Marcelo Fernandes : Citation Profile

Are you Marcelo Fernandes?

Fundação Getúlio Vargas (FGV)

9

H index

8

i10 index

434

Citations

RESEARCH PRODUCTION:

40

Articles

62

Papers

RESEARCH ACTIVITY:

   28 years (1994 - 2022). See details.
   Cites by year: 15
   Journals where Marcelo Fernandes has often published
   Relations with other researchers
   Recent citing documents: 80.    Total self citations: 25 (5.45 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pfe19
   Updated: 2023-05-27    RAS profile: 2023-03-16    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers

Works with:

Coelho, Danilo (3)

Cerqueira, Daniel (2)

Chague, Fernando (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Marcelo Fernandes.

Is cited by:

Hautsch, Nikolaus (13)

Degiannakis, Stavros (8)

Gil-Alana, Luis (7)

Filis, George (7)

Caporale, Guglielmo Maria (7)

Camara, Boubacar (6)

Bauwens, Luc (6)

PHILIPPON, Thomas (6)

Malec, Peter (6)

Chang, Chia-Lin (6)

Schienle, Melanie (6)

Cites to:

Engle, Robert (33)

Grammig, Joachim (23)

Shleifer, Andrei (21)

Drost, Feike C. (21)

Hansen, Lars (19)

Zingales, Luigi (17)

Campbell, John (16)

Diebold, Francis (14)

Shephard, Neil (14)

Ait-Sahalia, Yacine (14)

Bollerslev, Tim (14)

Main data

Where Marcelo Fernandes has published?

Journals with more than one article published# docs
Brazilian Review of Econometrics10
Journal of Econometrics5
Revista Brasileira de Economia - RBE3
Journal of Economic Dynamics and Control2
Econometric Reviews2
Journal of Banking & Finance2
Annals of the Institute of Statistical Mathematics2

Working Papers Series with more than one paper published# docs
Textos para discussão / FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil)17
FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) / EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil)12
Economics Working Papers / European University Institute3
Discussion Papers / Instituto de Pesquisa Econômica Aplicada - IPEA2
Textos para discussão / Department of Economics PUC-Rio (Brazil)2

Recent works citing Marcelo Fernandes (2022 and 2021)

YearTitle of citing document
2021A machine learning approach to volatility forecasting. (2021). Veliyev, Bezirgen ; Christensen, Kim ; Siggaard, Mathias. In: CREATES Research Papers. RePEc:aah:create:2021-03.

Full description at Econpapers || Download paper

2021The What, When and Where of Limit Order Books. (2020). Dimpfl, Thomas ; Bleher, Michael. In: Papers. RePEc:arx:papers:2004.11953.

Full description at Econpapers || Download paper

2021Specification tests for GARCH processes. (2021). Rahbek, Anders ; Perera, Indeewara ; Cavaliere, Giuseppe. In: Papers. RePEc:arx:papers:2105.14081.

Full description at Econpapers || Download paper

2023Testing for long-range dependence in non-stationary time series time-varying regression. (2021). Wu, Weichi ; Bai, Lujia. In: Papers. RePEc:arx:papers:2110.08089.

Full description at Econpapers || Download paper

2021Modeling and Forecasting Intraday Market Returns: a Machine Learning Approach. (2021). Medeiros, Marcelo C ; Ferreira, Iuri H. In: Papers. RePEc:arx:papers:2112.15108.

Full description at Econpapers || Download paper

2022Price formation in financial markets: a game-theoretic perspective. (2022). Evangelista, David ; Thamsten, Yuri ; Saporito, Yuri. In: Papers. RePEc:arx:papers:2202.11416.

Full description at Econpapers || Download paper

2023Should Bank Stress Tests Be Fair?. (2022). Li, Mike ; Glasserman, Paul. In: Papers. RePEc:arx:papers:2207.13319.

Full description at Econpapers || Download paper

2022The Econometrics of Financial Duration Modeling. (2022). Cavaliere, Giuseppe ; Vilandt, Frederik ; Rahbek, Anders ; Mikosch, Thomas. In: Papers. RePEc:arx:papers:2208.02098.

Full description at Econpapers || Download paper

2023Smoothing Quantile Regression Averaging: A new approach to probabilistic forecasting of electricity prices. (2023). Uniejewski, Bartosz. In: Papers. RePEc:arx:papers:2302.00411.

Full description at Econpapers || Download paper

2023Optimal probabilistic forecasts for risk management. (2023). Martin, Gael M ; Loaiza-Maya, Ruben ; Maneesoonthorn, Worapree ; Sun, Yuru. In: Papers. RePEc:arx:papers:2303.01651.

