Details about Marcelo Fernandes

Access statistics for papers by Marcelo Fernandes.

Last updated 2013-04-11. Update your information in the RePEc Author Service.

Short-id: pfe19

Working Papers

2009

1. Capital Estrangeiro e Diferenciais de Gênero nas Promoções: Evidências da Indústria de Transformação Brasileira
   Discussion Papers, Instituto de Pesquisa Econômica Aplicada - IPEA

2007

2. 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]
3. Modeling and predicting the CBOE market volatility index
   Textos para discussão, Department of Economics PUC-Rio (Brazil) View citations (3)

2006

4. A (semi-)parametric functional coefficient autoregressive conditional duration model
   Textos para discussão, Department of Economics PUC-Rio (Brazil) View citations (1)
5. 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 (4)
6. Are Price Limits on Futures Markets That Cool? Evidence from the Brazilian Mercantile and Futures Exchange
   Working Papers, Queen Mary, University of London, School of Economics and Finance
   Also in Economics Working Papers (Ensaios Economicos da EPGE), Graduate School of Economics, Getulio Vargas Foundation (Brazil) (2006) View citations (1)

2005

7. 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 (7)

2004

8. Central limit theorem for asymmetric kernel functionals
   Economics Working Papers (Ensaios Economicos da EPGE), Graduate School of Economics, Getulio Vargas Foundation (Brazil) View citations (2)
   Also in Economics Working Papers, European University Institute (2000)
   See also Journal Article in Annals of the Institute of Statistical Mathematics (2005)
9. 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)
10. Using Common Features to Construct a Preference-Free Estimator of the Stochastic Discount Factor
    Econometric Society 2004 Latin American Meetings, Econometric Society

2003

11. A family of autoregressive conditional duration models
    Economics Working Papers (Ensaios Economicos da EPGE), Graduate School of Economics, Getulio Vargas Foundation (Brazil) View citations (2)
    Also in Economics Working Papers (Ensaios Economicos da EPGE), Graduate School of Economics, Getulio Vargas Foundation (Brazil) (2002) View citations (9)
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2001) View citations (5)
    See also Journal Article in Journal of Econometrics (2006)
12. 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)
13. Nonparametric specification tests for conditional duration models
    Economics Working Papers (Ensaios Economicos da EPGE), Graduate School of Economics, Getulio Vargas Foundation (Brazil) View citations (6)
    Also in Economics Working Papers, European University Institute (2000) View citations (5)
    Computing in Economics and Finance 2000, Society for Computational Economics (2000) View citations (9)
    See also Journal Article in Journal of Econometrics (2005)

2002

14. 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)
15. 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

16. Nonparametric Entropy-Based Tests of Independence Between Stochastic Processes
    Economics Working Papers (Ensaios Economicos da EPGE), Graduate School of Economics, Getulio Vargas Foundation (Brazil)
    See also Journal Article in Econometric Reviews (2010)

2000

17. Market Microstructure Models and Markov Property
    Finance Lab Working Papers, Finance Lab, Insper Instituto de Ensino e Pesquisa
18. Market Microstructure Models and the Markov Property
    Economics Working Papers, European University Institute

Undated

19. Testing for Symmetry and Conditional Symmetry Using Asymmetric Kernels
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute

Journal Articles

2010

1. Nonparametric Entropy-Based Tests of Independence Between Stochastic Processes
   Econometric Reviews, 2010, 29, (3), 276-306 View citations (2)
   See also Working Paper (2001)

2007

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

2006

4. A family of autoregressive conditional duration models
   Journal of Econometrics, 2006, 130, (1), 1-23 View citations (29)
   See also Working Paper (2003)
5. Financial crashes as endogenous jumps: estimation, testing and forecasting
   Journal of Economic Dynamics and Control, 2006, 30, (1), 111-141 View citations (4)

2005

6. A multivariate conditional autoregressive range model
   Economics Letters, 2005, 86, (3), 435-440 View citations (6)
7. Central limit theorem for asymmetric kernel functionals
   Annals of the Institute of Statistical Mathematics, 2005, 57, (3), 425-442 View citations (3)
   See also Working Paper (2004)
8. Nonparametric specification tests for conditional duration models
   Journal of Econometrics, 2005, 127, (1), 35-68 View citations (6)
   See also Working Paper (2003)
9. O Mecanismo de Transmissão Monetária na Economia Brasileira Pós-Plano Real
   Revista Brasileira de Economia, 2005, 59, (1), 5-32

2004

10. Bounds for the probability distribution function of the linear ACD process
    Statistics & Probability Letters, 2004, 68, (2), 169-176
    See also Working Paper (2003)
11. Desempenho de Estimadores de Volatilidade na Bolsa de Valores de São Paulo
    Revista Brasileira de Economia, 2004, 58, (3), 429-448
    See also Working Paper (2002)

2001

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

1994

13. A questão da dinâmica de preços de ativos financeiros
    Revista Brasileira de Economia, 1994, 48, (2), 235-243