Details about Márcio Laurini
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Short-id: pla86
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Working Papers
2020
- Portfolio Efficiency Tests with Conditioning Information - Comparing GMM and GEL Estimators
WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS, University of Kansas, Department of Economics
2016
- MODELO NELSON-SIEGEL COM CONDIÇÕES DE NÃO ARBITRAGEM PARA PREVISÃO DE INFLAÇÃO A PARTIR DO MERCADO DE TÍTULOS BRASILEIRO
Anais do XLII Encontro Nacional de Economia [Proceedings of the 42nd Brazilian Economics Meeting], ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics]
- Multivariate Stochastic Volatility-Double Jump Model: an application for oil assets
Working Papers Series, Central Bank of Brazil, Research Department View citations (6)
2014
- A Noisy Principal Component Analysis for Forward Rate Curves
Papers, arXiv.org 
See also Journal Article A noisy principal component analysis for forward rate curves, European Journal of Operational Research, Elsevier (2015) View citations (14) (2015)
2012
- A Hybrid Data Cloning Maximum Likelihood Estimator for Stochastic Volatility Models
IBMEC RJ Economics Discussion Papers, Economics Research Group, IBMEC Business School - Rio de Janeiro 
See also Journal Article A Hybrid Data Cloning Maximum Likelihood Estimator for Stochastic Volatility Models, Journal of Time Series Econometrics, De Gruyter (2013) View citations (1) (2013)
- Bayesian Unit Root Testing in Stochastic Volatility Models Using INLA
IBMEC RJ Economics Discussion Papers, Economics Research Group, IBMEC Business School - Rio de Janeiro
- Dynamic Functional Data Analysis with Nonparametric State Space Models
IBMEC RJ Economics Discussion Papers, Economics Research Group, IBMEC Business School - Rio de Janeiro 
See also Journal Article Dynamic functional data analysis with non-parametric state space models, Journal of Applied Statistics, Taylor & Francis Journals (2014) View citations (1) (2014)
- Generalized Tests of Investment Fund Performance
IBMEC RJ Economics Discussion Papers, Economics Research Group, IBMEC Business School - Rio de Janeiro 
See also Journal Article Generalized Tests of Investment Fund Performance, Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE (2011) (2011)
- Poverty Elasticity- a New Empirical Approach
Série Textos para Discussão (Working Papers), Programa de Pós-Graduação em Economia - PPGE, Universidade Federal da Paraíba
- Some Comments on a Macro-Finance Model with Stochastic Volatility
IBMEC RJ Economics Discussion Papers, Economics Research Group, IBMEC Business School - Rio de Janeiro
2011
- Bayesian Factor Selection in Dynamic Term Structure Models
IBMEC RJ Economics Discussion Papers, Economics Research Group, IBMEC Business School - Rio de Janeiro 
See also Journal Article Bayesian Factor Selection in Dynamic Term Structure Models, Economics Bulletin, AccessEcon (2011) (2011)
- Forecasting the Term Structure of Interest Rates Using Integrated Nested Laplace Approximations
IBMEC RJ Economics Discussion Papers, Economics Research Group, IBMEC Business School - Rio de Janeiro 
See also Journal Article Forecasting the Term Structure of Interest Rates Using Integrated Nested Laplace Approximations, Journal of Forecasting, John Wiley & Sons, Ltd. (2014) View citations (4) (2014)
2010
- Arbitragem na Estrutura a Termo das Taxas de Juros: Uma Abordagem Bayesiana
Insper Working Papers, Insper Working Paper, Insper Instituto de Ensino e Pesquisa View citations (1)
- Inferência Bayesiana Aplicada ao Modelo Dinâmico de Nelson-Siegel com Volatilidade Estocástica nos Fatores
Insper Working Papers, Insper Working Paper, Insper Instituto de Ensino e Pesquisa
- New Evidence on the Role of Cognitive Skill in Economic Development
IBMEC RJ Economics Discussion Papers, Economics Research Group, IBMEC Business School - Rio de Janeiro 
See also Journal Article New evidence on the role of cognitive skill in economic development, Economics Letters, Elsevier (2012) View citations (6) (2012)
