Marcelo Fernandes : Citation Profile


Are you Marcelo Fernandes?

Fundação Getúlio Vargas (FGV)

8

H index

7

i10 index

277

Citations

RESEARCH PRODUCTION:

30

Articles

54

Papers

RESEARCH ACTIVITY:

   24 years (1994 - 2018). See details.
   Cites by year: 11
   Journals where Marcelo Fernandes has often published
   Relations with other researchers
   Recent citing documents: 68.    Total self citations: 20 (6.73 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pfe19
   Updated: 2019-09-14    RAS profile: 2019-01-21    
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Relations with other researchers


Works with:

Medeiros, Marcelo (4)

Chague, Fernando (4)

Coelho, Danilo (3)

Scharth, Marcel (2)

Igan, Deniz (2)

Novaes, Walter (2)

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

Is cited by:

McAleer, Michael (12)

Hautsch, Nikolaus (11)

Chang, Chia-Lin (10)

Bauwens, Luc (6)

Malec, Peter (6)

Schienle, Melanie (6)

Caporale, Guglielmo Maria (6)

Degiannakis, Stavros (5)

Gil-Alana, Luis (5)

Filis, George (5)

Santucci de Magistris, Paolo (5)

Cites to:

Engle, Robert (31)

Grammig, Joachim (19)

Drost, Feike C. (17)

Ait-Sahalia, Yacine (16)

Zingales, Luigi (13)

Hansen, Lars (13)

Shleifer, Andrei (12)

Campbell, John (12)

Diebold, Francis (11)

Bollerslev, Tim (10)

Lo, Andrew (9)

Main data


Where Marcelo Fernandes has published?


Journals with more than one article published# docs
Brazilian Review of Econometrics7
Journal of Econometrics5
Revista Brasileira de Economia - RBE3
Annals of the Institute of Statistical Mathematics2
Econometric Reviews2

Working Papers Series with more than one paper published# docs
Textos para discusso / FGV EESP - Escola de Economia de So Paulo, Fundao 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
Textos para discusso / Department of Economics PUC-Rio (Brazil)2
Discussion Papers / Instituto de Pesquisa Econmica Aplicada - IPEA2

Recent works citing Marcelo Fernandes (2019 and 2018)


YearTitle of citing document
2017Statistical inference for the doubly stochastic self-exciting process. (2017). Potiron, Yoann ; Clinet, Simon. In: Papers. RePEc:arx:papers:1607.05831.

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2017Back-testing European stress tests. (2017). PHILIPPON, Thomas ; Camara, Boubacar ; Pessarossi, P. In: Débats économiques et financiers. RePEc:bfr:decfin:26.

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2019Have FSRs got news for you? Evidence from the impact of Financial Stability Reports on market activity. (2019). Sowerbutts, Rhiannon ; Stoja, Evarist ; Karadotchev, Veselin ; Harris, Richard. In: Bank of England working papers. RePEc:boe:boeewp:0792.

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2017Is Market Fear Persistent? A Long-Memory Analysis. (2017). Plastun, Alex ; Gil-Alana, Luis ; Caporale, Guglielmo Maria. In: CESifo Working Paper Series. RePEc:ces:ceswps:_6534.

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2018Brexit and Uncertainty in Financial Markets. (2018). Gil-Alana, Luis ; Caporale, Guglielmo Maria ; Trani, Tommaso. In: CESifo Working Paper Series. RePEc:ces:ceswps:_6874.

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2018Persistence in the Russian Stock Market Volatility Indices. (2018). Gil-Alana, Luis ; Caporale, Guglielmo Maria ; Tripathy, Trilochan ; Maria, Caporale Guglielmo . In: CESifo Working Paper Series. RePEc:ces:ceswps:_7243.

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2017Backtesting European Stress Tests. (2017). PHILIPPON, Thomas ; Camara, Boubacar ; Pessarossi, Pierre. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11805.

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2017Modeling the spillovers between stock market and money market in Nigeria. (2017). Salisu, Afees ; Isah, Kazeem. In: Working Papers. RePEc:cui:wpaper:0023.

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2018Brexit and Uncertainty in Financial Markets. (2018). Gil-Alana, Luis ; Caporale, Guglielmo Maria ; Trani, Tommaso. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1719.

