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Details about Marcelo Fernandes

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Homepage:https://sites.google.com/site/mfernand72/home
Workplace:Escola de Economia de São Paulo (EESP) (Sao Paulo School of Economics), Fundação Getulio Vargas (FGV) (Getulio Vargas Foundation), (more information at EDIRC)

Access statistics for papers by Marcelo Fernandes.

Last updated 2017-10-27. Update your information in the RePEc Author Service.

Short-id: pfe19


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Working Papers

2017

  1. 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, Getulio Vargas Foundation (Brazil) Downloads
    Also in Working Papers, Department of Economics, University of São Paulo (FEA-USP) (2016) Downloads
  2. Disagreement in inflation forecasts and inflation risk premia in Brazil
    Textos para discussão, FGV/EESP - Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil) Downloads
    See also Journal Article in Brazilian Review of Econometrics (2017)
  3. Disentangling the effect of private and public cash flows on firm value
    Textos para discussão, FGV/EESP - Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil) Downloads
    Also in Working Papers, Queen Mary University of London, School of Economics and Finance (2016) Downloads
  4. Improving on daily measures of price discovery
    Textos para discussão, FGV/EESP - Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil) Downloads
  5. Smoothing quantile regressions
    Textos para discussão, FGV/EESP - Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil) Downloads
  6. The government as a large shareholder: impact on corporate governance
    Textos para discussão, FGV/EESP - Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil) Downloads View citations (1)

2016

  1. Armas de Fogo e Suicídios
    Discussion Papers, Instituto de Pesquisa Econômica Aplicada - IPEA Downloads
  2. Forecasting the Brazilian Yield Curve Using Forward-Looking Variables
    Working Papers, Queen Mary University of London, School of Economics and Finance Downloads
    See also Journal Article in International Journal of Forecasting (2017)
  3. Price discovery in a continuous-time setting
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads

2015

  1. Anticipatory Effects in the FTSE 100 Index Revisions
    Working Papers, Queen Mary University of London, School of Economics and Finance Downloads
    Also in Textos para discussão, FGV/EESP - Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil) (2013) Downloads

    See also Journal Article in Journal of Empirical Finance (2016)
  2. March Madness in Wall Street: (What) Does the Market Learn from Stress Tests?
    Working Papers, Queen Mary University of London, School of Economics and Finance Downloads View citations (5)
    Also in IMF Working Papers, International Monetary Fund (2015) Downloads View citations (5)
  3. 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 Downloads

2014

  1. Negociação com informação diferenciada em ADRs da América Latina
    Textos para discussão, FGV/EESP - Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil) Downloads
  2. Os determinantes macroeconômicos da estrutura a termo das expectativas de inflação no Brasil
    Textos para discussão, FGV/EESP - Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil) Downloads
  3. Price discovery in dual-class shares across multiple markets
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (4)
    Also in Textos para discussão, FGV/EESP - Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil) (2013) Downloads
  4. Profundidade de mercado na BM&FBovespa
    Textos para discussão, FGV/EESP - Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil) Downloads
  5. Prêmio por controle no mercado brasileiro
    Textos para discussão, FGV/EESP - Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil) Downloads
  6. The finite-sample size of the BDS test for GARCH standardized residuals
    Textos para discussão, FGV/EESP - Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil) Downloads
    See also Journal Article in Brazilian Review of Econometrics (2012)
  7. 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, Getulio Vargas Foundation (Brazil) Downloads

2013

  1. A (semi-)parametric functional coefficient autoregressive conditional duration model
    Textos para discussão, FGV/EESP - Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil) Downloads
    Also in Textos para discussão, Department of Economics PUC-Rio (Brazil) (2006) Downloads View citations (2)
  2. Conditional alphas and realized betas
    Textos para discussão, FGV/EESP - Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil) Downloads View citations (2)
  3. Modeling and predicting the CBOE market volatility index
    Textos para discussão, FGV/EESP - Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil) Downloads View citations (3)
    Also in Textos para discussão, Department of Economics PUC-Rio (Brazil) (2007) Downloads View citations (13)

    See also Journal Article in Journal of Banking & Finance (2014)

2009

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

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] Downloads

2006

  1. A stochastic discount factor approach to asset pricing using panel data
    FGV/EPGE Economics Working Papers (Ensaios Economicos da EPGE), FGV/EPGE - Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil) Downloads View citations (4)
  2. 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 Downloads
    Also in FGV/EPGE Economics Working Papers (Ensaios Economicos da EPGE), FGV/EPGE - Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil) (2006) Downloads View citations (3)

    See also Journal Article in Journal of Financial Econometrics

2005

  1. Estimating the stochastic discount factor without a utility function
    FGV/EPGE Economics Working Papers (Ensaios Economicos da EPGE), FGV/EPGE - Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil) Downloads View citations (7)

2004

  1. Central limit theorem for asymmetric kernel functionals
    FGV/EPGE Economics Working Papers (Ensaios Economicos da EPGE), FGV/EPGE - Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil) Downloads 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)
  2. Testing the Markov property with ultra-high frequency financial data
    FEUNL Working Paper Series, Universidade Nova de Lisboa, Faculdade de Economia Downloads
    Also in FGV/EPGE Economics Working Papers (Ensaios Economicos da EPGE), FGV/EPGE - Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil) (2001) Downloads
  3. Using Common Features to Construct a Preference-Free Estimator of the Stochastic Discount Factor
    Econometric Society 2004 Latin American Meetings, Econometric Society Downloads

2003

  1. A family of autoregressive conditional duration models
    FGV/EPGE Economics Working Papers (Ensaios Economicos da EPGE), FGV/EPGE - Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil) Downloads View citations (2)
    Also in CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2001) Downloads View citations (4)
    FGV/EPGE Economics Working Papers (Ensaios Economicos da EPGE), FGV/EPGE - Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil) (2002) Downloads View citations (10)

