Marcelo Fernandes : Citation Profile

Fundação Getúlio Vargas (FGV)

10

H index

10

i10 index

540

Citations

RESEARCH PRODUCTION:

43

Articles

64

Papers

RESEARCH ACTIVITY:

   29 years (1994 - 2023). See details.
   Cites by year: 18
   Journals where Marcelo Fernandes has often published
   Relations with other researchers
   Recent citing documents: 59.    Total self citations: 25 (4.42 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pfe19
   Updated: 2025-12-13    RAS profile: 2024-12-06    
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Relations with other researchers

Works with:

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 (16)

Chang, Chia-Lin (9)

Degiannakis, Stavros (8)

Gil-Alana, Luis (7)

Filis, George (7)

Bauwens, Luc (7)

Caporale, Guglielmo Maria (7)

Schienle, Melanie (6)

Malec, Peter (6)

Camara, Boubacar (6)

GAO, Jiti (6)

Cites to:

Engle, Robert (33)

Shleifer, Andrei (27)

Grammig, Joachim (23)

Drost, Feike C. (21)

Hansen, Lars (19)

Zingales, Luigi (19)

Lopez-de-Silanes, Florencio (18)

Campbell, John (16)

Bollerslev, Tim (15)

Bauwens, Luc (14)

Ait-Sahalia, Yacine (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
Econometric Reviews2
Journal of Economic Dynamics and Control2
Journal of Banking & Finance2
Journal of Financial Econometrics2
Annals of the Institute of Statistical Mathematics2

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 (2025 and 2024)

YearTitle of citing document
2025Noisy, Non-Smooth, Non-Convex Estimation of Moment Condition Models. (2023). Forneron, Jean-Jacques. In: Papers. RePEc:arx:papers:2301.07196.

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2024Smoothing Quantile Regression Averaging: A new approach to probabilistic forecasting of electricity prices. (2024). Uniejewski, Bartosz. In: Papers. RePEc:arx:papers:2302.00411.

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2025A Quantile Nelson-Siegel model. (2024). Rossini, Luca ; Poon, Aubrey ; Iacopini, Matteo ; Zhu, Dan. In: Papers. RePEc:arx:papers:2401.09874.

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2024An Algebraic Framework for the Modeling of Limit Order Books. (2024). Bleher, Michael. In: Papers. RePEc:arx:papers:2406.04969.

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2024Ranking probabilistic forecasting models with different loss functions. (2024). Uniejewski, Bartosz ; Serafin, Tomasz. In: Papers. RePEc:arx:papers:2411.17743.

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2024Convolution Mode Regression. (2024). Horta, Eduardo ; Finn, Eduardo Schirmer. In: Papers. RePEc:arx:papers:2412.05736.

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2025Robust Quantile Factor Analysis. (2025). Feng, Junlong ; Chen, Songnian. In: Papers. RePEc:arx:papers:2501.15761.

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2024Audit committee oversight and bank financial reporting quality. (2024). Wilson, John ; Chronopoulos, Dimitris K ; Rempoutsika, Lemonia M. In: Journal of Business Finance & Accounting. RePEc:bla:jbfnac:v:51:y:2024:i:1-2:p:657-687.

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2024Inside and Outside Information. (2024). Quigley, Daniel ; Walther, Ansgar. In: Journal of Finance. RePEc:bla:jfinan:v:79:y:2024:i:4:p:2667-2714.

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2024Non‐crossing quantile double‐autoregression for the analysis of streaming time series data. (2024). Yu, Keming ; Choy, Siu Kai ; Jiang, Rong. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:45:y:2024:i:4:p:513-532.

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2024A Constrained Dynamic Nelson-Siegel Model for Monetary Policy Analysis. (2024). Yao, Wenying ; Poon, Aubrey ; Cross, Jamie ; Zhu, Dan. In: Working Papers. RePEc:bny:wpaper:0133.

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2024The influence of global uncertainty and financial shocks, and sovereign risk shock on the Brazilian term structure of interest rate.. (2024). Ferreira, Mauro Sayar ; Figueiredo, Joice Marques. In: Textos para Discussão Cedeplar-UFMG. RePEc:cdp:texdis:td674.