2009
- Estimação de Equações Diferenciais Estocásticas Usando Verossimilhança Empírica e Mínimo Contraste Generalizado
Insper Working Papers, Insper Working Paper, Insper Instituto de Ensino e Pesquisa
- Estimação de modelos de volatilidade estocástica usando métodos de verossimilhança empírica/mínimo constraste generalizados
Insper Working Papers, Insper Working Paper, Insper Instituto de Ensino e Pesquisa
- Futuros de Swap de Variância e Volatilidade Na BM&F - Apreçamento e Viabilidade de Hedge
Insper Working Papers, Insper Working Paper, Insper Instituto de Ensino e Pesquisa
- Modelos de Fatores Latentes Generalizados para Curvas de Juros em Múltiplos Mercados
Insper Working Papers, Insper Working Paper, Insper Instituto de Ensino e Pesquisa View citations (1)
Also in Insper Working Papers, Insper Working Paper, Insper Instituto de Ensino e Pesquisa (2009) View citations (1) Working Papers, Universidade de São Paulo, Faculdade de Economia, Administração e Contabilidade de Ribeirão Preto (2009) View citations (1)
- Teste de estabilidades dos coeficientes betas do mercado acionário brasileiro
Insper Working Papers, Insper Working Paper, Insper Instituto de Ensino e Pesquisa
- Uma investigação sobre os Estilos Gerenciais e Riscos de Mercado de Fundos Multimercados Brasileiros
Insper Working Papers, Insper Working Paper, Insper Instituto de Ensino e Pesquisa
2008
- Bayesian extensions to diebold-li term structure model
Insper Working Papers, Insper Working Paper, Insper Instituto de Ensino e Pesquisa 
See also Journal Article Bayesian extensions to Diebold-Li term structure model, International Review of Financial Analysis, Elsevier (2010) View citations (14) (2010)
- Empirical Market Microstructure: An Analysis Of The Brl/Us$ Exchange Rate Market Using High-Frequency Data
Insper Working Papers, Insper Working Paper, Insper Instituto de Ensino e Pesquisa View citations (2)
- Exchange Rate Movements and Monetary Policy In Brazil: Econometric and Simulation Evidence
Insper Working Papers, Insper Working Paper, Insper Instituto de Ensino e Pesquisa View citations (5)
See also Journal Article Exchange rate movements and monetary policy in Brazil: Econometric and simulation evidence, Economic Modelling, Elsevier (2010) View citations (11) (2010)
- Funções de Cópula na Precificação de Opções
Insper Working Papers, Insper Working Paper, Insper Instituto de Ensino e Pesquisa
- Inferência indireta em modelos fracionários de taxas de juros de curto prazo
Insper Working Papers, Insper Working Paper, Insper Instituto de Ensino e Pesquisa
2007
- A note on the use of quantile regression in beta convergence analysis
Insper Working Papers, Insper Working Paper, Insper Instituto de Ensino e Pesquisa View citations (6)
See also Journal Article A note on the use of quantile regression in beta convergence analysis, Economics Bulletin, AccessEcon (2007) View citations (4) (2007)
- Conditional Stochastic Kernel Estimation by Nonparametric Methods
Insper Working Papers, Insper Working Paper, Insper Instituto de Ensino e Pesquisa View citations (2)
See also Journal Article Conditional stochastic kernel estimation by nonparametric methods, Economics Letters, Elsevier (2009) View citations (12) (2009)
- Constrained Smoothing Splines for the Term Structure of Interest Rates
Insper Working Papers, Insper Working Paper, Insper Instituto de Ensino e Pesquisa View citations (1)
See also Journal Article Constrained smoothing B-splines for the term structure of interest rates, Insurance: Mathematics and Economics, Elsevier (2010) View citations (14) (2010)
- Extensões Bayesianas do Modelo de Estrutura a Termo de Diebold-Li
Insper Working Papers, Insper Working Paper, Insper Instituto de Ensino e Pesquisa View citations (1)
- Imposing No-Arbitrage Conditions In Implied Volatility Surfaces Using Constrained Smoothing Splines
Insper Working Papers, Insper Working Paper, Insper Instituto de Ensino e Pesquisa View citations (2)
