year = {2023},
	pages = {612-634},
	publisher = {Submitted},
	author = {Chen, Y. and Torrent, H. S. and F. A. Ziegelmann}
}
@article {7722,
	title = {Measuring systemic risk via GAS models and extreme value theory: Revisiting the 2007 financial crisis},
	journal = {Finance Research Letters},
	volume = {38},
	year = {2021},
	pages = {101498},
	author = {Gavronski, P. and F. A. Ziegelmann}
}
@article {6188,
	title = {(Portuguese) Uma nota sobre o pr{\^e}mio salarial em empresas exportadoras brasileiras},
	journal = {Revista Brasileira de Economia},
	volume = {74},
	year = {2020},
	pages = {221-232},
	author = {Souza, W and F. A. Ziegelmann and E. Figueiredo}
}
@article {5233,
	title = {Dynamic D-Vine Copula Model with Applications to Value-at-Risk (VaR)},
	journal = {Journal of Time Series Econometrics},
	volume = {11},
	year = {2019},
	pages = {20170016},
	author = {T{\'o}foli, P. and F. A. Ziegelmann and Silva Filho, O.C. and Pereira, P.L.V.}
}
@article {5460,
	title = {Mixing conditions of conjugate processes},
	journal = {Chilean Journal of Statistics},
	volume = {10},
	year = {2019},
	pages = {123-129},
	author = {E. Horta and F. A. Ziegelmann}
}
@article {4937,
	title = {Robust factor modelling for high-dimensional time series: An application to air pollution data},
	journal = {Applied Mathematics and Computation},
	volume = {346},
	year = {2019},
	pages = {842-852},
	author = {V. A. Reisen and A. M. Sgrancio and C. Levy-Leduc and P. Bondon and E. Z. Monte and H. Cotta and F. A. Ziegelmann}
}
@article {6187,
	title = {(Portuguese) As Condi{\c c}{\~o}es de Sa{\'u}de Afetam os Rendimentos do Trabalho? Evid{\^e}ncias para o Mercado de Trabalho no Brasil},
	journal = {Economia Aplicada},
	volume = {22},
	year = {2018},
	pages = {113-150},
	author = {Souza, W and F. A. Ziegelmann and E. Figueiredo}
}
@article {4940,
	title = {Conjugate processes: Theory and application to risk forecasting},
	journal = {Stochastic Processes and their Applications},
	volume = {128},
	year = {2018},
	pages = {727-755},
	author = {E. Horta and F. A. Ziegelmann}
}
@article {4938,
	title = {Dynamics of financial returns densities: A functional approach applied to the Bovespa intraday index},
	journal = {International Journal of Forecasting},
	volume = {34},
	year = {2018},
	pages = {75-88},
	author = {E. Horta and F. A. Ziegelmann}
}
@article {4939,
	title = {Robust estimation of fractional seasonal processes: Modeling and forecasting daily average SO 2 concentrations},
	journal = {Mathematics and Computers in Simulation},
	volume = {146},
	year = {2018},
	pages = {27-43},
	author = {V. A. Reisen and E. Z. Monte and G. C. Franco and A. M. Sgrancio and F. A. F. Molinares and P. Bondon and F. A. Ziegelmann}
}
@article {4945,
	title = {A Comparison Study of Copula Models for European Financial Index Returns},
	journal = {International Journal of Economics and Finance},
	volume = {9},
	year = {2017},
	pages = {155-178},
	author = {P. Tofoli and F. A. Ziegelmann and O. C. Silva Filho}
}
@article {4948,
	title = {Identifying the spectral representation of Hilbertian time series},
	journal = {Statistics \& Probability Letters},
	volume = {118},
	year = {2016},
	pages = {45-49},
	author = {E. Horta and F. A. Ziegelmann}
}
@article {4946,
	title = {LASSO-Type Penalties for Covariate Selection and Forecasting in Time Series},