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2024Decoding market reactions: The certification role of EU-wide stress tests. (2024). Ongena, Steven ; Marques, Aurea ; Durrani, Agha. In: Economic Modelling. RePEc:eee:ecmode:v:139:y:2024:i:c:s0264999324001858.

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2024Tail behavior of ACD models and consequences for likelihood-based estimation. (2024). Cavaliere, Giuseppe ; Mikosch, Thomas ; Vilandt, Frederik ; Rahbek, Anders. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:2:s0304407623003299.

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2025Fast inference for quantile regression with tens of millions of observations. (2025). Seo, Myung Hwan ; Liao, Yuan ; Lee, Sokbae ; Shin, Youngki. In: Journal of Econometrics. RePEc:eee:econom:v:249:y:2025:i:pa:s0304407624000198.

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2025Statistical inference for smoothed quantile regression with streaming data. (2025). Xie, Jinhan ; Yan, Xiaodong ; Jiang, Bei ; Kong, Linglong. In: Journal of Econometrics. RePEc:eee:econom:v:249:y:2025:i:pa:s0304407624002756.

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2024The effects of monetary policy on macroeconomic risk. (2024). Gambetti, Luca ; Forni, Mario ; Maffei-Faccioli, Nicolo ; Sala, Luca. In: European Economic Review. RePEc:eee:eecrev:v:167:y:2024:i:c:s0014292124001181.

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2024Forecasting realized volatility: Does anything beat linear models?. (2024). Zevallos, Mauricio ; Rubesam, Alexandre ; Branco, Rafael R. In: Journal of Empirical Finance. RePEc:eee:empfin:v:78:y:2024:i:c:s0927539824000598.

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2024Safe haven between European ESG and energy sector under Russian-Ukraine war: Role of sustainable investments for portfolio diversification. (2024). Imran, Zulfiqar Ali ; Ahad, Muhammad ; Shahzad, Khurram. In: Energy Economics. RePEc:eee:eneeco:v:138:y:2024:i:c:s0140988324005619.

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2025Spotlight on physical risk: Assessing the banks stock reaction to the ECB climate stress test. (2025). Fiordelisi, Franco ; Ricci, Ornella ; Santilli, Gianluca. In: International Review of Financial Analysis. RePEc:eee:finana:v:98:y:2025:i:c:s1057521924008147.

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2024Forecasting crude oil market volatility: A comprehensive look at uncertainty variables. (2024). Zhang, Yaojie ; Wang, Yudong ; He, Mengxi ; Wen, Danyan. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:3:p:1022-1041.

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2025Forecasting interest rates with shifting endpoints: The role of the functional demographic age distribution. (2025). Niu, Linlin ; Hong, Zhiwu ; Chen, Jiazi. In: International Journal of Forecasting. RePEc:eee:intfor:v:41:y:2025:i:1:p:153-174.

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2025Markov switching multiple-equation tensor regressions. (2025). Craiu, Radu V ; Casarin, Roberto ; Wang, Qing. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:208:y:2025:i:c:s0047259x25000223.

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2025Does benchmark-driven investment amplify the impact of the global financial cycle on emerging markets?. (2025). Feng, Yun ; Chen, Yang ; Zhang, Zhipeng ; Liu, Qing. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:89:y:2025:i:c:s0927538x2400341x.

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2024Size, value and volatility. (2024). Peterburgsky, Stanley. In: International Review of Economics & Finance. RePEc:eee:reveco:v:91:y:2024:i:c:p:752-763.

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2024Do anticipated changes in the MSCI Taiwan index drive investor behavior?. (2024). Tseng, Yun-Lan ; Pan, Ging-Ginq. In: International Review of Economics & Finance. RePEc:eee:reveco:v:92:y:2024:i:c:p:563-580.

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2024Do loosened trading rules restore the stock index futures price discovery ability in China?. (2024). Wang, Ziqiao ; Zhao, Yuepeng ; Zhang, Xiaotao. In: International Review of Economics & Finance. RePEc:eee:reveco:v:93:y:2024:i:pb:p:389-397.

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2024Flight-to-safety across time and market conditions. (2024). Jalkh, Naji ; Bouri, Elie. In: International Review of Economics & Finance. RePEc:eee:reveco:v:94:y:2024:i:c:s105905602400340x.

