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Marcelo Fernandes
Marcelo Fernandes
Sao Paulo School of Economics, FGV
Bestätigte E-Mail-Adresse bei fgv.br - Startseite
Titel
Zitiert von
Zitiert von
Jahr
Modeling and predicting the CBOE market volatility index
M Fernandes, MC Medeiros, M Scharth
Journal of Banking & Finance 40, 1-10, 2014
3232014
A family of autoregressive conditional duration models
M Fernandes, J Grammig
Journal of Econometrics 130 (1), 1-23, 2006
2702006
Nonparametric specification tests for conditional duration models
M Fernandes, J Grammig
Journal of Econometrics 127 (1), 35-68, 2005
1362005
Smoothing quantile regressions
M Fernandes, E Guerre, E Horta
Journal of Business & Economic Statistics 39 (1), 338-357, 2021
912021
March madness in Wall Street:(What) does the market learn from stress tests?
M Fernandes, D Igan, M Pinheiro
Journal of Banking & Finance 112, 105250, 2020
902020
Nonparametric entropy-based tests of independence between stochastic processes
M Fernandes, B Néri
Econometric Reviews 29 (3), 276-306, 2009
562009
International market links and volatility transmission
V Corradi, W Distaso, M Fernandes
Journal of Econometrics 170 (1), 117-141, 2012
482012
A multivariate conditional autoregressive range model
M Fernandes, B de Sá Mota, G Rocha
Economics Letters 86 (3), 435-440, 2005
472005
O mecanismo de transmissão monetária na economia brasileira pós-Plano Real
M Fernandes, J Toro
Revista Brasileira de Economia 59 (1), 5-32, 2005
39*2005
Desempenho de estimadores de volatilidade na Bolsa de Valores de São Paulo
BS Mota, M Fernandes
Revista Brasileira de Economia 58 (3), 429-448, 2004
382004
Statistics for business and economics
M Fernandes
Bookboon, 2008
352008
Financial crashes as endogenous jumps: estimation, testing and forecasting
M Fernandes
Journal of Economic Dynamics and Control 30 (1), 111-141, 2006
35*2006
Anticipatory effects in the FTSE 100 index revisions
M Fernandes, J Mergulhão
Journal of Empirical Finance 37, 79-90, 2016
332016
Price discovery in dual‐class shares across multiple markets
M Fernandes, CM Scherrer
Journal of Futures Markets 38 (1), 129-155, 2018
252018
Central limit theorem for asymmetric kernel functionals
M Fernandes, PK Monteiro
Annals of the Institute of Statistical Mathematics 57 (3), 425-442, 2005
252005
A dynamic Nelson–Siegel model with forward-looking macroeconomic factors for the yield curve in the US
M Fernandes, F Vieira
Journal of Economic Dynamics and Control 106, 103720, 2019
23*2019
Testing the Markov property with high frequency data
J Amaro de Matos, M Fernandes
Journal of Econometrics 141 (1), 44-64, 2007
232007
Non‐linearity and exchange rates
M Fernandes
Journal of Forecasting 17 (7), 497-514, 1998
221998
Forecasting the Brazilian yield curve using forward-looking variables
F Vieira, M Fernandes, F Chague
International Journal of Forecasting 33 (1), 121-131, 2017
212017
Price discovery in a continuous-time setting
GF Dias, M Fernandes, CM Scherrer
Journal of Financial Econometrics, 2021
19*2021
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