Generating Joint Scenarios for Renewable Generation: The Case for non-Gaussian Models with Time-Varying Parameters
IEEE: Transactions on Power Systems
Henrique Helfer, Alexandre Street, Cristiano Fernandes


Five different distributions for the Lee-Carter model of mortality forecasting: A comparison using GAS models
Insurance Mathematics and Economics
César Neves, Cristiano Fernandes, Henrique Hoetgebaum

Real-time inflation forecasting with high-dimensional models: The case of Brazil
International Journal of Forecasting (2017)
Márcio Garcia, Marcelo C. Medeiros, Gabriel F. R. Vasconcelos


Forecasting macroeconomic variables in data-rich environments
Economic Letters (2016)
Marcelo C. Medeiros, Gabriel F. R. Vasconcelos

Mitigating wind exposure with zero-cost collar insurance
Renewable Energy (2016)
Glaucia Fernandes, Leonardo Gomes, Gabriel F. R. Vasconcelos, Luiz E. Brandão


Parametric Portfolio Selection: Evaluating and Comparing to Markowitz Portfolios
Brazilian Review of Finance (2014)
Marcelo C. Medeiros, Artur M. Passos, Gabriel F. R. Vasconcelos