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2017On log-symmetric duration models applied to high frequency financial data. (2017). Saulo, Helton ; Leo, Jeremias . In: Economics Bulletin. RePEc:ebl:ecbull:eb-17-00030.

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2017Identification of Global and National Shocks in International Financial Markets via General Dynamic Factor Models. (2017). Soccorsi, Stefano ; Hallin, Marc ; Barigozzi, Matteo. In: Working Papers ECARES. RePEc:eca:wpaper:2013/248676.

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2019Forecasting of India VIX as a Measure of Sentiment. (2019). Banerjee, Arindam. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2019-03-28.

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2019Modelling bimodality of length of tourist stay. (2019). Perez-Rodriguez, J V ; Gomez-Deniz, E. In: Annals of Tourism Research. RePEc:eee:anture:v:75:y:2019:i:c:p:131-151.

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2017Interval-valued time series forecasting using a novel hybrid HoltI and MSVR model. (2017). Bao, Yukun ; Xiong, Tao ; Li, Chongguang. In: Economic Modelling. RePEc:eee:ecmode:v:60:y:2017:i:c:p:11-23.

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2018Volatility spillovers among the U.S. and Asian stock markets: A comparison between the periods of Asian currency crisis and subprime credit crisis. (2018). Lien, Donald ; Zhang, Yuyin ; Yang, LI ; Lee, Geul. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:46:y:2018:i:c:p:187-201.

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2019The impacts of overseas market shocks on the CDS-option basis. (2019). Ryu, Doojin ; Kutan, Ali M ; Park, Yuen Jung. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:47:y:2019:i:c:p:622-636.

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2018Diagnostic checking of Markov multiplicative error models. (2018). Guo, Bin ; Li, Shuo. In: Economics Letters. RePEc:eee:ecolet:v:170:y:2018:i:c:p:139-142.

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2017R-estimation in semiparametric dynamic location-scale models. (2017). Hallin, Marc ; la Vecchia, Davide . In: Journal of Econometrics. RePEc:eee:econom:v:196:y:2017:i:2:p:233-247.

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2017Fitting a two phase threshold multiplicative error model. (2017). Perera, Indeewara ; Koul, Hira L. In: Journal of Econometrics. RePEc:eee:econom:v:197:y:2017:i:2:p:348-367.

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2018Testing for mutually exciting jumps and financial flights in high frequency data. (2018). Yang, Xiye ; Erdemlioglu, Deniz ; Dungey, Mardi ; Matei, Marius. In: Journal of Econometrics. RePEc:eee:econom:v:202:y:2018:i:1:p:18-44.

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2019Nonparametric estimation and testing on discontinuity of positive supported densities: a kernel truncation approach. (2019). Funke, Benedikt ; Hirukawa, Masayuki. In: Econometrics and Statistics. RePEc:eee:ecosta:v:9:y:2019:i:c:p:156-170.

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2017Deep neural networks, gradient-boosted trees, random forests: Statistical arbitrage on the S&P 500. (2017). Huck, Nicolas ; Krauss, Christopher ; Do, Xuan Anh . In: European Journal of Operational Research. RePEc:eee:ejores:v:259:y:2017:i:2:p:689-702.

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2019Large data sets and machine learning: Applications to statistical arbitrage. (2019). Huck, Nicolas . In: European Journal of Operational Research. RePEc:eee:ejores:v:278:y:2019:i:1:p:330-342.

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2018Forecasting global stock market implied volatility indices. (2018). Filis, George ; Degiannakis, Stavros ; Hassani, Hossein. In: Journal of Empirical Finance. RePEc:eee:empfin:v:46:y:2018:i:c:p:111-129.

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2019Price effect and investor awareness: Evidence from MSCI Standard Index reconstitutions. (2019). Wei, Hui-Shan ; Shiu, Cheng-Yi ; Chen, Hung-Ling . In: Journal of Empirical Finance. RePEc:eee:empfin:v:50:y:2019:i:c:p:93-112.

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2017Modeling and predicting oil VIX: Internet search volume versus traditional mariables. (2017). Campos, I ; Reyes, T ; Cortazar, G. In: Energy Economics. RePEc:eee:eneeco:v:66:y:2017:i:c:p:194-204.

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2018On the risk spillover across the oil market, stock market, and the oil related CDS sectors: A volatility impulse response approach. (2018). Balcilar, Mehmet ; Toparli, Elif Akay ; Hammoudeh, Shawkat. In: Energy Economics. RePEc:eee:eneeco:v:74:y:2018:i:c:p:813-827.

