Details about Márcio Laurini

Access statistics for papers by Márcio Laurini.

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Short-id: pla86

Working Papers

2020

1. 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

2. 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]
3. Multivariate Stochastic Volatility-Double Jump Model: an application for oil assets
   Working Papers Series, Central Bank of Brazil, Research Department View citations (6)

2014

4. 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

5. 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)
6. Bayesian Unit Root Testing in Stochastic Volatility Models Using INLA
   IBMEC RJ Economics Discussion Papers, Economics Research Group, IBMEC Business School - Rio de Janeiro
7. 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)
8. 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)
9. Poverty Elasticity- a New Empirical Approach
   Série Textos para Discussão (Working Papers), Programa de Pós-Graduação em Economia - PPGE, Universidade Federal da Paraíba
10. 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

11. 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)
12. 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

13. 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

14. Modelos de fatores latentes generalizados para curvas de juros em múltiplos mercados
    Working Papers, Universidade de São Paulo, Faculdade de Economia, Administração e Contabilidade de Ribeirão Preto View citations (1)

2004

15. 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)

Journal Articles

2025

1. Risk assessment from space: Integrating satellite-derived insights for ESG financial decisions
   Finance Research Letters, 2025, 76, (C)

2024

2. Bayesian Inference for Long Memory Stochastic Volatility Models
   Econometrics, 2024, 12, (4), 1-28
3. Interest Rate Forecasting with Principal Component Analysis Based on Long-Run Covariance Matrix
   Annals of Financial Economics (AFE), 2024, 19, (02), 1-50
4. Lottery stocks in Brazil: investigating risk premium and investor behavior
   Review of Behavioral Finance, 2024, 16, (6), 1151-1170
5. Multivariate Stochastic Volatility Modeling via Integrated Nested Laplace Approximations: A Multifactor Extension
   Econometrics, 2024, 12, (1), 1-28

2023

6. Bayesian spatio-temporal modeling of real estate launch prices
   Journal of Spatial Econometrics, 2023, 4, (1), 1-47
7. Estimating the Capital Asset Pricing Model with Many Instruments: A Bayesian Shrinkage Approach
   Mathematics, 2023, 11, (17), 1-20
8. Factor Sufficiency in Asset Pricing: An Application for the Brazilian Market
   IJFS, 2023, 11, (4), 1-31
9. Time-varying higher moments in Bitcoin
   Digital Finance, 2023, 5, (2), 231-260 View citations (1)
10. Yield Curve Models with Regime Changes: An Analysis for the Brazilian Interest Rate Market
    Mathematics, 2023, 11, (11), 1-28 View citations (1)

2022

11. Data Cloning Estimation and Identification of a Medium-Scale DSGE Model
    Stats, 2022, 6, (1), 1-13
12. Spatial heterogeneities, institutions, and income: Evidence for Brazil
    Papers in Regional Science, 2022, 101, (3), 537-571 View citations (3)

2021

13. Brazilian stock market bubble in the 2010s
    SN Business & Economics, 2021, 1, (1), 1-19
14. Spillovers and jumps in global markets: A comparative analysis
    International Journal of Finance & Economics, 2021, 26, (4), 5997-6013

2020

15. The impact of co-jumps in the oil sector
    Research in International Business and Finance, 2020, 52, (C) View citations (5)
16. Tornado Occurrences in the United States: A Spatio-Temporal Point Process Approach
    Econometrics, 2020, 8, (2), 1-26

2019

17. A spatio‐temporal approach to estimate patterns of climate change
    Environmetrics, 2019, 30, (1) View citations (2)
18. Foreign Exchange Expectation Errors and Filtration Enlargements
    Stats, 2019, 2, (2), 1-16
19. Is Bitcoin a bubble?
    Physica A: Statistical Mechanics and its Applications, 2019, 517, (C), 222-232 View citations (60)
20. Nonlinear dependence in cryptocurrency markets
    The North American Journal of Economics and Finance, 2019, 48, (C), 32-47 View citations (34)