    See also Journal Article in Journal of Econometrics (2006)
  2. Bounds for the probability distribution function of the linear ACD process
    FGV/EPGE Economics Working Papers (Ensaios Economicos da EPGE), FGV/EPGE - Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil) Downloads
    See also Journal Article in Statistics & Probability Letters (2004)
  3. Nonparametric specification tests for conditional duration models
    FGV/EPGE Economics Working Papers (Ensaios Economicos da EPGE), FGV/EPGE - Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil) Downloads View citations (8)
    Also in Economics Working Papers, European University Institute (2000) View citations (4)
    Computing in Economics and Finance 2000, Society for Computational Economics (2000) Downloads View citations (9)

    See also Journal Article in Journal of Econometrics (2005)

2002

  1. Desempenho de estimadores de volatilidade na Bolsa de Valores de São Paulo
    FGV/EPGE Economics Working Papers (Ensaios Economicos da EPGE), FGV/EPGE - Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil) Downloads View citations (1)
    See also Journal Article in Revista Brasileira de Economia - RBE (2004)
  2. O mecanismo monetário de transmissão na economia brasileira pós-Plano Real
    FGV/EPGE Economics Working Papers (Ensaios Economicos da EPGE), FGV/EPGE - Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil) Downloads View citations (1)

2001

  1. Nonparametric entropy-based tests of independence between stochastic processes
    FGV/EPGE Economics Working Papers (Ensaios Economicos da EPGE), FGV/EPGE - Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil) Downloads View citations (1)
    See also Journal Article in Econometric Reviews (2010)

2000

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

Undated

  1. Testing for Symmetry and Conditional Symmetry Using Asymmetric Kernels
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute Downloads View citations (1)
    See also Journal Article in Annals of the Institute of Statistical Mathematics (2015)

Journal Articles

2017

  1. Disagreement in Inflation Forecasts and Inflation Risk Premia in Brazil
    Brazilian Review of Econometrics, 2017, 37, (1) Downloads
    See also Working Paper (2017)
  2. Forecasting the Brazilian yield curve using forward-looking variables
    International Journal of Forecasting, 2017, 33, (1), 121-131 Downloads View citations (1)
    See also Working Paper (2016)

2016

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

2015

  1. Testing for symmetry and conditional symmetry using asymmetric kernels
    Annals of the Institute of Statistical Mathematics, 2015, 67, (4), 649-671 Downloads View citations (1)
    See also Working Paper
  2. The Macroeconomic Determinants of the Term Structure of Inflation Expectations in Brazil
    Brazilian Review of Econometrics, 2015, 35, (1) Downloads View citations (1)

2014

  1. Brazilian Corporate Debt Issuance: Should You Invest in Local or International Bonds?
    Brazilian Review of Econometrics, 2014, 34, (2) Downloads
  2. Foreign Capital and Gender Differences in Promotions: Evidence From Large Brazilian Manufacturing Firms
    ECONOMIA JOURNAL OF THE LATIN AMERICAN AND CARIBBEAN ECONOMIC ASSOCIATION, 2014, Volume 14 Number 2, (Spring 2014), 55-89 Downloads
  3. Market Depth at the BM&FBovespa
    Brazilian Review of Econometrics, 2014, 34, (1) Downloads
  4. Modeling and predicting the CBOE market volatility index
    Journal of Banking & Finance, 2014, 40, (C), 1-10 Downloads View citations (30)
    See also Working Paper (2013)
  5. Voting Premium in the Brazilian Equity Market
    Brazilian Review of Econometrics, 2014, 34, (1) Downloads

2012

  1. International market links and volatility transmission
    Journal of Econometrics, 2012, 170, (1), 117-141 Downloads View citations (11)
  2. The Finite-Sample Size of the BDS Test for GARCH Standardized Residuals
    Brazilian Review of Econometrics, 2012, 32, (2) Downloads
    See also Working Paper (2014)

2010

  1. Nonparametric Entropy-Based Tests of Independence Between Stochastic Processes
    Econometric Reviews, 2010, 29, (3), 276-306 Downloads View citations (5)
    See also Working Paper (2001)

2007

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

2006

  1. A family of autoregressive conditional duration models
    Journal of Econometrics, 2006, 130, (1), 1-23 Downloads View citations (55)
    See also Working Paper (2003)
  2. Financial crashes as endogenous jumps: estimation, testing and forecasting
    Journal of Economic Dynamics and Control, 2006, 30, (1), 111-141 Downloads View citations (6)

2005

  1. A multivariate conditional autoregressive range model
    Economics Letters, 2005, 86, (3), 435-440 Downloads View citations (11)
  2. Central limit theorem for asymmetric kernel functionals
    Annals of the Institute of Statistical Mathematics, 2005, 57, (3), 425-442 Downloads View citations (12)
    See also Working Paper (2004)
  3. Nonparametric specification tests for conditional duration models
    Journal of Econometrics, 2005, 127, (1), 35-68 Downloads View citations (18)
    See also Working Paper (2003)
  4. O Mecanismo de Transmissão Monetária na Economia Brasileira Pós-Plano Real
    Revista Brasileira de Economia - RBE, 2005, 59, (1) Downloads View citations (2)

2004

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

1997

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

1994

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

Undated

  1. Are price limits on futures markets that cool? Evidence from the Brazilian Mercantile and Futures Exchange
    Journal of Financial Econometrics, 5, (2), 219-242 Downloads
    See also Working Paper (2006)
 
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