- Microestrutura Empírica e Mercado - Uma Análise para a Taxa de Câmbio Brl/Us$ Usando Dados de Alta Freqüência
Insper Working Papers, Insper Working Paper, Insper Instituto de Ensino e Pesquisa
2004
- Income Convergence Clubs for Brazilian Municipalities: A Non-Parametric Analysis (english version of WPE-6/2003)
Insper Working Papers, Insper Working Paper, Insper Instituto de Ensino e Pesquisa
- Income Convergence Clubs for Brazilian Municipalities: a Non-Parametric Analysis
Econometric Society 2004 Latin American Meetings, Econometric Society View citations (1)
See also Journal Article Income convergence clubs for Brazilian Municipalities: a non-parametric analysis, Applied Economics, Taylor & Francis Journals (2005) View citations (25) (2005)
2003
- Clubes de Convergência de Renda para os Municípios Brasileiros: Uma Análise Não-Paramétrica
Insper Working Papers, Insper Working Paper, Insper Instituto de Ensino e Pesquisa View citations (4)
- Convergence Clubs Among Brazilian Municipalities
Insper Working Papers, Insper Working Paper, Insper Instituto de Ensino e Pesquisa 
See also Journal Article Convergence clubs among Brazilian municipalities, Economics Letters, Elsevier (2004) View citations (29) (2004)
- Long Memory int the R$/US$ Exchange Rate: A Robust Analysis
Finance Lab Working Papers, Finance Lab, Insper Instituto de Ensino e Pesquisa View citations (2)
See also Journal Article Long memory in the R$ / US$ exchange rate: A robust analysis, Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE (2004) View citations (5) (2004)
- Markov Switching Based Nonlinear Tests for Market Efficiency Using the R$/US$ Exchange Rate
Finance Lab Working Papers, Finance Lab, Insper Instituto de Ensino e Pesquisa View citations (2)
2002
- Testing Convergence Across Municipalities in Brazil Using Quantile Regression
Insper Working Papers, Insper Working Paper, Insper Instituto de Ensino e Pesquisa View citations (4)
Journal Articles
2024
- Bayesian Inference for Long Memory Stochastic Volatility Models
Econometrics, 2024, 12, (4), 1-28
- Interest Rate Forecasting with Principal Component Analysis Based on Long-Run Covariance Matrix
Annals of Financial Economics (AFE), 2024, 19, (02), 1-50
- Lottery stocks in Brazil: investigating risk premium and investor behavior
Review of Behavioral Finance, 2024, 16, (6), 1151-1170
- Multivariate Stochastic Volatility Modeling via Integrated Nested Laplace Approximations: A Multifactor Extension
Econometrics, 2024, 12, (1), 1-28
2023
- Bayesian spatio-temporal modeling of real estate launch prices
Journal of Spatial Econometrics, 2023, 4, (1), 1-47
- Estimating the Capital Asset Pricing Model with Many Instruments: A Bayesian Shrinkage Approach
Mathematics, 2023, 11, (17), 1-20
- Factor Sufficiency in Asset Pricing: An Application for the Brazilian Market
IJFS, 2023, 11, (4), 1-31
- Time-varying higher moments in Bitcoin
Digital Finance, 2023, 5, (2), 231-260 View citations (1)
- Yield Curve Models with Regime Changes: An Analysis for the Brazilian Interest Rate Market
Mathematics, 2023, 11, (11), 1-28
2022
- Data Cloning Estimation and Identification of a Medium-Scale DSGE Model
Stats, 2022, 6, (1), 1-13
- Spatial heterogeneities, institutions, and income: Evidence for Brazil
Papers in Regional Science, 2022, 101, (3), 537-571 View citations (2)
2021
- Brazilian stock market bubble in the 2010s
SN Business & Economics, 2021, 1, (1), 1-19
- Spillovers and jumps in global markets: A comparative analysis
International Journal of Finance & Economics, 2021, 26, (4), 5997-6013
2020
- The impact of co-jumps in the oil sector
Research in International Business and Finance, 2020, 52, (C) View citations (5)
- Tornado Occurrences in the United States: A Spatio-Temporal Point Process Approach
Econometrics, 2020, 8, (2), 1-26
2019
- A spatio‐temporal approach to estimate patterns of climate change
Environmetrics, 2019, 30, (1) View citations (1)
- Foreign Exchange Expectation Errors and Filtration Enlargements
Stats, 2019, 2, (2), 1-16
- Is Bitcoin a bubble?