2018

21. Volatility and return jumps in bitcoin
    Economics Letters, 2018, 173, (C), 158-163 View citations (104)

2017

22. A continuous spatio-temporal model for house prices in the USA
    The Annals of Regional Science, 2017, 58, (1), 235-269 View citations (1)
23. 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)
24. Implicit Inflation and Risk Premiums in the Brazilian Fixed Income Market
    Emerging Markets Finance and Trade, 2017, 53, (8), 1836-1853 View citations (4)
25. The spatio-temporal dynamics of ethanol/gasoline price ratio in Brazil
    Renewable and Sustainable Energy Reviews, 2017, 70, (C), 1-12 View citations (6)

2016

26. A macro-finance term structure model with multivariate stochastic volatility
    International Review of Economics & Finance, 2016, 44, (C), 68-90 View citations (3)
27. Brazilian Review of Finance 2015 Editorial Report
    Brazilian Review of Finance, 2016, 14, (1), 1-5
28. Poverty Elasticity: A Note on a New Empirical Approach
    Review of Income and Wealth, 2016, 62, (2), 394-401 View citations (2)

2015

29. A common jump factor stochastic volatility model
    Finance Research Letters, 2015, 12, (C), 2-10 View citations (7)
30. 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)
31. List of Reviewers - 2015
    Brazilian Review of Finance, 2015, 13, (4), 732-732

2014

32. Arbitrage in the Term Structure of Interest Rates: a Bayesian Approach
    International Econometric Review (IER), 2014, 6, (2), 77-99
33. 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)
34. 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)
35. Lista de Avaliadores - 2014
    Brazilian Review of Finance, 2014, 12, (4), 643-643
36. 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

37. A Dynamic Econometric Model for Inflationary Inertia In Brazil
    Journal of Statistical and Econometric Methods, 2013, 2, (2), 6 View citations (2)
38. 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)
39. Indirect Inference in fractional short-term interest rate diffusions
    Mathematics and Computers in Simulation (MATCOM), 2013, 94, (C), 109-126 View citations (2)

2012

40. 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)
41. Non-Parametric Pricing of Interest Rates Options
    Brazilian Review of Econometrics, 2012, 32, (2)

2011

42. 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)
43. 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)
44. 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

45. Bayesian Inference Applied to Dynamic Nelson-Siegel Model with Stochastic Volatility
    Brazilian Review of Econometrics, 2010, 30, (1) View citations (3)
46. Bayesian extensions to Diebold-Li term structure model
    International Review of Financial Analysis, 2010, 19, (5), 342-350 View citations (14)
47. Constrained smoothing B-splines for the term structure of interest rates
    Insurance: Mathematics and Economics, 2010, 46, (2), 339-350 View citations (14)
48. Does Ownership Affect the Variability of the Production Process? Evidence from International Courier Services
    Organization Science, 2010, 21, (4), 892-912 View citations (6)
49. Exchange rate movements and monetary policy in Brazil: Econometric and simulation evidence
    Economic Modelling, 2010, 27, (1), 284-295 View citations (12)
50. Variance Swaps in BM&F: Pricing and Viability of Hedge
    Brazilian Review of Finance, 2010, 8, (2), 197-228

2009

51. Conditional stochastic kernel estimation by nonparametric methods
    Economics Letters, 2009, 105, (3), 234-238 View citations (12)

2008

52. Empirical market microstructure: An analysis of the BRL/US$ exchange rate market
    Emerging Markets Review, 2008, 9, (4), 247-265 View citations (2)

2007

53. A note on the use of quantile regression in beta convergence analysis
    Economics Bulletin, 2007, 3, (52), 1-8 View citations (4)

2005

54. 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

55. Convergence clubs among Brazilian municipalities
    Economics Letters, 2004, 83, (2), 179-184 View citations (29)
56. Long memory in the R$ / US$ exchange rate: A robust analysis
    Brazilian Review of Econometrics, 2004, 24, (1) View citations (5)

Editor

1. Brazilian Review of Finance
   Brazilian Society of Finance