Full description at Econpapers || Download paper

2022High?dimensional quantile regression: Convolution smoothing and concave regularization. (2022). Zhou, Wenxin ; Wang, Lan ; Tan, Kean Ming. In: Journal of the Royal Statistical Society Series B. RePEc:bla:jorssb:v:84:y:2022:i:1:p:205-233.

Full description at Econpapers || Download paper

2022Conditional quantile analysis for realized GARCH models. (2022). Wang, Yazhen ; Oh, Minseog ; Kim, Donggyu. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:43:y:2022:i:4:p:640-665.

Full description at Econpapers || Download paper

2021Conditional Quantile Estimators: A Small Sample Theory. (2021). Wüthrich, Kaspar ; Wuthrich, Kaspar ; Gafarov, Bulat ; Franguridi, Grigory. In: CESifo Working Paper Series. RePEc:ces:ceswps:_9046.

Full description at Econpapers || Download paper

2021The disciplining effect of supervisory scrutiny in the EU-wide stress test. (2021). Pancaro, Cosimo ; Ongena, Steven ; Müller, Carola ; Muller, Carola ; Kok, Christoffer. In: Working Paper Series. RePEc:ecb:ecbwps:20212551.

Full description at Econpapers || Download paper

2021Evaluating multiplicative error models: A residual-based approach. (2021). Lu, Wanbo ; Ke, Rui ; Jia, Jing. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:153:y:2021:i:c:s0167947320301778.

Full description at Econpapers || Download paper

2022Directed acyclic graph based information shares for price discovery. (2022). Zema, Sebastiano Michele. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:139:y:2022:i:c:s0165188922001397.

Full description at Econpapers || Download paper

2021Social media sentiment, model uncertainty, and volatility forecasting. (2021). Lehrer, Steven ; Zhang, Xinyu ; Xie, Tian. In: Economic Modelling. RePEc:eee:ecmode:v:102:y:2021:i:c:s0264999321001450.

Full description at Econpapers || Download paper

2023A multifactor regime-switching model for inter-trade durations in the high-frequency limit order market. (2023). Xing, Haipeng ; Chen, Xinyun ; Li, Zhicheng. In: Economic Modelling. RePEc:eee:ecmode:v:118:y:2023:i:c:s0264999322003194.

Full description at Econpapers || Download paper

2022The impact of VIX on China’s financial market: A new perspective based on high-dimensional and time-varying methods. (2022). Sun, Yan-Lin ; Chen, Bin-Xia. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:63:y:2022:i:c:s1062940822001668.

Full description at Econpapers || Download paper

2021Bootstrap based probability forecasting in multiplicative error models. (2021). Silvapulle, Mervyn J ; Perera, Indeewara . In: Journal of Econometrics. RePEc:eee:econom:v:221:y:2021:i:1:p:1-24.

Full description at Econpapers || Download paper

2023Smoothed quantile regression with large-scale inference. (2023). Zhou, Wen-Xin ; Tan, Kean Ming ; Pan, Xiaoou ; He, Xuming. In: Journal of Econometrics. RePEc:eee:econom:v:232:y:2023:i:2:p:367-388.

Full description at Econpapers || Download paper

2021Forecasting volatility using double shrinkage methods. (2021). Cheng, Mingmian ; Yang, Xiye ; Swanson, Norman R. In: Journal of Empirical Finance. RePEc:eee:empfin:v:62:y:2021:i:c:p:46-61.

Full description at Econpapers || Download paper

2023Modeling and forecasting dynamic conditional correlations with opening, high, low, and closing prices. (2023). Fiszeder, Piotr ; Molnar, Peter ; Fadziski, Marcin. In: Journal of Empirical Finance. RePEc:eee:empfin:v:70:y:2023:i:c:p:308-321.

Full description at Econpapers || Download paper

2021Capturing the dynamics of the China crude oil futures: Markov switching, co-movement, and volatility forecasting. (2021). Lee, Chien-Chiang ; Liu, Min. In: Energy Economics. RePEc:eee:eneeco:v:103:y:2021:i:c:s0140988321004874.

Full description at Econpapers || Download paper

2022Green bonds and implied volatilities: Dynamic causality, spillovers, and implications for portfolio management. (2022). Do, Hung Xuan ; Pham, Linh. In: Energy Economics. RePEc:eee:eneeco:v:112:y:2022:i:c:s0140988322002651.

Full description at Econpapers || Download paper

2021Network connectedness between natural gas markets, uncertainty and stock markets. (2021). Ji, Qiang ; Liu, Bing-Yue ; Chen, Fu-Rui ; Geng, Jiang-Bo. In: Energy Economics. RePEc:eee:eneeco:v:95:y:2021:i:c:s0140988320303418.

Full description at Econpapers || Download paper

2021The Impact of Supervisory Stress Tests on Bank Ex-Ante Risk-Taking Behaviour: Empirical Evidence from a Quasi-Natural Experiment. (2021). Vo, Xuan Vinh ; Luu, Hiep Ngoc. In: International Review of Financial Analysis. RePEc:eee:finana:v:75:y:2021:i:c:s1057521920302301.

