Details about Marcelo Fernandes

Access statistics for papers by Marcelo Fernandes.

Last updated 2024-12-06. Update your information in the RePEc Author Service.

Short-id: pfe19

Working Papers

2019

1. A Panel-based Proxy for Gun Prevalence in the US
   NBER Working Papers, National Bureau of Economic Research, Inc
2. Price discovery in a continuous-time setting
   University of East Anglia School of Economics Working Paper Series, School of Economics, University of East Anglia, Norwich, UK.
   See also Journal Article Price Discovery in a Continuous-Time Setting*, Journal of Financial Econometrics, Oxford University Press (2021) View citations (5) (2021)
3. Smoothing quantile regressions
   Papers, arXiv.org View citations (2)
   Also in Textos para discussão, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil) (2017) View citations (3)
   See also Journal Article Smoothing Quantile Regressions, Journal of Business & Economic Statistics, Taylor & Francis Journals (2021) View citations (21) (2021)

2017

4. A dynamic Nelson-Siegel model with forward-looking indicators for the yield curve in the US
   Textos para discussão, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil)
   Also in Working Papers, Department of Economics, University of São Paulo (FEA-USP) (2016)
5. Disagreement in inflation forecasts and inflation risk premia in Brazil
   Textos para discussão, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil)
   See also Journal Article Disagreement in Inflation Forecasts and Inflation Risk Premia in Brazil, Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE (2017) (2017)
6. Disentangling the effect of private and public cash flows on firm value
   Textos para discussão, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil)
   Also in Working Papers, Queen Mary University of London, School of Economics and Finance (2016) View citations (1)
7. Improving on daily measures of price discovery
   Textos para discussão, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil)
8. The government as a large shareholder: impact on corporate governance
   Textos para discussão, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil) View citations (4)

2016

9. Armas de Fogo e Suicídios
   Discussion Papers, Instituto de Pesquisa Econômica Aplicada - IPEA
10. Component shares in continuous time
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University
11. Forecasting the Brazilian Yield Curve Using Forward-Looking Variables
    Working Papers, Queen Mary University of London, School of Economics and Finance
    See also Journal Article Forecasting the Brazilian yield curve using forward-looking variables, International Journal of Forecasting, Elsevier (2017) View citations (5) (2017)

2015

12. Anticipatory Effects in the FTSE 100 Index Revisions
    Working Papers, Queen Mary University of London, School of Economics and Finance
    Also in Textos para discussão, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil) (2013)
    See also Journal Article Anticipatory effects in the FTSE 100 index revisions, Journal of Empirical Finance, Elsevier (2016) View citations (5) (2016)
13. March Madness in Wall Street: (What) Does the Market Learn from Stress Tests?
    IMF Working Papers, International Monetary Fund View citations (11)
    Also in Working Papers, Queen Mary University of London, School of Economics and Finance (2015) View citations (10)
    See also Journal Article March madness in Wall Street: (What) does the market learn from stress tests?, Journal of Banking & Finance, Elsevier (2020) View citations (24) (2020)
14. The Government as a Large Shareholder: Impact on Firm Value and Corporate Governance
    Working Papers, Queen Mary University of London, School of Economics and Finance

2014

15. Foreign capital and gender differences in promotions: evidence from large Brazilian manufacturing firms
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library
    See also Journal Article Foreign Capital and Gender Differences in Promotions: Evidence From Large Brazilian Manufacturing Firms, Economía Journal, The Latin American and Caribbean Economic Association - LACEA (2014) (2014)
16. Negociação com informação diferenciada em ADRs da América Latina
    Textos para discussão, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil)
17. Os determinantes macroeconômicos da estrutura a termo das expectativas de inflação no Brasil
    Textos para discussão, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil)
18. Price discovery in dual-class shares across multiple markets
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (4)
    Also in Textos para discussão, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil) (2013) View citations (4)
    See also Journal Article Price discovery in dual‐class shares across multiple markets, Journal of Futures Markets, John Wiley & Sons, Ltd. (2018) View citations (7) (2018)
19. Profundidade de mercado na BM&FBovespa
    Textos para discussão, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil)
20. Prêmio por controle no mercado brasileiro
    Textos para discussão, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil)
21. The finite-sample size of the BDS test for GARCH standardized residuals
    Textos para discussão, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil) View citations (1)
    See also Journal Article The Finite-Sample Size of the BDS Test for GARCH Standardized Residuals, Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE (2012) View citations (2) (2012)
22. Títulos de dívida corporativa de empresas brasileiras: investir em emissões do mercado interno ou externo?
    Textos para discussão, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil)

