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 in European Journal of Operational Research (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 in Journal of Time Series Econometrics (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 in Journal of Applied Statistics (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 in Brazilian Review of Econometrics (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 in Economics Bulletin (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 in Journal of Forecasting (2014)

2010

13. 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)
14. 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
15. 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 in Economics Letters (2012)

2009

16. Estimação de Equações Diferenciais Estocásticas Usando Verossimilhança Empírica e Mínimo Contraste Generalizado
    Insper Working Papers, Insper Working Paper, Insper Instituto de Ensino e Pesquisa
17. 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
18. 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
19. Modelos de Fatores Latentes Generalizados para Curvas de Juros em Múltiplos Mercados
    Insper Working Papers, Insper Working Paper, Insper Instituto de Ensino e Pesquisa
    Also in Working Papers, Universidade de São Paulo, Faculdade de Economia, Administração e Contabilidade de Ribeirão Preto (2009)
    Insper Working Papers, Insper Working Paper, Insper Instituto de Ensino e Pesquisa (2009)
20. Teste de estabilidades dos coeficientes betas do mercado acionário brasileiro
    Insper Working Papers, Insper Working Paper, Insper Instituto de Ensino e Pesquisa
21. 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

22. Bayesian extensions to diebold-li term structure model
    Insper Working Papers, Insper Working Paper, Insper Instituto de Ensino e Pesquisa
    See also Journal Article in International Review of Financial Analysis (2010)
23. 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 (1)
24. 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 in Economic Modelling (2010)
25. Funções de Cópula na Precificação de Opções
    Insper Working Papers, Insper Working Paper, Insper Instituto de Ensino e Pesquisa
26. 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

27. 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 in Economics Bulletin (2007)
28. 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 in Economics Letters (2009)
29. 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 in Insurance: Mathematics and Economics (2010)
30. 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)
31. 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)
32. 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

33. 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
34. 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 in Applied Economics (2005)

2003

35. 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)
36. Convergence Clubs Among Brazilian Municipalities
    Insper Working Papers, Insper Working Paper, Insper Instituto de Ensino e Pesquisa
    See also Journal Article in Economics Letters (2004)
37. 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 in Brazilian Review of Econometrics (2004)
38. 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

39. 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

2022

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

2021

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

2020

5. The impact of co-jumps in the oil sector
   Research in International Business and Finance, 2020, 52, (C) View citations (3)
6. Tornado Occurrences in the United States: A Spatio-Temporal Point Process Approach
   Econometrics, 2020, 8, (2), 1-26

2019

7. A spatio‐temporal approach to estimate patterns of climate change
   Environmetrics, 2019, 30, (1) View citations (1)
8. Foreign Exchange Expectation Errors and Filtration Enlargements
   Stats, 2019, 2, (2), 1-16
9. Is Bitcoin a bubble?
   Physica A: Statistical Mechanics and its Applications, 2019, 517, (C), 222-232 View citations (42)
10. Nonlinear dependence in cryptocurrency markets
    The North American Journal of Economics and Finance, 2019, 48, (C), 32-47 View citations (21)

2018

11. Volatility and return jumps in bitcoin
    Economics Letters, 2018, 173, (C), 158-163 View citations (63)

2017

12. A continuous spatio-temporal model for house prices in the USA
    The Annals of Regional Science, 2017, 58, (1), 235-269
13. 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 (3)
14. Implicit Inflation and Risk Premiums in the Brazilian Fixed Income Market
    Emerging Markets Finance and Trade, 2017, 53, (8), 1836-1853 View citations (2)
15. 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

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

2015

19. A common jump factor stochastic volatility model
    Finance Research Letters, 2015, 12, (C), 2-10 View citations (7)
20. A noisy principal component analysis for forward rate curves
    European Journal of Operational Research, 2015, 246, (1), 140-153 View citations (13)
    See also Working Paper (2014)
21. List of Reviewers - 2015
    Brazilian Review of Finance, 2015, 13, (4), 732-732

2014

22. Arbitrage in the Term Structure of Interest Rates: a Bayesian Approach
    International Econometric Review (IER), 2014, 6, (2), 77-99
23. 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 (2012)
24. Forecasting the Term Structure of Interest Rates Using Integrated Nested Laplace Approximations
    Journal of Forecasting, 2014, 33, (3), 214-230 View citations (3)
    See also Working Paper (2011)
25. Lista de Avaliadores - 2014
    Brazilian Review of Finance, 2014, 12, (4), 643-643
26. The stochastic volatility model with random jumps and its application to BRL/USD exchange rate
    Economics Bulletin, 2014, 34, (2), 1002-1011 View citations (1)

2013

27. A Dynamic Econometric Model for Inflationary Inertia In Brazil
    Journal of Statistical and Econometric Methods, 2013, 2, (2), 6 View citations (1)
28. A Hybrid Data Cloning Maximum Likelihood Estimator for Stochastic Volatility Models
    Journal of Time Series Econometrics, 2013, 5, (2), 193-229
    See also Working Paper (2012)
29. Indirect Inference in fractional short-term interest rate diffusions
    Mathematics and Computers in Simulation (MATCOM), 2013, 94, (C), 109-126 View citations (2)

2012

30. New evidence on the role of cognitive skill in economic development
    Economics Letters, 2012, 117, (1), 123-126 View citations (5)
    See also Working Paper (2010)
31. Non-Parametric Pricing of Interest Rates Options
    Brazilian Review of Econometrics, 2012, 32, (2)

2011

32. Bayesian Factor Selection in Dynamic Term Structure Models
    Economics Bulletin, 2011, 31, (3), 2167-2176
    See also Working Paper (2011)
33. Generalized Tests of Investment Fund Performance
    Brazilian Review of Econometrics, 2011, 31, (2)
    See also Working Paper (2012)
34. 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

35. Bayesian Inference Applied to Dynamic Nelson-Siegel Model with Stochastic Volatility
    Brazilian Review of Econometrics, 2010, 30, (1) View citations (3)
36. Bayesian extensions to Diebold-Li term structure model
    International Review of Financial Analysis, 2010, 19, (5), 342-350 View citations (13)
    See also Working Paper (2008)
37. 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 (2007)
38. Does Ownership Affect the Variability of the Production Process? Evidence from International Courier Services
    Organization Science, 2010, 21, (4), 892-912 View citations (6)
39. Exchange rate movements and monetary policy in Brazil: Econometric and simulation evidence
    Economic Modelling, 2010, 27, (1), 284-295 View citations (10)
    See also Working Paper (2008)
40. Variance Swaps in BM&F: Pricing and Viability of Hedge
    Brazilian Review of Finance, 2010, 8, (2), 197-228

2009

41. Conditional stochastic kernel estimation by nonparametric methods
    Economics Letters, 2009, 105, (3), 234-238 View citations (12)
    See also Working Paper (2007)

2008

42. Empirical market microstructure: An analysis of the BRL/US$ exchange rate market
    Emerging Markets Review, 2008, 9, (4), 247-265 View citations (1)

2007

43. 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 (2007)

2005

44. Income convergence clubs for Brazilian Municipalities: a non-parametric analysis
    Applied Economics, 2005, 37, (18), 2099-2118 View citations (25)
    See also Working Paper (2004)

2004

45. Convergence clubs among Brazilian municipalities
    Economics Letters, 2004, 83, (2), 179-184 View citations (29)
    See also Working Paper (2003)
46. 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 (2003)

Editor

1. Brazilian Review of Finance
   Brazilian Society of Finance