Full description at Econpapers || Download paper

2021Herding and market volatility. (2021). Liu, Xiaoquan ; Fei, Tianlun. In: International Review of Financial Analysis. RePEc:eee:finana:v:78:y:2021:i:c:s105752192100209x.

Full description at Econpapers || Download paper

2022A grey-based correlation with multi-scale analysis: S&P 500 VIX and individual VIXs of large US company stocks. (2022). Wang, Zhenkun ; Hussain, Syed Jawad ; Ferreira, Paulo ; Bouri, Elie ; Ferrer, Roman. In: Finance Research Letters. RePEc:eee:finlet:v:48:y:2022:i:c:s154461232200157x.

Full description at Econpapers || Download paper

2022Analytical properties of Hasbrouck and generalized information shares. (2022). Quin, Lianne Mei ; Shrestha, Keshab ; Lien, Donald. In: Finance Research Letters. RePEc:eee:finlet:v:49:y:2022:i:c:s1544612322003919.

Full description at Econpapers || Download paper

2023Forecast Targeting and Financial Stability: Evidence from the European Central Bank and Bank of England. (2023). Murgia, Lucia Milena ; Curi, Claudia. In: Finance Research Letters. RePEc:eee:finlet:v:51:y:2023:i:c:s1544612322006626.

Full description at Econpapers || Download paper

2021Information processing on equity prices and exchange rate for cross-listed stocks. (2021). Scherrer, Cristina Mabel. In: Journal of Financial Markets. RePEc:eee:finmar:v:54:y:2021:i:c:s1386418121000161.

Full description at Econpapers || Download paper

2023Investor information and bank instability during the European debt crisis. (2023). Ross, Chase P ; Iorgova, Silvia. In: Journal of Financial Stability. RePEc:eee:finsta:v:64:y:2023:i:c:s1572308922001218.

Full description at Econpapers || Download paper

2023Discovering the drivers of stock market volatility in a data-rich world. (2023). Ryu, Doojin ; Cho, Hoon ; Chun, Dohyun. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:82:y:2023:i:c:s1042443122001561.

Full description at Econpapers || Download paper

2022Forecasting: theory and practice. (2022). Shang, Han Lin ; Rubaszek, Michał ; Martinez, Andrew ; Grossi, Luigi ; Franses, Philip Hans ; Fiszeder, Piotr ; Clements, Michael ; Castle, Jennifer ; Carnevale, Claudio ; Kolassa, Stephan ; Thorarinsdottir, Thordis ; Guo, Xiaojia ; Reade, James J ; Petropoulos, Fotios ; Nikolopoulos, Konstantinos ; Koehler, Anne B ; Thomakos, Dimitrios ; Browell, Jethro ; Rapach, David E ; Modis, Theodore ; Kang, Yanfei ; Tashman, Len ; Boylan, John E ; Gunter, Ulrich ; Ramos, Patricia ; Ellison, Joanne ; Meeran, Sheik ; Richmond, Victor ; Talagala, Thiyanga S ; Bijak, Jakub ; Guidolin, Massimo ; Pinson, Pierre ; Dokumentov, Alexander ; Jeon, Jooyoung ; Bessa, Ricardo J ; Pedregal, Diego J ; de Baets, Shari ; Ziel, Florian ; Syntetos, Aris A ; Bergmeir, Christoph
2022Stress testing and bank business patterns: A regression discontinuity study. (2022). Steele, Suzanne ; Garcia, Raffi E. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:135:y:2022:i:c:s0378426620302260.

Full description at Econpapers || Download paper

2021The effect of COVID – 19 pandemic on global stock market volatility: Can economic strength help to manage the uncertainty?. (2021). Chowdhury, Anup ; Uddin, Moshfique ; Chaudhuri, Kausik ; Anderson, Keith. In: Journal of Business Research. RePEc:eee:jbrese:v:128:y:2021:i:c:p:31-44.

Full description at Econpapers || Download paper

2023The disciplining effect of supervisory scrutiny in the EU-wide stress test. (2023). Pancaro, Cosimo ; Müller, Carola ; Ongena, Steven ; Muller, Carola ; Kok, Christoffer. In: Journal of Financial Intermediation. RePEc:eee:jfinin:v:53:y:2023:i:c:s1042957322000687.

Full description at Econpapers || Download paper

2022Oil price volatility forecasts: What do investors need to know?. (2022). Filis, George ; Degiannakis, Stavros. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:123:y:2022:i:c:s026156062100245x.

Full description at Econpapers || Download paper

2022Asymptotic properties of Dirichlet kernel density estimators. (2022). Tolosana-Delgado, Raimon ; Ouimet, Frederic. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:187:y:2022:i:c:s0047259x2100110x.

