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
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Working Papers
2021
- The effect of voting rights on firm value
LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library 
See also Journal Article The effect of voting rights on firm value, International Review of Finance, International Review of Finance Ltd. (2021) View citations (1) (2021)
2019
- A Panel-based Proxy for Gun Prevalence in the US
NBER Working Papers, National Bureau of Economic Research, Inc
- 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)
- Smoothing quantile regressions
Papers, arXiv.org View citations (1)
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 (19) (2021)
2017
- 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)
- 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)
- 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)
- Improving on daily measures of price discovery
Textos para discussão, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil)
- 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
- Armas de Fogo e Suicídios
Discussion Papers, Instituto de Pesquisa Econômica Aplicada - IPEA
- Component shares in continuous time
CREATES Research Papers, Department of Economics and Business Economics, Aarhus University
- 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
- 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)
- 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 (23) (2020)
- 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
- 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)
- Negociação com informação diferenciada em ADRs da América Latina
Textos para discussão, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil)
- 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)
- 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)
- Profundidade de mercado na BM&FBovespa
Textos para discussão, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil)
- Prêmio por controle no mercado brasileiro
Textos para discussão, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil)
- 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)
- 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
- 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)
- Conditional alphas and realized betas
Textos para discussão, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil) View citations (2)
- 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 (119) (2014)
2011
- 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
- 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
- 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
- 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)
- 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
- 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
- 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)
- 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)
- Using Common Features to Construct a Preference-Free Estimator of the Stochastic Discount Factor
Econometric Society 2004 Latin American Meetings, Econometric Society
2003
- 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 LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2001) View citations (6) FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE), EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil) (2002) View citations (10)
See also Journal Article A family of autoregressive conditional duration models, Journal of Econometrics, Elsevier (2006) View citations (87) (2006)
- 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)
- 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
- 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)
- 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
- 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
- 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
- Diffuse Kalman filtering with linear constraints on the state parameters
Communications in Statistics - Theory and Methods, 2023, 52, (24), 8884-8893
2022
- A panel-based proxy for gun prevalence in US and Mexico
International Review of Law and Economics, 2022, 71, (C)
- Tail risk exposures of hedge funds: Evidence from unique Brazilian data
Brazilian Review of Econometrics, 2022, 41, (1)
2021
- 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
- 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)
- Smoothing Quantile Regressions
Journal of Business & Economic Statistics, 2021, 39, (1), 338-357 View citations (19)
See also Working Paper Smoothing quantile regressions, Papers (2019) View citations (1) (2019)
- The effect of voting rights on firm value
International Review of Finance, 2021, 21, (3), 1106-1111 View citations (1)
See also Working Paper The effect of voting rights on firm value, LSE Research Online Documents on Economics (2021) (2021)
- What Drives the Nominal Yield Curve in Brazil?
Brazilian Review of Econometrics, 2021, 40, (2)
2020
- March madness in Wall Street: (What) does the market learn from stress tests?
Journal of Banking & Finance, 2020, 112, (C) View citations (23)
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)
- Testing for Jump Spillovers Without Testing for Jumps
Journal of the American Statistical Association, 2020, 115, (531), 1214-1226 View citations (1)
- The efficiency of risk sharing between UK and US: Robust estimation and calibration under market incompleteness
Brazilian Review of Econometrics, 2020, 39, (2)
2019
- 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
- Guns and Suicides
The American Statistician, 2018, 72, (3), 289-294 View citations (1)
- 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
- 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)
- 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
- A (Semi)Parametric Functional Coefficient Logarithmic Autoregressive Conditional Duration Model
Econometric Reviews, 2016, 35, (7), 1221-1250 View citations (1)
- 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
- 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)
- The Macroeconomic Determinants of the Term Structure of Inflation Expectations in Brazil
Brazilian Review of Econometrics, 2015, 35, (1) View citations (3)
2014
- Brazilian Corporate Debt Issuance: Should You Invest in Local or International Bonds?
Brazilian Review of Econometrics, 2014, 34, (2) View citations (1)
- 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)
- Market Depth at the BM&FBovespa
Brazilian Review of Econometrics, 2014, 34, (1)
- Modeling and predicting the CBOE market volatility index
Journal of Banking & Finance, 2014, 40, (C), 1-10 View citations (119)
See also Working Paper Modeling and predicting the CBOE market volatility index, Textos para discussão (2013) View citations (5) (2013)
- Voting Premium in the Brazilian Equity Market
Brazilian Review of Econometrics, 2014, 34, (1)
2012
- International market links and volatility transmission
Journal of Econometrics, 2012, 170, (1), 117-141 View citations (23)
- 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
- 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
- Semiparametric methods in econometrics
Journal of Econometrics, 2007, 141, (1), 1-4 View citations (1)
- Testing the Markov property with high frequency data
Journal of Econometrics, 2007, 141, (1), 44-64 View citations (4)
2006
- 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)
- Financial crashes as endogenous jumps: estimation, testing and forecasting
Journal of Economic Dynamics and Control, 2006, 30, (1), 111-141 View citations (8)
2005
- A multivariate conditional autoregressive range model
Economics Letters, 2005, 86, (3), 435-440 View citations (18)
- 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)
- 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)
- O Mecanismo de Transmissão Monetária na Economia Brasileira Pós-Plano Real
Revista Brasileira de Economia - RBE, 2005, 59, (1) View citations (4)
2004
- 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)
- 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
- Testing for a flexible non-linear link between short-term Eurorates and spreads
The European Journal of Finance, 2003, 9, (2), 125-145
2001
- Economics and literature: an examination of Gulliver’s Travels
Journal of Economic Studies, 2001, 28, (2), 92-105
1997
- Um Procedimento Para Análise De Persistência Na Volatilidade
Brazilian Review of Econometrics, 1997, 17, (1)
1994
- A questão da dinâmica de preços de ativos financeiros
Revista Brasileira de Economia - RBE, 1994, 48, (2)
Undated
- 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)
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