Details about Marcelo Fernandes

Access statistics for papers by Marcelo Fernandes.

Last updated 2009-09-01. Update your information in the RePEc Author Service.

Short-id: pfe19

Working Papers

2007

1. FOREIGN CAPITAL AND GENDER DIFFERENCES IN PROMOTIONS: EVIDENCE FROM THE BRAZILIAN TRANSFORMATION INDUSTRY
   Anais do XXXV Encontro Nacional de Economia [Proceedings of the 35th Brazilian Economics Meeting], ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics]
2. Modeling and predicting the CBOE market volatility index
   Textos para discussão, Department of Economics PUC-Rio (Brazil)

2006

3. A (semi-)parametric functional coefficient autoregressive conditional duration model
   Textos para discussão, Department of Economics PUC-Rio (Brazil) View citations
4. A Stochastic Discount Factor Approach to Asset Pricing Using Panel Data
   Economics Working Papers (Ensaios Economicos da EPGE), Graduate School of Economics, Getulio Vargas Foundation (Brazil) View citations
5. Are Price Limits on Futures Markets That Cool? Evidence from the Brazilian Mercantile and Futures Exchange
   Working Papers, Queen Mary, University of London, Department of Economics
   Also in Economics Working Papers (Ensaios Economicos da EPGE), Graduate School of Economics, Getulio Vargas Foundation (Brazil) (2006)

2005

6. Estimating the Stochastic Discount Factor without a Utility Function
   Economics Working Papers (Ensaios Economicos da EPGE), Graduate School of Economics, Getulio Vargas Foundation (Brazil) View citations

2004

7. Central limit theorem for asymmetric kernel functionals
   Economics Working Papers (Ensaios Economicos da EPGE), Graduate School of Economics, Getulio Vargas Foundation (Brazil) View citations
   Also in Economics Working Papers, European University Institute (2000) View citations
   See also Journal Article in Annals of the Institute of Statistical Mathematics (2005)
8. Testing the Markov property with ultra-high frequency financial data
   FEUNL Working Paper Series, Universidade Nova de Lisboa, Faculdade de Economia
   Also in Economics Working Papers (Ensaios Economicos da EPGE), Graduate School of Economics, Getulio Vargas Foundation (Brazil) (2001)
9. Using Common Features to Construct a Preference-Free Estimator of the Stochastic Discount Factor
   Econometric Society 2004 Latin American Meetings, Econometric Society

2003

10. A family of autoregressive conditional duration models
    Economics Working Papers (Ensaios Economicos da EPGE), Graduate School of Economics, Getulio Vargas Foundation (Brazil) View citations
    Also in Economics Working Papers (Ensaios Economicos da EPGE), Graduate School of Economics, Getulio Vargas Foundation (Brazil) (2002) View citations
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2001) View citations
    See also Journal Article in Journal of Econometrics (2006)
11. Bounds for the probability distribution function of the linear ACD process
    Economics Working Papers (Ensaios Economicos da EPGE), Graduate School of Economics, Getulio Vargas Foundation (Brazil)
    See also Journal Article in Statistics & Probability Letters (2004)
12. Nonparametric specification tests for conditional duration models
    Economics Working Papers (Ensaios Economicos da EPGE), Graduate School of Economics, Getulio Vargas Foundation (Brazil) View citations
    Also in Economics Working Papers, European University Institute (2000) View citations
    Computing in Economics and Finance 2000, Society for Computational Economics (2000) View citations
    See also Journal Article in Journal of Econometrics (2005)

2002

13. Desempenho de Estimadores de Volatilidade na Bolsa de Valores de São Paulo
    Economics Working Papers (Ensaios Economicos da EPGE), Graduate School of Economics, Getulio Vargas Foundation (Brazil)
    See also Journal Article in Revista Brasileira de Economia (2004)
14. O mecanismo monetário de transmissão na economia brasileira pós-Plano Real
    Economics Working Papers (Ensaios Economicos da EPGE), Graduate School of Economics, Getulio Vargas Foundation (Brazil)

2001

15. Nonparametric Entropy-Based Tests of Independence Between Stochastic Processes
    Economics Working Papers (Ensaios Economicos da EPGE), Graduate School of Economics, Getulio Vargas Foundation (Brazil) View citations

2000

16. Market Microstructure Models and Markov Property
    Finance Lab Working Papers, Finance Lab, Ibmec São Paulo
17. Market Microstructure Models and the Markov Property
    Economics Working Papers, European University Institute

Journal Articles

2007

1. Semiparametric methods in econometrics
   Journal of Econometrics, 2007, 141, (1), 1-4
2. Testing the Markov property with high frequency data
   Journal of Econometrics, 2007, 141, (1), 44-64 View citations

2006

3. A family of autoregressive conditional duration models
   Journal of Econometrics, 2006, 130, (1), 1-23 View citations
   See also Working Paper (2003)
4. Financial crashes as endogenous jumps: estimation, testing and forecasting
   Journal of Economic Dynamics and Control, 2006, 30, (1), 111-141 View citations

2005

5. A multivariate conditional autoregressive range model
   Economics Letters, 2005, 86, (3), 435-440 View citations
6. Central limit theorem for asymmetric kernel functionals
   Annals of the Institute of Statistical Mathematics, 2005, 57, (3), 425-442 View citations
   See also Working Paper (2004)
7. Nonparametric specification tests for conditional duration models
   Journal of Econometrics, 2005, 127, (1), 35-68 View citations
   See also Working Paper (2003)
8. O Mecanismo de Transmissão Monetária na Economia Brasileira Pós-Plano Real
   Revista Brasileira de Economia, 2005, 59, (1)

2004

9. Bounds for the probability distribution function of the linear ACD process
   Statistics & Probability Letters, 2004, 68, (2), 169-176
   See also Working Paper (2003)
10. Desempenho de Estimadores de Volatilidade na Bolsa de Valores de São Paulo
    Revista Brasileira de Economia, 2004, 58, (3)
    See also Working Paper (2002)

2001

11. Economics and literature: an examination of Gulliver’s Travels
    Journal of Economic Studies, 2001, 28, (2), 92-105 View citations

1994

12. A questão da dinâmica de preços de ativos financeiros
    Revista Brasileira de Economia, 1994, 48, (2)