Full description at Econpapers || Download paper

2022A symmetric matrix-variate normal local approximation for the Wishart distribution and some applications. (2022). Ouimet, Frederic. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:189:y:2022:i:c:s0047259x21001913.

Full description at Econpapers || Download paper

2022A comparative analysis of the financialization of commodities during COVID-19 and the global financial crisis using a quantile regression approach. (2022). Sharma, Aarzoo. In: Resources Policy. RePEc:eee:jrpoli:v:78:y:2022:i:c:s0301420722003671.

Full description at Econpapers || Download paper

2023Precious metal as a safe haven for global ESG stocks: Portfolio implications for socially responsible investing. (2023). Ye, Jing ; Liu, Huiling ; Xue, Minggao ; Lei, Heng. In: Resources Policy. RePEc:eee:jrpoli:v:80:y:2023:i:c:s0301420722006134.

Full description at Econpapers || Download paper

2023On a quantile autoregressive conditional duration model. (2023). Vila, Roberto ; Balakrishnan, Narayanaswamy ; Saulo, Helton. In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:203:y:2023:i:c:p:425-448.

Full description at Econpapers || Download paper

2021Toothless tiger with claws? Financial stability communication, expectations, and risk-taking. (2021). Metiu, Norbert ; Stockerl, Valentin ; Beutel, Johannes. In: Journal of Monetary Economics. RePEc:eee:moneco:v:120:y:2021:i:c:p:53-69.

Full description at Econpapers || Download paper

2022Predicting tail events in a RIA-EVT-Copula framework. (2022). Zhou, Wei-Xing ; Wang, Gang-Jin ; Jiang, Zhi-Qiang ; Zhai, Jin-Rui ; Li, Wei-Zhen. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:600:y:2022:i:c:s0378437122003703.

Full description at Econpapers || Download paper

2021Testing unobserved market heterogeneity in financial markets: The case of Banco Popular. (2021). Sosvilla-Rivero, Simon ; Gomez-Deniz, Emilio ; Perez-Rodriguez, Jorge V. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:79:y:2021:i:c:p:151-160.

Full description at Econpapers || Download paper

2021Implied volatility indices – A review. (2021). Siriopoulos, Costas ; Fassas, Athanasios P. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:79:y:2021:i:c:p:303-329.

Full description at Econpapers || Download paper

2021Financial advice: Who Exactly Follows It?. (2021). Yagil, Joseph ; Qadan, Mahmoud ; Reiter-Gavish, Liron. In: Research in Economics. RePEc:eee:reecon:v:75:y:2021:i:3:p:244-258.

Full description at Econpapers || Download paper

2021The role of US implied volatility index in forecasting Chinese stock market volatility: Evidence from HAR models. (2021). Wang, Xiong ; Zhao, Yupei ; Wen, Fenghua ; Xiao, Jihong. In: International Review of Economics & Finance. RePEc:eee:reveco:v:74:y:2021:i:c:p:311-333.

Full description at Econpapers || Download paper

2022Good oil volatility, bad oil volatility, and stock return predictability. (2022). Wang, Yudong ; Xiao, Jihong. In: International Review of Economics & Finance. RePEc:eee:reveco:v:80:y:2022:i:c:p:953-966.

Full description at Econpapers || Download paper

2022Does the SDR stabilize investing in commodities?. (2022). Xu, Yang ; Han, Liyan ; Jin, Jiayu. In: International Review of Economics & Finance. RePEc:eee:reveco:v:81:y:2022:i:c:p:160-172.

Full description at Econpapers || Download paper

2022The value premium and investors appetite for risk. (2022). Jacob, Maram ; Qadan, Mahmoud. In: International Review of Economics & Finance. RePEc:eee:reveco:v:82:y:2022:i:c:p:194-219.

Full description at Econpapers || Download paper

2022Forecasting realised volatility from search volume and overnight sentiment: Evidence from China. (2022). Duong, Duy ; Huang, Chengcheng ; Han, Wei ; Wang, Ping. In: Research in International Business and Finance. RePEc:eee:riibaf:v:62:y:2022:i:c:s0275531922001222.

Full description at Econpapers || Download paper

2023Constructing Density Forecasts from Quantile Regressions: Multimodality in Macro-Financial Dynamics. (2022). Poon, Aubrey ; Mitchell, James ; Zhu, Dan. In: Working Papers. RePEc:fip:fedcwq:94160.

Full description at Econpapers || Download paper

2022Central Clearing and Systemic Liquidity Risk. (2020). Paulson, Anna ; Nesmith, Travis ; King, Thomas ; Prono, Todd. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2020-09.

Full description at Econpapers || Download paper

2021The Information Content of Stress Test Announcements. (2021). Modugno, Michele ; Guerrieri, Luca. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2021-12.