2013

23. A (semi-)parametric functional coefficient autoregressive conditional duration model
    Textos para discussão, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil) View citations (1)
    Also in Textos para discussão, Department of Economics PUC-Rio (Brazil) (2006) View citations (3)
24. Conditional alphas and realized betas
    Textos para discussão, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil) View citations (2)
25. Modeling and predicting the CBOE market volatility index
    Textos para discussão, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil) View citations (5)
    Also in Textos para discussão, Department of Economics PUC-Rio (Brazil) (2007) View citations (14)
    See also Journal Article Modeling and predicting the CBOE market volatility index, Journal of Banking & Finance, Elsevier (2014) View citations (122) (2014)

2011

26. Testing for Symmetry and Conditional Symmetry Using Asymmetric Kernels
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (1)
    See also Journal Article Testing for symmetry and conditional symmetry using asymmetric kernels, Annals of the Institute of Statistical Mathematics, Springer (2015) View citations (3) (2015)

2009

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

2007

28. 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 Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics]

2006

29. A stochastic discount factor approach to asset pricing using panel data
    FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE), EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil) View citations (4)
30. 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 View citations (2)
    Also in FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE), EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil) (2006) View citations (5)
    See also Journal Article Are price limits on futures markets that cool? Evidence from the Brazilian Mercantile and Futures Exchange, Journal of Financial Econometrics, Oxford University Press View citations (1)

2005

31. Estimating the stochastic discount factor without a utility function
    FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE), EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil) View citations (7)

2004

32. Central limit theorem for asymmetric kernel functionals
    FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE), EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil) View citations (3)
    Also in Economics Working Papers, European University Institute (2000)
    See also Journal Article Central limit theorem for asymmetric kernel functionals, Annals of the Institute of Statistical Mathematics, Springer (2005) View citations (18) (2005)
33. Testing the Markov property with ultra-high frequency financial data
    Nova SBE Working Paper Series, Universidade Nova de Lisboa, Nova School of Business and Economics
    Also in FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE), EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil) (2001)
34. Using Common Features to Construct a Preference-Free Estimator of the Stochastic Discount Factor
    Econometric Society 2004 Latin American Meetings, Econometric Society

2003

35. A family of autoregressive conditional duration models
    FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE), EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil) View citations (2)
    Also in FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE), EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil) (2002) View citations (10)
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2001) View citations (6)
    See also Journal Article A family of autoregressive conditional duration models, Journal of Econometrics, Elsevier (2006) View citations (87) (2006)
36. Bounds for the probability distribution function of the linear ACD process
    FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE), EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil)
    See also Journal Article Bounds for the probability distribution function of the linear ACD process, Statistics & Probability Letters, Elsevier (2004) View citations (1) (2004)
37. Nonparametric specification tests for conditional duration models
    FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE), EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil) View citations (8)
    Also in Economics Working Papers, European University Institute (2000) View citations (6)
    Computing in Economics and Finance 2000, Society for Computational Economics (2000) View citations (10)
    See also Journal Article Nonparametric specification tests for conditional duration models, Journal of Econometrics, Elsevier (2005) View citations (34) (2005)

2002

38. Desempenho de estimadores de volatilidade na Bolsa de Valores de São Paulo
    FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE), EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil) View citations (1)
    See also Journal Article Desempenho de Estimadores de Volatilidade na Bolsa de Valores de São Paulo, Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil) (2004) (2004)
39. O mecanismo monetário de transmissão na economia brasileira pós-Plano Real
    FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE), EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil) View citations (1)

2001

40. Nonparametric entropy-based tests of independence between stochastic processes
    FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE), EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil) View citations (1)
    See also Journal Article Nonparametric Entropy-Based Tests of Independence Between Stochastic Processes, Econometric Reviews, Taylor & Francis Journals (2010) View citations (7) (2010)

2000

41. Market Microstructure Models and Markov Property
    Finance Lab Working Papers, Finance Lab, Insper Instituto de Ensino e Pesquisa
    Also in Economics Working Papers, European University Institute (2000)