	journal = {Journal of Forecasting},
	volume = {35},
	year = {2016},
	pages = {592-612},
	author = {E. Konzen and F. A. Ziegelmann}
}
@article {4947,
	title = {Market risk forecasting for high dimensional portfolios via factor copulas with GAS dynamics},
	journal = {Insurance Mathematics \& Economics},
	volume = {70},
	year = {2016},
	pages = {66-79},
	author = {M. Bartels and F. A. Ziegelmann}
}
@article {4949,
	title = {Selection of Minimum Variance Portfolio Using Intraday Data: An Empirical Comparison Among Different Realized Measures for BM\&FBovespa Data},
	journal = {Brazilian Review of Econometrics},
	volume = {35},
	year = {2015},
	pages = {23-46},
	author = {B.K. Borges and J. F. Caldeira and F. A. Ziegelmann}
}
@article {4953,
	title = {(Portuguese) Previs{\~o}es para o crescimento do PIB trimestral brasileiro com s{\'e}ries financeiras e econ{\^o}micas mensais: uma aplica{\c c}{\~a}o de MIDAS},
	journal = {Economia Aplicada},
	volume = {18},
	year = {2014},
	pages = {295-318},
	author = {P. T. Zuanazzi and F. A. Ziegelmann}
}
@article {4950,
	title = {Assessing Dependence Between Financial Market Indexes Using Conditional Time-Varying Copulas: Applications to Value at Risk},
	journal = {Quantitative Finance},
	volume = {14},
	year = {2014},
	pages = {2155-2170},
	author = {O. C. Silva Filho and F. A. Ziegelmann and M. Dueker}
}
@article {4951,
	title = {Assessing some stylized facts about financial market indexes: a Markov copula approach},
	journal = {Journal of Economic Studies (Bradford)},
	volume = {41},
	year = {2014},
	pages = {253-271},
	author = {O. C. Silva Filho and F. A. Ziegelmann}
}
@article {4952,
	title = {Volatility Forecasting via MIDAS, HAR and their Combination: An Empirical Comparative Study for IBOVESPA},
	journal = {Journal of Forecasting},
	volume = {33},
	year = {2014},
	pages = {284-299},
	author = {D. G. Santos and F. A. Ziegelmann}
}
@article {4955,
	title = {Local exponential frontier estimation},
	journal = {Brazilian Review of Econometrics},
	volume = {33},
	year = {2013},
	pages = {171-216},
	author = {C. Martins Filho and H. Torrent and F. A. Ziegelmann}
}
@article {4954,
	title = {A nonparametric method for estimating asymmetric densities based on skewed Birnbaum-Saunders distributions applied to environmental data},
	journal = {. Stochastic Environmental Research and Risk Assessment},
	volume = {27},
	year = {2013},
	pages = {1479-1491},
	author = {H. Saulo and V. Leiva and F. A. Ziegelmann and C. Marchant}
}
@article {4958,
	title = {(Portuguese) Desempenho do modelo estoc{\'a}stico de m{\'e}dia-vari{\^a}ncia para o mercado brasileiro de a{\c c}{\~o}es},
	journal = {Produto \& Produ{\c c}{\~a}o},
	volume = {13},
	year = {2012},
	pages = {63-73},
	author = {H. H. Hoeltgebaum and T. P. Filomena and D. Borenstein and M. Lejeune and F. A. Ziegelmann}
}
@article {4956,
	title = {(Portuguese) Estima{\c c}{\~a}o e Previs{\~a}o de Volatilidade em Per{\'\i}odos de Crise: Um Estudo Comparando Modelos GARCH e Modelos Aditivos Semi-Param{\'e}tricos},
	journal = {Revista Brasileira de Finan{\c c}as},
	volume = {10},
	year = {2012},
	pages = {49-70},
	author = {D. G. Santos and F. A. Ziegelmann}
}
@article {4957,
	title = {Modeling dependence dynamics through copulas with regime switching},