Full description at Econpapers || Download paper

2023Macroeconomic and Uncertainty Shocks’ Effects on Energy Prices: A Comprehensive Literature Review. (2023). Spyromitros, Eleftherios ; Panagiotidis, Minas ; Oikonomou, Georgios ; Dokas, Ioannis. In: Energies. RePEc:gam:jeners:v:16:y:2023:i:3:p:1491-:d:1055891.

Full description at Econpapers || Download paper

2021The Relationship between Yield Curve and Economic Activity: An Analysis of G7 Countries. (2021). Stauvermann, Peter ; Kumar, Ronald ; Thu, Hang Thi. In: JRFM. RePEc:gam:jjrfmx:v:14:y:2021:i:2:p:62-:d:491763.

Full description at Econpapers || Download paper

2022Forecasting the Direction of Daily Changes in the India VIX Index Using Machine Learning. (2022). Bakhshi, Priti ; Prasad, Akhilesh. In: JRFM. RePEc:gam:jjrfmx:v:15:y:2022:i:12:p:552-:d:983390.

Full description at Econpapers || Download paper

2022.

Full description at Econpapers || Download paper

2022.

Full description at Econpapers || Download paper

2021.

Full description at Econpapers || Download paper

2021.

Full description at Econpapers || Download paper

2022A Computational Analysis of the Tradeoff in the Estimation of Different State Space Specifications of Continuous Time Affine Term Structure Models. (2022). Juneja, Januj Amar. In: Computational Economics. RePEc:kap:compec:v:60:y:2022:i:1:d:10.1007_s10614-021-10146-1.

Full description at Econpapers || Download paper

2022Asymptotic extrapolation of model-free implied variance: exploring structural underestimation in the VIX Index. (2022). Stahl, Philip. In: Review of Derivatives Research. RePEc:kap:revdev:v:25:y:2022:i:3:d:10.1007_s11147-022-09190-2.

Full description at Econpapers || Download paper

2022Procyclical volatility in Chinese stock markets. (2022). Liu, Xiaoquan ; Jiang, Ying ; Fei, Tianlun ; Deschamps, Bruno. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:58:y:2022:i:3:d:10.1007_s11156-021-01020-0.

Full description at Econpapers || Download paper

2021Specification tests for GARCH processes. (2021). Cavaliere, Giuseppe ; Rahbek, Anders ; Perera, Indeewara. In: Discussion Papers. RePEc:kud:kuiedp:2106.

Full description at Econpapers || Download paper

2021Lending Standards and the Business Cycle: Evidence from Loan Survey Releases. (2021). Tillmann, Peter ; PeterTillmann, ; Hafemann, Lucas. In: MAGKS Papers on Economics. RePEc:mar:magkse:202131.

Full description at Econpapers || Download paper

2022Data-driven P-Splines under short-range dependence. (2022). Letmathe, Sebastian. In: Working Papers CIE. RePEc:pdn:ciepap:152.

Full description at Econpapers || Download paper

2021What should be taken into consideration when forecasting oil implied volatility index?. (2021). Degiannakis, Stavros ; Giannopoulos, Kostantinos ; Delis, Panagiotis. In: MPRA Paper. RePEc:pra:mprapa:110831.

Full description at Econpapers || Download paper

2021Clustering of arrivals in queueing systems: autoregressive conditional duration approach. (2021). Hol, Vladimir ; Tomanova, Petra. In: Central European Journal of Operations Research. RePEc:spr:cejnor:v:29:y:2021:i:3:d:10.1007_s10100-021-00744-7.

Full description at Econpapers || Download paper

2022Sector connectedness in the Chinese stock markets. (2022). Wang, Gang-Jin ; Zhou, Wei-Xing ; Ma, Jun-Chao ; Jiang, Zhi-Qiang ; Shen, Ying-Ying. In: Empirical Economics. RePEc:spr:empeco:v:62:y:2022:i:2:d:10.1007_s00181-021-02036-0.

Full description at Econpapers || Download paper

2022Forecasting realized volatility of Chinese stock market: A simple but efficient truncated approach. (2022). Wang, Yudong ; Zhang, Yaojie ; He, Mengxi ; Wen, Danyan. In: Journal of Forecasting. RePEc:wly:jforec:v:41:y:2022:i:2:p:230-251.

Full description at Econpapers || Download paper

2022A model sufficiency test using permutation entropy. (2022). Pitt, David ; Shang, Han Lin ; Huang, Xin. In: Journal of Forecasting. RePEc:wly:jforec:v:41:y:2022:i:5:p:1017-1036.

Full description at Econpapers || Download paper

2023Forecasting inflation time series using score?driven dynamic models and combination methods: The case of Brazil. (2023). Lucena, Fernando Antonio ; Dias, Carlos Henrique. In: Journal of Forecasting. RePEc:wly:jforec:v:42:y:2023:i:2:p:369-401.