Physica A: Statistical Mechanics and its Applications, 2019, 517, (C), 222-232 View citations (59)
- Nonlinear dependence in cryptocurrency markets
The North American Journal of Economics and Finance, 2019, 48, (C), 32-47 View citations (32)
2018
- Volatility and return jumps in bitcoin
Economics Letters, 2018, 173, (C), 158-163 View citations (99)
2017
- A continuous spatio-temporal model for house prices in the USA
The Annals of Regional Science, 2017, 58, (1), 235-269 View citations (1)
- A spatial error model with continuous random effects and an application to growth convergence
Journal of Geographical Systems, 2017, 19, (4), 371-398 View citations (4)
- Implicit Inflation and Risk Premiums in the Brazilian Fixed Income Market
Emerging Markets Finance and Trade, 2017, 53, (8), 1836-1853 View citations (4)
- The spatio-temporal dynamics of ethanol/gasoline price ratio in Brazil
Renewable and Sustainable Energy Reviews, 2017, 70, (C), 1-12 View citations (5)
2016
- A macro-finance term structure model with multivariate stochastic volatility
International Review of Economics & Finance, 2016, 44, (C), 68-90 View citations (2)
- Brazilian Review of Finance 2015 Editorial Report
Brazilian Review of Finance, 2016, 14, (1), 1-5
- Poverty Elasticity: A Note on a New Empirical Approach
Review of Income and Wealth, 2016, 62, (2), 394-401 View citations (2)
2015
- A common jump factor stochastic volatility model
Finance Research Letters, 2015, 12, (C), 2-10 View citations (7)
- A noisy principal component analysis for forward rate curves
European Journal of Operational Research, 2015, 246, (1), 140-153 View citations (14)
See also Working Paper A Noisy Principal Component Analysis for Forward Rate Curves, Papers (2014) (2014)
- List of Reviewers - 2015
Brazilian Review of Finance, 2015, 13, (4), 732-732
2014
- Arbitrage in the Term Structure of Interest Rates: a Bayesian Approach
International Econometric Review (IER), 2014, 6, (2), 77-99
- Dynamic functional data analysis with non-parametric state space models
Journal of Applied Statistics, 2014, 41, (1), 142-163 View citations (1)
See also Working Paper Dynamic Functional Data Analysis with Nonparametric State Space Models, IBMEC RJ Economics Discussion Papers (2012) (2012)
- Forecasting the Term Structure of Interest Rates Using Integrated Nested Laplace Approximations
Journal of Forecasting, 2014, 33, (3), 214-230 View citations (4)
See also Working Paper Forecasting the Term Structure of Interest Rates Using Integrated Nested Laplace Approximations, IBMEC RJ Economics Discussion Papers (2011) (2011)
- Lista de Avaliadores - 2014
Brazilian Review of Finance, 2014, 12, (4), 643-643
- The stochastic volatility model with random jumps and its application to BRL/USD exchange rate
Economics Bulletin, 2014, 34, (2), 1002-1011 View citations (2)
2013
- A Dynamic Econometric Model for Inflationary Inertia In Brazil
Journal of Statistical and Econometric Methods, 2013, 2, (2), 6 View citations (2)
- A Hybrid Data Cloning Maximum Likelihood Estimator for Stochastic Volatility Models
Journal of Time Series Econometrics, 2013, 5, (2), 193-229 View citations (1)
See also Working Paper A Hybrid Data Cloning Maximum Likelihood Estimator for Stochastic Volatility Models, IBMEC RJ Economics Discussion Papers (2012) (2012)
- Indirect Inference in fractional short-term interest rate diffusions
Mathematics and Computers in Simulation (MATCOM), 2013, 94, (C), 109-126 View citations (2)
2012
- New evidence on the role of cognitive skill in economic development
Economics Letters, 2012, 117, (1), 123-126 View citations (6)
See also Working Paper New Evidence on the Role of Cognitive Skill in Economic Development, IBMEC RJ Economics Discussion Papers (2010) (2010)