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2018Uncertainties and extreme risk spillover in the energy markets: A time-varying copula-based CoVaR approach. (2018). Ji, Qiang ; Uddin, Gazi Salah ; Nehler, Henrik ; Liu, Bing-Yue. In: Energy Economics. RePEc:eee:eneeco:v:76:y:2018:i:c:p:115-126.

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2017Effects of changes in stock index compositions: A literature survey. (2017). Afego, Pyemo. In: International Review of Financial Analysis. RePEc:eee:finana:v:52:y:2017:i:c:p:228-239.

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2018Is market fear persistent? A long-memory analysis. (2018). Plastun, Alex ; Caporale, Guglielmo Maria ; Gil-Alana, Luis. In: Finance Research Letters. RePEc:eee:finlet:v:27:y:2018:i:c:p:140-147.

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2017Stress tests and asset quality reviews of banks: A policy announcement tool. (2017). Venegoni, Andrea ; Lazzari, Valter ; Vena, Luigi. In: Journal of Financial Stability. RePEc:eee:finsta:v:32:y:2017:i:c:p:86-98.

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2018An empirical study of bank stress testing for auto loans. (2018). Wu, Deming ; Wang, Qing ; Fang, Ming. In: Journal of Financial Stability. RePEc:eee:finsta:v:39:y:2018:i:c:p:79-89.

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2019A non-structural investigation of VIX risk neutral density. (2019). Santucci de Magistris, Paolo ; Violante, Francesco ; Barletta, Andrea. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:99:y:2019:i:c:p:1-20.

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2017Evaluating the information in the federal reserve stress tests. (2017). Kovner, Anna ; Hirtle, Beverly ; Flannery, Mark. In: Journal of Financial Intermediation. RePEc:eee:jfinin:v:29:y:2017:i:c:p:1-18.

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2017Forecasting oil price realized volatility using information channels from other asset classes. (2017). Filis, George ; Degiannakis, Stavros. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:76:y:2017:i:c:p:28-49.

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2017Assessment of 48 Stock markets using adaptive multifractal approach. (2017). Ferreira, Paulo ; Dionisio, Andreia. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:486:y:2017:i:c:p:730-750.

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2017Realized volatility forecast of agricultural futures using the HAR models with bagging and combination approaches. (2017). Yang, KE ; Li, Steven ; Chen, Langnan ; Tian, Fengping. In: International Review of Economics & Finance. RePEc:eee:reveco:v:49:y:2017:i:c:p:276-291.

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2017Volatility transmission between US and Latin American stock markets: Testing the decoupling hypothesis. (2017). Agudelo, Diego ; Gutierrez, Marcela ; Cardona, Laura . In: Research in International Business and Finance. RePEc:eee:riibaf:v:39:y:2017:i:pa:p:115-127.

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2017Forecasting realized volatility: HAR against Principal Components Combining, neural networks and GARCH. (2017). Vortelinos, Dimitrios I. In: Research in International Business and Finance. RePEc:eee:riibaf:v:39:y:2017:i:pb:p:824-839.

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2017State-controlled companies and political risk: evidence from the 2014 Brazilian election. (2017). guimaraes, bernardo ; Carvalho, Augusto. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:86172.

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2018Connecting VIX and Stock Index ETF with VAR and Diagonal BEKK. (2018). McAleer, Michael ; Chang, Chia-Lin ; Hsieh, T-L., ; Chang, C-L., . In: Econometric Institute Research Papers. RePEc:ems:eureir:111552.

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2017Connecting VIX and Stock Index ETF. (2017). McAleer, Michael ; Chang, Chia-Lin. In: Econometric Institute Research Papers. RePEc:ems:eureir:99516.

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2017TRADE PATTERN ON WARSAW STOCK EXCHANGE AND PREDICTION OF NUMBER OF TRADES. (2017). Gurgul, Henryk ; Machno, Artur. In: Statistics in Transition New Series. RePEc:exl:29stat:v:18:y:2017:i:1:p:91-114.

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2017Regime Switching Vine Copula Models for Global Equity and Volatility Indices. (2017). Fink, Holger ; Stober, Jakob ; Czado, Claudia ; Klimova, Yulia . In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:1:p:3-:d:86821.