Full description at Econpapers || Download paper

2021Forecasting realized volatility: The role of implied volatility, leverage effect, overnight returns, and volatility of realized volatility. (2021). Tsakou, Katerina ; McMillan, David G ; Kambouroudis, Dimos S. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:10:p:1618-1639.

Full description at Econpapers || Download paper

2022Forecasting realized volatility: New evidence from time?varying jumps in VIX. (2022). Dutta, Anupam ; Das, Debojyoti. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:42:y:2022:i:12:p:2165-2189.

Full description at Econpapers || Download paper

2021Toothless tiger with claws? Financial stability communication, expectations, and risk-taking. (2021). Metiu, Norbert ; Stockerl, Valentin ; Beutel, Johannes. In: Discussion Papers. RePEc:zbw:bubdps:052021.

Full description at Econpapers || Download paper

2021Assessing the current situation of the world wheat market leadership: Using the semi-parametric approach. (2021). Ahmed, Osama. In: EconStor Open Access Articles and Book Chapters. RePEc:zbw:espost:228670.

Full description at Econpapers || Download paper

Works by Marcelo Fernandes:

YearTitleTypeCited
2014Price discovery in dual-class shares across multiple markets In: CREATES Research Papers.
[Full Text][Citation analysis]		paper9
2013Price discovery in dual-class shares across multiple markets.(2013) In: Textos para discussão.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 9		paper
2018Price discovery in dual?class shares across multiple markets.(2018) In: Journal of Futures Markets.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 9		article
2016Component shares in continuous time In: CREATES Research Papers.
[Full Text][Citation analysis]		paper0
2007FOREIGN CAPITAL AND GENDER DIFFERENCES IN PROMOTIONS: EVIDENCE FROM THE BRAZILIAN TRANSFORMATION INDUSTRY In: Anais do XXXV Encontro Nacional de Economia [Proceedings of the 35th Brazilian Economics Meeting].
[Full Text][Citation analysis]		paper0
2019Smoothing quantile regressions In: Papers.
[Full Text][Citation analysis]		paper7
2017Smoothing quantile regressions.(2017) In: Textos para discussão.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 7		paper
2021Smoothing Quantile Regressions.(2021) In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 7		article
2021The effect of voting rights on firm value In: International Review of Finance.
[Full Text][Citation analysis]		article0
2021Extensions to the invariance property of maximum likelihood estimation for affine?transformed state?space models In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article0
2011Testing for Symmetry and Conditional Symmetry Using Asymmetric Kernels In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper4
2015Testing for symmetry and conditional symmetry using asymmetric kernels.(2015) In: Annals of the Institute of Statistical Mathematics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 4		article
2014Foreign Capital and Gender Differences in Promotions: Evidence From Large Brazilian Manufacturing Firms In: Economía Journal.
[Full Text][Citation analysis]		article0
2001A family of autoregressive conditional duration models In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]		paper86
2006A family of autoregressive conditional duration models.(2006) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 86		article
2002A family of autoregressive conditional duration models.(2002) In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE).
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 86		paper
2003A family of autoregressive conditional duration models.(2003) In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE).
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 86		paper
2004Using Common Features to Construct a Preference-Free Estimator of the Stochastic Discount Factor In: Econometric Society 2004 Latin American Meetings.
[Full Text][Citation analysis]		paper0
2019A dynamic Nelson–Siegel model with forward-looking macroeconomic factors for the yield curve in the US In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article2
2006Financial crashes as endogenous jumps: estimation, testing and forecasting In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article8
2005A multivariate conditional autoregressive range model In: Economics Letters.
[Full Text][Citation analysis]		article17
2005Nonparametric specification tests for conditional duration models In: Journal of Econometrics.
[Full Text][Citation analysis]		article43
2000Non-Parametric Specification Tests for Conditional Duration Models..(2000) In: Economics Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 43		paper
2003Nonparametric specification tests for conditional duration models.(2003) In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE).
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 43		paper
2000NON-PARAMETRIC SPECIFICATION TESTS FOR CONDITIONAL DURATION MODELS.(2000) In: Computing in Economics and Finance 2000.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 43		paper
2007Semiparametric methods in econometrics In: Journal of Econometrics.
[Full Text][Citation analysis]		article1
2007Testing the Markov property with high frequency data In: Journal of Econometrics.
[Full Text][Citation analysis]		article3
2012International market links and volatility transmission In: Journal of Econometrics.
[Full Text][Citation analysis]		article20
2016Anticipatory effects in the FTSE 100 index revisions In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article3