Journal Articles

2023

1. Diffuse Kalman filtering with linear constraints on the state parameters
   Communications in Statistics - Theory and Methods, 2023, 52, (24), 8884-8893

2022

2. A panel-based proxy for gun prevalence in US and Mexico
   International Review of Law and Economics, 2022, 71, (C)
3. Tail risk exposures of hedge funds: Evidence from unique Brazilian data
   Brazilian Review of Econometrics, 2022, 41, (1)

2021

4. Extensions to the invariance property of maximum likelihood estimation for affine‐transformed state‐space models
   Journal of Time Series Analysis, 2021, 42, (3), 355-371
5. Price Discovery in a Continuous-Time Setting*
   (Price Discovery and Common Factor Models)
   Journal of Financial Econometrics, 2021, 19, (5), 985-1008 View citations (5)
   See also Working Paper Price discovery in a continuous-time setting, University of East Anglia School of Economics Working Paper Series (2019) (2019)
6. Smoothing Quantile Regressions
   Journal of Business & Economic Statistics, 2021, 39, (1), 338-357 View citations (21)
   See also Working Paper Smoothing quantile regressions, Papers (2019) View citations (2) (2019)
7. The effect of voting rights on firm value
   International Review of Finance, 2021, 21, (3), 1106-1111 View citations (1)
8. What Drives the Nominal Yield Curve in Brazil?
   Brazilian Review of Econometrics, 2021, 40, (2)

2020

9. March madness in Wall Street: (What) does the market learn from stress tests?
   Journal of Banking & Finance, 2020, 112, (C) View citations (24)
   See also Working Paper March Madness in Wall Street: (What) Does the Market Learn from Stress Tests?, IMF Working Papers (2015) View citations (11) (2015)
10. Testing for Jump Spillovers Without Testing for Jumps
    Journal of the American Statistical Association, 2020, 115, (531), 1214-1226 View citations (1)
11. The efficiency of risk sharing between UK and US: Robust estimation and calibration under market incompleteness
    Brazilian Review of Econometrics, 2020, 39, (2)

2019

12. A dynamic Nelson–Siegel model with forward-looking macroeconomic factors for the yield curve in the US
    Journal of Economic Dynamics and Control, 2019, 106, (C), - View citations (6)

2018

13. Guns and Suicides
    The American Statistician, 2018, 72, (3), 289-294 View citations (1)
14. Price discovery in dual‐class shares across multiple markets
    Journal of Futures Markets, 2018, 38, (1), 129-155 View citations (7)
    See also Working Paper Price discovery in dual-class shares across multiple markets, CREATES Research Papers (2014) View citations (4) (2014)

2017

15. Disagreement in Inflation Forecasts and Inflation Risk Premia in Brazil
    Brazilian Review of Econometrics, 2017, 37, (1)
    See also Working Paper Disagreement in inflation forecasts and inflation risk premia in Brazil, Textos para discussão (2017) (2017)
16. Forecasting the Brazilian yield curve using forward-looking variables
    International Journal of Forecasting, 2017, 33, (1), 121-131 View citations (5)
    See also Working Paper Forecasting the Brazilian Yield Curve Using Forward-Looking Variables, Working Papers (2016) (2016)

2016

17. A (Semi)Parametric Functional Coefficient Logarithmic Autoregressive Conditional Duration Model
    Econometric Reviews, 2016, 35, (7), 1221-1250 View citations (1)
18. Anticipatory effects in the FTSE 100 index revisions
    Journal of Empirical Finance, 2016, 37, (C), 79-90 View citations (5)
    See also Working Paper Anticipatory Effects in the FTSE 100 Index Revisions, Working Papers (2015) (2015)

2015

19. Testing for symmetry and conditional symmetry using asymmetric kernels
    Annals of the Institute of Statistical Mathematics, 2015, 67, (4), 649-671 View citations (3)
    See also Working Paper Testing for Symmetry and Conditional Symmetry Using Asymmetric Kernels, Swiss Finance Institute Research Paper Series (2011) View citations (1) (2011)
20. The Macroeconomic Determinants of the Term Structure of Inflation Expectations in Brazil
    Brazilian Review of Econometrics, 2015, 35, (1) View citations (3)