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2017Business Time Sampling Scheme with Applications to Testing Semi-Martingale Hypothesis and Estimating Integrated Volatility. (2017). Dong, Yingjie ; Tse, Yiu-Kuen. In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:4:p:51-:d:118613.

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2018Brexit and Uncertainty in Financial Markets. (2018). Gil-Alana, Luis ; Caporale, Guglielmo Maria ; Trani, Tommaso. In: International Journal of Financial Studies. RePEc:gam:jijfss:v:6:y:2018:i:1:p:21-:d:131390.

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2018Connecting VIX and Stock Index ETF with VAR and Diagonal BEKK. (2018). McAleer, Michael ; Chang, Chia-Lin ; Hsieh, Tai-Lin . In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:11:y:2018:i:4:p:58-:d:172906.

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2018Generalized Correlation Measures of Causality and Forecasts of the VIX Using Non-Linear Models. (2018). Allen, David ; Hooper, Vince . In: Sustainability. RePEc:gam:jsusta:v:10:y:2018:i:8:p:2695-:d:161253.

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2019“Testing for private information using trade duration models with unobserved market heterogeneity: The case of Banco Popular”. (2019). Sosvilla-Rivero, Simon ; Gomez-Deniza, Emilio ; Perez-Rodriguez, Jorge. In: IREA Working Papers. RePEc:ira:wpaper:201907.

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2017Mixed-Frequency Macro-Financial Spillovers. (2017). Yilmaz, Kamil ; Hallam, Mark ; cotter, john. In: Koç University-TUSIAD Economic Research Forum Working Papers. RePEc:koc:wpaper:1704.

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2017Backtesting European Stress Tests. (2017). PHILIPPON, Thomas ; Camara, Boubacar ; Pessarossi, Pierre. In: NBER Working Papers. RePEc:nbr:nberwo:23083.

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2018Stress Tests and Small Business Lending. (2018). Cortes, Kristle ; Strahan, Philip E ; Loutskina, Elena ; Li, Lei ; Demyanyk, Yuliya. In: NBER Working Papers. RePEc:nbr:nberwo:24365.

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2019Oil price volatility forecasts: What do investors need to know?. (2019). Filis, George ; Degiannakis, Stavros. In: MPRA Paper. RePEc:pra:mprapa:94445.

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2019Cholesky-ANN models for predicting multivariate realized volatility. (2019). Bucci, Andrea. In: MPRA Paper. RePEc:pra:mprapa:95137.

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2019Realized Volatility Forecasting with Neural Networks. (2019). Bucci, Andrea. In: MPRA Paper. RePEc:pra:mprapa:95443.

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2019Forecasting the Term Structure of Interest Rates of the BRICS: Evidence from a Nonparametric Functional Data Analysis. (2019). GUPTA, RANGAN ; Torrent, Hudson S ; Suleman, Tahir ; Caldeira, Joao F. In: Working Papers. RePEc:pre:wpaper:201911.

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2018Designing Stress Scenarios. (2018). Parlatore, Cecilia. In: 2018 Meeting Papers. RePEc:red:sed018:1090.

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2017Evaluating Combined Forecasts for Realized Volatility Using Asymmetric Loss Functions. (2017). Gallo, Giampiero ; Carita, Danilo ; de Luca, Giovanni. In: Econometric Research in Finance. RePEc:sgh:erfinj:v:2:y:2017:i:2:p:99-111.

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2017Varying kernel marginal density estimator for a positive time series. (2017). Balakrishna, N ; Koul, Hira L. In: Journal of Nonparametric Statistics. RePEc:taf:gnstxx:v:29:y:2017:i:3:p:531-552.

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2017Testing weak exogeneity in multiplicative error models. (2017). Xu, Yongdeng ; Luintel, Kul B. In: Quantitative Finance. RePEc:taf:quantf:v:17:y:2017:i:10:p:1617-1630.

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2017Connecting VIX and Stock Index ETF. (2017). McAleer, Michael ; Chang, Chia-Lin ; Hsieh, Tai-Lin . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20160010.

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2019Zero-Inflated Autoregressive Conditional Duration Model for Discrete Trade Durations with Excessive Zeros. (2019). Blasques, Francisco ; Tomanova, Petra ; Holy, Vladimir. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20190004.