2013Anticipatory effects in the FTSE 100 index revisions.(2013) In: Textos para discussão.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 3		paper
2015Anticipatory Effects in the FTSE 100 Index Revisions.(2015) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 3		paper
2017Forecasting the Brazilian yield curve using forward-looking variables In: International Journal of Forecasting.
[Full Text][Citation analysis]		article3
2016Forecasting the Brazilian Yield Curve Using Forward-Looking Variables.(2016) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 3		paper
2022A panel-based proxy for gun prevalence in US and Mexico In: International Review of Law and Economics.
[Full Text][Citation analysis]		article0
2020March madness in Wall Street: (What) does the market learn from stress tests? In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article24
2015March Madness in Wall Street: (What) Does the Market Learn from Stress Tests?.(2015) In: IMF Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 24		paper
2015March Madness in Wall Street: (What) Does the Market Learn from Stress Tests?.(2015) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 24		paper
2014Modeling and predicting the CBOE market volatility index In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article114
2013Modeling and predicting the CBOE market volatility index.(2013) In: Textos para discussão.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 114		paper
2007Modeling and predicting the CBOE market volatility index.(2007) In: Textos para discussão.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 114		paper
2004Bounds for the probability distribution function of the linear ACD process In: Statistics & Probability Letters.
[Full Text][Citation analysis]		article1
2003Bounds for the probability distribution function of the linear ACD process.(2003) In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE).
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1		paper
2000Central Limit Theorem for Asymmetric Kernel Functionals. In: Economics Working Papers.
[Citation analysis]		paper16
2004Central limit theorem for asymmetric kernel functionals.(2004) In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE).
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 16		paper
2005Central limit theorem for asymmetric kernel functionals.(2005) In: Annals of the Institute of Statistical Mathematics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 16		article
2000Market Microstructure Models and the Markov Property. In: Economics Working Papers.
[Citation analysis]		paper0
2000Market Microstructure Models and Markov Property.(2000) In: Finance Lab Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0		paper
2013Conditional alphas and realized betas In: Textos para discussão.
[Full Text][Citation analysis]		paper2
2013A (semi-)parametric functional coefficient autoregressive conditional duration model In: Textos para discussão.
[Full Text][Citation analysis]		paper3
2006A (semi-)parametric functional coefficient autoregressive conditional duration model.(2006) In: Textos para discussão.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 3		paper
2014Profundidade de mercado na BM&FBovespa In: Textos para discussão.
[Full Text][Citation analysis]		paper0
2014Negociação com informação diferenciada em ADRs da América Latina In: Textos para discussão.
[Full Text][Citation analysis]		paper0
2014The finite-sample size of the BDS test for GARCH standardized residuals In: Textos para discussão.
[Full Text][Citation analysis]		paper2
2012The Finite-Sample Size of the BDS Test for GARCH Standardized Residuals.(2012) In: Brazilian Review of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2		article
2014Prêmio por controle no mercado brasileiro In: Textos para discussão.
[Full Text][Citation analysis]		paper0
2014Títulos de dívida corporativa de empresas brasileiras: investir em emissões do mercado interno ou externo? In: Textos para discussão.
[Full Text][Citation analysis]		paper0
2014Os determinantes macroeconômicos da estrutura a termo das expectativas de inflação no Brasil In: Textos para discussão.
[Full Text][Citation analysis]		paper0
2017Disentangling the effect of private and public cash flows on firm value In: Textos para discussão.
[Full Text][Citation analysis]		paper0
2016Disentangling the Effect of Private and Public Cash Flows on Firm Value.(2016) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0		paper
2017Improving on daily measures of price discovery In: Textos para discussão.
[Full Text][Citation analysis]		paper0
2017A dynamic Nelson-Siegel model with forward-looking indicators for the yield curve in the US In: Textos para discussão.
[Full Text][Citation analysis]		paper0
2016A dynamic Nelson-Siegel model with forward-looking indicators for the yield curve in the US.(2016) In: Working Papers, Department of Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0		paper
2017Disagreement in inflation forecasts and inflation risk premia in Brazil In: Textos para discussão.
[Full Text][Citation analysis]		paper0
2017Disagreement in Inflation Forecasts and Inflation Risk Premia in Brazil.(2017) In: Brazilian Review of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0		article
2017The government as a large shareholder: impact on corporate governance In: Textos para discussão.
[Full Text][Citation analysis]		paper4
2001Nonparametric entropy-based tests of independence between stochastic processes In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE).
[Full Text][Citation analysis]		paper8