2014

21. Brazilian Corporate Debt Issuance: Should You Invest in Local or International Bonds?
    Brazilian Review of Econometrics, 2014, 34, (2) View citations (1)
22. Foreign Capital and Gender Differences in Promotions: Evidence From Large Brazilian Manufacturing Firms
    Economía Journal, 2014, Volume 14 Number 2, (Spring 2014), 55-89
    See also Working Paper Foreign capital and gender differences in promotions: evidence from large Brazilian manufacturing firms, LSE Research Online Documents on Economics (2014) (2014)
23. Market Depth at the BM&FBovespa
    Brazilian Review of Econometrics, 2014, 34, (1)
24. Modeling and predicting the CBOE market volatility index
    Journal of Banking & Finance, 2014, 40, (C), 1-10 View citations (122)
    See also Working Paper Modeling and predicting the CBOE market volatility index, Textos para discussão (2013) View citations (5) (2013)
25. Voting Premium in the Brazilian Equity Market
    Brazilian Review of Econometrics, 2014, 34, (1)

2012

26. International market links and volatility transmission
    Journal of Econometrics, 2012, 170, (1), 117-141 View citations (23)
27. The Finite-Sample Size of the BDS Test for GARCH Standardized Residuals
    Brazilian Review of Econometrics, 2012, 32, (2) View citations (2)
    See also Working Paper The finite-sample size of the BDS test for GARCH standardized residuals, Textos para discussão (2014) View citations (1) (2014)

2010

28. Nonparametric Entropy-Based Tests of Independence Between Stochastic Processes
    Econometric Reviews, 2010, 29, (3), 276-306 View citations (7)
    See also Working Paper Nonparametric entropy-based tests of independence between stochastic processes, FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) (2001) View citations (1) (2001)

2007

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

2006

31. A family of autoregressive conditional duration models
    Journal of Econometrics, 2006, 130, (1), 1-23 View citations (87)
    See also Working Paper A family of autoregressive conditional duration models, FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) (2003) View citations (2) (2003)
32. Financial crashes as endogenous jumps: estimation, testing and forecasting
    Journal of Economic Dynamics and Control, 2006, 30, (1), 111-141 View citations (8)

2005

33. A multivariate conditional autoregressive range model
    Economics Letters, 2005, 86, (3), 435-440 View citations (18)
34. Central limit theorem for asymmetric kernel functionals
    Annals of the Institute of Statistical Mathematics, 2005, 57, (3), 425-442 View citations (18)
    See also Working Paper Central limit theorem for asymmetric kernel functionals, FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) (2004) View citations (3) (2004)
35. Nonparametric specification tests for conditional duration models
    Journal of Econometrics, 2005, 127, (1), 35-68 View citations (34)
    See also Working Paper Nonparametric specification tests for conditional duration models, FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) (2003) View citations (8) (2003)
36. O Mecanismo de Transmissão Monetária na Economia Brasileira Pós-Plano Real
    Revista Brasileira de Economia - RBE, 2005, 59, (1) View citations (4)

2004

37. Bounds for the probability distribution function of the linear ACD process
    Statistics & Probability Letters, 2004, 68, (2), 169-176 View citations (1)
    See also Working Paper Bounds for the probability distribution function of the linear ACD process, FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) (2003) (2003)
38. Desempenho de Estimadores de Volatilidade na Bolsa de Valores de São Paulo
    Revista Brasileira de Economia - RBE, 2004, 58, (3)
    See also Working Paper Desempenho de estimadores de volatilidade na Bolsa de Valores de São Paulo, FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) (2002) View citations (1) (2002)

2003

39. Testing for a flexible non-linear link between short-term Eurorates and spreads
    The European Journal of Finance, 2003, 9, (2), 125-145

2001

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

1997

41. Um Procedimento Para Análise De Persistência Na Volatilidade
    Brazilian Review of Econometrics, 1997, 17, (1)

1994

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

Undated

43. Are price limits on futures markets that cool? Evidence from the Brazilian Mercantile and Futures Exchange
    Journal of Financial Econometrics, 5, (2), 219-242 View citations (1)
    See also Working Paper Are Price Limits on Futures Markets That Cool? Evidence from the Brazilian Mercantile and Futures Exchange, Working Papers (2006) View citations (2) (2006)