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2017Mixed-frequency macro-financial spillovers. (2017). Yilmaz, Kamil ; Hallam, Mark ; cotter, john. In: Working Papers. RePEc:ucd:wpaper:201704.

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2017Connecting VIX and Stock Index ETF. (2017). McAleer, Michael ; Chang, Chia-Lin ; Hsieh, Tai-Lin . In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1708.

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2018Connecting VIX and Stock Index ETF with VAR and Diagonal BEKK. (2018). McAleer, Michael ; Chang, Chia-Lin ; Hsieh, Tai-Lin . In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1826.

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2017A Bootstrap Approach for Generalized Autocontour Testing. Implications for VIX Forecast Densities. (2017). Veiga, Helena ; Ruiz, Esther ; Gonzalez-Rivera, Gloria ; Mazzeu, Joao Henrique . In: Working Papers. RePEc:ucr:wpaper:201709.

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2019Circuit breakers as market stability levers: A survey of research, praxis, and challenges. (2019). Sifat, Imtiaz Mohammad ; Mohamad, Azhar. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:24:y:2019:i:3:p:1130-1169.

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2018Covariance estimation using random permutations. (2018). Padmakumari, Lakshmi ; Maheswaran, S. In: International Journal of Financial Engineering (IJFE). RePEc:wsi:ijfexx:v:05:y:2018:i:01:n:s2424786318500056.

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Works by Marcelo Fernandes:


YearTitleTypeCited
2014Price discovery in dual-class shares across multiple markets In: CREATES Research Papers.
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2013Price discovery in dual-class shares across multiple markets.(2013) In: Textos para discussão.
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2016Component shares in continuous time In: CREATES Research Papers.
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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].
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2011Testing for Symmetry and Conditional Symmetry Using Asymmetric Kernels In: Swiss Finance Institute Research Paper Series.
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2015Testing for symmetry and conditional symmetry using asymmetric kernels.(2015) In: Annals of the Institute of Statistical Mathematics.
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2014Foreign Capital and Gender Differences in Promotions: Evidence From Large Brazilian Manufacturing Firms In: Economía Journal.
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2001A family of autoregressive conditional duration models In: CORE Discussion Papers.
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2006A family of autoregressive conditional duration models.(2006) In: Journal of Econometrics.
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2002A family of autoregressive conditional duration models.(2002) In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE).
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2003A family of autoregressive conditional duration models.(2003) In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE).
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2004Using Common Features to Construct a Preference-Free Estimator of the Stochastic Discount Factor In: Econometric Society 2004 Latin American Meetings.
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2006Financial crashes as endogenous jumps: estimation, testing and forecasting In: Journal of Economic Dynamics and Control.
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2005A multivariate conditional autoregressive range model In: Economics Letters.
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article12
2005Nonparametric specification tests for conditional duration models In: Journal of Econometrics.
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article35
2000Non-Parametric Specification Tests for Conditional Duration Models..(2000) In: Economics Working Papers.
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2003Nonparametric specification tests for conditional duration models.(2003) In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE).
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2000NON-PARAMETRIC SPECIFICATION TESTS FOR CONDITIONAL DURATION MODELS.(2000) In: Computing in Economics and Finance 2000.
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2007Semiparametric methods in econometrics In: Journal of Econometrics.
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2007Testing the Markov property with high frequency data In: Journal of Econometrics.
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2012International market links and volatility transmission In: Journal of Econometrics.
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article13
2016Anticipatory effects in the FTSE 100 index revisions In: Journal of Empirical Finance.
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2013Anticipatory effects in the FTSE 100 index revisions.(2013) In: Textos para discussão.
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2015Anticipatory Effects in the FTSE 100 Index Revisions.(2015) In: Working Papers.
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2017Forecasting the Brazilian yield curve using forward-looking variables In: International Journal of Forecasting.
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2016Forecasting the Brazilian Yield Curve Using Forward-Looking Variables.(2016) In: Working Papers.
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2014Modeling and predicting the CBOE market volatility index In: Journal of Banking & Finance.
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2013Modeling and predicting the CBOE market volatility index.(2013) In: Textos para discussão.
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2007Modeling and predicting the CBOE market volatility index.(2007) In: Textos para discussão.
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2004Bounds for the probability distribution function of the linear ACD process In: Statistics & Probability Letters.
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article1
2003Bounds for the probability distribution function of the linear ACD process.(2003) In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE).
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2000Central Limit Theorem for Asymmetric Kernel Functionals. In: Economics Working Papers.
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2004Central limit theorem for asymmetric kernel functionals.(2004) In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE).
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2005Central limit theorem for asymmetric kernel functionals.(2005) In: Annals of the Institute of Statistical Mathematics.
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2000Market Microstructure Models and the Markov Property. In: Economics Working Papers.
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2013Conditional alphas and realized betas In: Textos para discussão.
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2013A (semi-)parametric functional coefficient autoregressive conditional duration model In: Textos para discussão.
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2006A (semi-)parametric functional coefficient autoregressive conditional duration model.(2006) In: Textos para discussão.
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2014Profundidade de mercado na BM&FBovespa In: Textos para discussão.
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2014Negociação com informação diferenciada em ADRs da América Latina In: Textos para discussão.
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2014The finite-sample size of the BDS test for GARCH standardized residuals In: Textos para discussão.
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2012The Finite-Sample Size of the BDS Test for GARCH Standardized Residuals.(2012) In: Brazilian Review of Econometrics.
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2014Prêmio por controle no mercado brasileiro In: Textos para discussão.
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2014Os determinantes macroeconômicos da estrutura a termo das expectativas de inflação no Brasil In: Textos para discussão.
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2017Disentangling the effect of private and public cash flows on firm value In: Textos para discussão.
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2017Improving on daily measures of price discovery In: Textos para discussão.
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2016A dynamic Nelson-Siegel model with forward-looking indicators for the yield curve in the US.(2016) In: Working Papers, Department of Economics.
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2017Disagreement in inflation forecasts and inflation risk premia in Brazil In: Textos para discussão.
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2017Disagreement in Inflation Forecasts and Inflation Risk Premia in Brazil.(2017) In: Brazilian Review of Econometrics.
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2017Smoothing quantile regressions In: Textos para discussão.
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2017The government as a large shareholder: impact on corporate governance In: Textos para discussão.
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2001Nonparametric entropy-based tests of independence between stochastic processes In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE).
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2010Nonparametric Entropy-Based Tests of Independence Between Stochastic Processes.(2010) In: Econometric Reviews.
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2001Testing the Markov property with ultra high frequency financial data In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE).
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2004Testing the Markov property with ultra-high frequency financial data.(2004) In: FEUNL Working Paper Series.
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2002Desempenho de estimadores de volatilidade na Bolsa de Valores de São Paulo In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE).
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2004Desempenho de Estimadores de Volatilidade na Bolsa de Valores de São Paulo.(2004) In: Revista Brasileira de Economia - RBE.
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2005Estimating the stochastic discount factor without a utility function In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE).
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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).
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Are price limits on futures markets that cool? Evidence from the Brazilian Mercantile and Futures Exchange.() In: Journal of Financial Econometrics.
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2006Are Price Limits on Futures Markets That Cool? Evidence from the Brazilian Mercantile and Futures Exchange.(2006) In: Working Papers.
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1994A questão da dinâmica de preços de ativos financeiros In: Revista Brasileira de Economia - RBE.
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2005O Mecanismo de Transmissão Monetária na Economia Brasileira Pós-Plano Real In: Revista Brasileira de Economia - RBE.
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2000Market Microstructure Models and Markov Property In: Finance Lab Working Papers.
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2015March Madness in Wall Street; (What) Does the Market Learn from Stress Tests? In: IMF Working Papers.
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2015March Madness in Wall Street: (What) Does the Market Learn from Stress Tests?.(2015) In: Working Papers.
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2019A Panel-based Proxy for Gun Prevalence in the US In: NBER Working Papers.
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2015The Government as a Large Shareholder: Impact on Firm Value and Corporate Governance In: Working Papers.
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1997Um Procedimento Para Análise De Persistência Na Volatilidade In: Brazilian Review of Econometrics.
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2014Market Depth at the BM&FBovespa In: Brazilian Review of Econometrics.
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2014Voting Premium in the Brazilian Equity Market In: Brazilian Review of Econometrics.
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2015The Macroeconomic Determinants of the Term Structure of Inflation Expectations in Brazil In: Brazilian Review of Econometrics.
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2018Guns and Suicides In: The American Statistician.
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