	journal = {Insurance Mathematics \& Economics},
	volume = {50},
	year = {2012},
	pages = {346-356},
	author = {O. C. Silva Filho and F. A. Ziegelmann and M. Dueker}
}
@article {4959,
	title = {Semiparametric estimation of volatility: some models and complexity choice in the adaptive functional-coefficient class},
	journal = {Journal of Statistical Computation and Simulation},
	volume = {81},
	year = {2011},
	pages = {707-728},
	author = {F. A. Ziegelmann}
}
@article {4962,
	title = {The Dynamics of the Brazilian Income},
	journal = {Economics Bulletin},
	volume = {30},
	year = {2010},
	pages = {1249-1260},
	author = {E. Figueiredo and F. A. Ziegelmann}
}
@article {4963,
	title = {Estimating income mobility using census data},
	journal = {Physica A},
	volume = {389},
	year = {2010},
	pages = {4897-4903},
	author = {E. Figueiredo and F. A. Ziegelmann}
}
@article {4961,
	title = {Estimation of Opportunity Inequality in Brazil using Nonparametric Local Logistic Regression},
	journal = {Journal of Development Studies},
	volume = {46},
	year = {2010},
	pages = {1593-1606},
	author = {E. Figueiredo and F. A. Ziegelmann}
}
@article {4960,
	title = {Identifying the Finite Dimensionality of Curve Time Series},
	journal = {Annals of Statistics},
	volume = {38},
	year = {2010},
	pages = {3352-3386},
	author = {N. Bathia and Q. Yao and F. A. Ziegelmann}
}
@article {4964,
	title = {(Portuguese) Algumas Simula{\c c}{\~o}es de Efeitos de Mobilidade de Renda sobre o N{\'\i}vel de Bem-Estar},
	journal = {Revista Brasileira de Economia},
	volume = {63},
	year = {2009},
	pages = {317-328},
	author = {E. Figueiredo and F. A. Ziegelmann}
}
@article {4965,
	title = {(Portuguese) Mudan{\c c}a na Distribui{\c c}{\~a}o de Renda Brasileira: Signific{\^a}ncia Estat{\'\i}stica e Bem-Estar Econ{\^o}mico},
	journal = {Revista de Ecoomia Aplicada},
	volume = {2009},
	year = {2009},
	pages = {257-277},
	author = {E. Figueiredo and F. A. Ziegelmann}
}
@article {4966,
	title = {(Portuguese) Identifica{\c c}{\~a}o de Estruturas N{\~a}o_lineares de S{\'e}ries Temporais atrav{\'e}s de Regress{\~a}o Linear Local e Modelos Aditivos},
	journal = {Pesquisa Operacional},
	volume = {28},
	year = {2008},
	pages = {45-57},
	author = {R. M. Kirchner and R. Souza and F. A. Ziegelmann}
}
@article {4967,
	title = {A Local Linear Least-Absolute-Deviations Estimator of Volatility},
	journal = {Communications in Statistics Simulation and Computation},
	volume = {37},
	year = {2008},
	pages = {1543-1564},
	author = {F. A. Ziegelmann}
}
@article {4968,
	title = {Identification of the structure of linear and non-linear time series models, using nonparametric estimation via local kernel functions},
	journal = {Advances in Soft Computing},
	volume = {1},
	year = {2004},
	pages = {589-596},
	author = {R. M. Kirchner and R. Souza and F. A. Ziegelmann}
}
@article {3810,
	title = {The Local Exponential Estimator},
	journal = {Econometric Theory},
	volume = {18},
	year = {2002},
	pages = {985-992},
	author = {Ziegelmann, Flavio A.}
}
@article {4969,
	title = {(Portuguese) Modelos de Volatilidade Estoc{\'a}stica com Deforma{\c c}{\~a}o Temporal: Um Estudo Emp{\'\i}rico para o {\'I}ndice BOVESPA},
	journal = {Pesquisa e Planejamento Econ{\^o}mico},
	volume = {27},
	year = {1997},
	pages = {323-343},
	author = {P. V. Pereira and F. A. Ziegelmann}
}