2010Nonparametric Entropy-Based Tests of Independence Between Stochastic Processes.(2010) In: Econometric Reviews.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 8		article
2001Testing the Markov property with ultra high frequency financial data In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE).
[Full Text][Citation analysis]		paper0
2004Testing the Markov property with ultra-high frequency financial data.(2004) In: Nova SBE Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0		paper
2002O mecanismo monetário de transmissão na economia brasileira pós-Plano Real In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE).
[Full Text][Citation analysis]		paper1
2002Desempenho de estimadores de volatilidade na Bolsa de Valores de São Paulo In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE).
[Full Text][Citation analysis]		paper1
2004Desempenho de Estimadores de Volatilidade na Bolsa de Valores de São Paulo.(2004) In: Revista Brasileira de Economia - RBE.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1		article
2005Estimating the stochastic discount factor without a utility function In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE).
[Full Text][Citation analysis]		paper8
2006A stochastic discount factor approach to asset pricing using panel data In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE).
[Full Text][Citation analysis]		paper4
2006Are price limits on futures markets that cool?: evidence from the Brazilian Mercantile and Futures Exchange In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE).
[Full Text][Citation analysis]		paper5
Are price limits on futures markets that cool? Evidence from the Brazilian Mercantile and Futures Exchange.() In: The Journal of Financial Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 5		article
2006Are Price Limits on Futures Markets That Cool? Evidence from the Brazilian Mercantile and Futures Exchange.(2006) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 5		paper
1994A questão da dinâmica de preços de ativos financeiros In: Revista Brasileira de Economia - RBE.
[Full Text][Citation analysis]		article0
2005O Mecanismo de Transmissão Monetária na Economia Brasileira Pós-Plano Real In: Revista Brasileira de Economia - RBE.
[Full Text][Citation analysis]		article4
2009Capital Estrangeiro e Diferenciais de Gênero nas Promoções: Evidências da Indústria de Transformação Brasileira In: Discussion Papers.
[Full Text][Citation analysis]		paper1
2016Armas de Fogo e Suicídios In: Discussion Papers.
[Full Text][Citation analysis]		paper0
2019A Panel-based Proxy for Gun Prevalence in the US In: NBER Working Papers.
[Full Text][Citation analysis]		paper0
2015The Government as a Large Shareholder: Impact on Firm Value and Corporate Governance In: Working Papers.
[Full Text][Citation analysis]		paper0
2006Are Price Limits on Futures Markets That Cool? Evidence from the Brazilian Mercantile and Futures Exchange In: Working Papers.
[Full Text][Citation analysis]		paper1
2015March Madness in Wall Street: (What) Does the Market Learn from Stress Tests? In: Working Papers.
[Full Text][Citation analysis]		paper26
2015The Government as a Large Shareholder: Impact on Firm Value and Corporate Governance In: Working Papers.
[Full Text][Citation analysis]		paper0
2015Anticipatory Effects in the FTSE 100 Index Revisions In: Working Papers.
[Full Text][Citation analysis]		paper1
2016Forecasting the Brazilian Yield Curve Using Forward-Looking Variables In: Working Papers.
[Full Text][Citation analysis]		paper0
2016Disentangling the Effect of Private and Public Cash Flows on Firm Value In: Working Papers.
[Full Text][Citation analysis]		paper0
1997Um Procedimento Para Análise De Persistência Na Volatilidade In: Brazilian Review of Econometrics.
[Full Text][Citation analysis]		article0
2014Market Depth at the BM&FBovespa In: Brazilian Review of Econometrics.
[Full Text][Citation analysis]		article0
2014Voting Premium in the Brazilian Equity Market In: Brazilian Review of Econometrics.
[Full Text][Citation analysis]		article0
2014Brazilian Corporate Debt Issuance: Should You Invest in Local or International Bonds? In: Brazilian Review of Econometrics.
[Full Text][Citation analysis]		article1
2015The Macroeconomic Determinants of the Term Structure of Inflation Expectations in Brazil In: Brazilian Review of Econometrics.
[Full Text][Citation analysis]		article0
2020The efficiency of risk sharing between UK and US: Robust estimation and calibration under market incompleteness In: Brazilian Review of Econometrics.
[Full Text][Citation analysis]		article0
2021What Drives the Nominal Yield Curve in Brazil? In: Brazilian Review of Econometrics.
[Full Text][Citation analysis]		article0
2022Tail risk exposures of hedge funds: Evidence from unique Brazilian data In: Brazilian Review of Econometrics.
[Full Text][Citation analysis]		article0
2018Guns and Suicides In: The American Statistician.
[Full Text][Citation analysis]		article0
2016A (Semi)Parametric Functional Coefficient Logarithmic Autoregressive Conditional Duration Model In: Econometric Reviews.
[Full Text][Citation analysis]		article1
2003Testing for a flexible non-linear link between short-term Eurorates and spreads In: The European Journal of Finance.
[Full Text][Citation analysis]		article0
2020Testing for Jump Spillovers Without Testing for Jumps In: Journal of the American Statistical Association.
[Full Text][Citation analysis]		article0
2019Price discovery in a continuous-time setting In: University of East Anglia School of Economics Working Paper Series.
[Full Text][Citation analysis]		paper0

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated April, 29 2023. Contact: CitEc Team