- Non-Parametric Pricing of Interest Rates Options
Brazilian Review of Econometrics, 2012, 32, (2)
2011
- Bayesian Factor Selection in Dynamic Term Structure Models
Economics Bulletin, 2011, 31, (3), 2167-2176 
See also Working Paper Bayesian Factor Selection in Dynamic Term Structure Models, IBMEC RJ Economics Discussion Papers (2011) (2011)
- Generalized Tests of Investment Fund Performance
Brazilian Review of Econometrics, 2011, 31, (2) 
See also Working Paper Generalized Tests of Investment Fund Performance, IBMEC RJ Economics Discussion Papers (2012) (2012)
- Imposing no‐arbitrage conditions in implied volatilities using constrained smoothing splines
Applied Stochastic Models in Business and Industry, 2011, 27, (6), 649-659 View citations (4)
2010
- Bayesian Inference Applied to Dynamic Nelson-Siegel Model with Stochastic Volatility
Brazilian Review of Econometrics, 2010, 30, (1) View citations (3)
- Bayesian extensions to Diebold-Li term structure model
International Review of Financial Analysis, 2010, 19, (5), 342-350 View citations (14)
See also Working Paper Bayesian extensions to diebold-li term structure model, Insper Working Papers (2008) (2008)
- Constrained smoothing B-splines for the term structure of interest rates
Insurance: Mathematics and Economics, 2010, 46, (2), 339-350 View citations (14)
See also Working Paper Constrained Smoothing Splines for the Term Structure of Interest Rates, Insper Working Papers (2007) View citations (1) (2007)
- Does Ownership Affect the Variability of the Production Process? Evidence from International Courier Services
Organization Science, 2010, 21, (4), 892-912 View citations (6)
- Exchange rate movements and monetary policy in Brazil: Econometric and simulation evidence
Economic Modelling, 2010, 27, (1), 284-295 View citations (11)
See also Working Paper Exchange Rate Movements and Monetary Policy In Brazil: Econometric and Simulation Evidence, Insper Working Papers (2008) View citations (5) (2008)
- Variance Swaps in BM&F: Pricing and Viability of Hedge
Brazilian Review of Finance, 2010, 8, (2), 197-228
2009
- Conditional stochastic kernel estimation by nonparametric methods
Economics Letters, 2009, 105, (3), 234-238 View citations (12)
See also Working Paper Conditional Stochastic Kernel Estimation by Nonparametric Methods, Insper Working Papers (2007) View citations (2) (2007)
2008
- Empirical market microstructure: An analysis of the BRL/US$ exchange rate market
Emerging Markets Review, 2008, 9, (4), 247-265 View citations (2)
2007
- A note on the use of quantile regression in beta convergence analysis
Economics Bulletin, 2007, 3, (52), 1-8 View citations (4)
See also Working Paper A note on the use of quantile regression in beta convergence analysis, Insper Working Papers (2007) View citations (6) (2007)
2005
- Income convergence clubs for Brazilian Municipalities: a non-parametric analysis
Applied Economics, 2005, 37, (18), 2099-2118 View citations (25)
See also Working Paper Income Convergence Clubs for Brazilian Municipalities: a Non-Parametric Analysis, Econometric Society 2004 Latin American Meetings (2004) View citations (1) (2004)
2004
- Convergence clubs among Brazilian municipalities
Economics Letters, 2004, 83, (2), 179-184 View citations (29)
See also Working Paper Convergence Clubs Among Brazilian Municipalities, Insper Working Papers (2003) (2003)
- Long memory in the R$ / US$ exchange rate: A robust analysis
Brazilian Review of Econometrics, 2004, 24, (1) View citations (5)
See also Working Paper Long Memory int the R$/US$ Exchange Rate: A Robust Analysis, Finance Lab Working Papers (2003) View citations (2) (2003)
Editor
- Brazilian Review of Finance
Brazilian Society of Finance
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