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2024Deciphering asymmetric spillovers in US industries: Insights from higher-order moments. (2024). Shafiullah, Muhammad ; lucey, brian ; Naeem, Muhammad Abubakr ; Senthilkumar, Arunachalam. In: Research in International Business and Finance. RePEc:eee:riibaf:v:70:y:2024:i:pa:s0275531924001065.

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2024Recession fears and stock markets: An application of directional wavelet coherence and a machine learning-based economic agent-determined Google fear index. (2024). Brzeszczyski, Janusz ; Obojska, Lidia ; Charteris, Ailie ; Szczygielski, Jan Jakub. In: Research in International Business and Finance. RePEc:eee:riibaf:v:72:y:2024:i:pa:s0275531924002411.

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2025Volatility forecasting and volatility-timing strategies: A machine learning approach. (2025). Ryu, Doojin ; Cho, Hoon ; Chun, Dohyun. In: Research in International Business and Finance. RePEc:eee:riibaf:v:75:y:2025:i:c:s0275531924005166.

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2025Linear and nonlinear econometric models against machine learning models: realized volatility prediction. (2025). Kili, Rehim. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2025-61.

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2025Fed-Driven Systemic Tail Risk: High-Frequency Measurement, Evidence and Implications. (2025). Yang, Xiye ; Neely, Christopher ; Erdemlioglu, Deniz. In: Working Papers. RePEc:fip:fedlwp:96490.

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2024Stock Markets and Stress Test Announcements: Evidence from European Banks. (2024). Daskalakis, Nikolaos ; Karpouzis, Efstathios ; Floros, Christos. In: Economies. RePEc:gam:jecomi:v:12:y:2024:i:7:p:171-:d:1428880.

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2024Forecasting the CBOE VIX and SKEW Indices Using Heterogeneous Autoregressive Models. (2024). Guidolin, Massimo ; Panzeri, Giulia F. In: Forecasting. RePEc:gam:jforec:v:6:y:2024:i:3:p:40-814:d:1478296.

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2025Which Sectoral CDS Can More Effectively Hedge Conventional and Islamic Dow Jones Indices? Evidence from the COVID-19 Outbreak and Bubble Crypto Currency Periods. (2025). Dammak, Fredj Amine ; Ghorbel, Ahmed ; Hachicha, Nejib ; Souai, Semia ; Zghal, Rania. In: Risks. RePEc:gam:jrisks:v:13:y:2025:i:10:p:187-:d:1760527.

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2025An IID Test for Functional Time Series with Applications to High-Frequency VIX Index Data. (2025). Siu, Tak Kuen ; Shang, Han Lin ; Huang, Xin. In: Risks. RePEc:gam:jrisks:v:13:y:2025:i:2:p:25-:d:1580573.

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2025Which Sectoral CDS Can More Effectively Hedge Conventional and Islamic Dow Jones Indices? Evidence from the COVID-19 Outbreak and Bubble Crypto Currency Periods. (2025). Hachicha, Nejib ; Souai, Semia ; Dammak, Fredj Amine ; Ghorbel, Ahmed ; Zghal, Rania. In: Post-Print. RePEc:hal:journl:hal-05291419.

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2024Banking on Buffers: Balance Sheet Responses to Household Demand, Macroeconomic Conditions, and Monetary Policy. (2024). Wong, Vivian ; Seiler, Michael ; Doerner, William. In: FHFA Staff Working Papers. RePEc:hfa:wpaper:24-08.

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2025Optimal Time Varying Parameters in Yield Curve Modeling and Forecasting: A Simulation Study on BRICS Countries. (2025). Resta, Marina ; Castello, Oleksandr. In: Computational Economics. RePEc:kap:compec:v:65:y:2025:i:4:d:10.1007_s10614-024-10619-z.

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2025An Alternative Approach for Determining the Time-Varying Decay Parameter of the Nelson-Siegel Model. (2025). Lee, Sang-Heon. In: Computational Economics. RePEc:kap:compec:v:65:y:2025:i:5:d:10.1007_s10614-024-10653-x.

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2025Predicting Asset Dynamics with Hybrid Bivariate Kernel Density Estimate and Markov Model. (2025). Valakeviius, Eimutis ; Ruzgas, Tomas ; Landauskas, Mantas. In: Computational Economics. RePEc:kap:compec:v:66:y:2025:i:1:d:10.1007_s10614-024-10721-2.

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2025Market reactions of African and non-African firms to changes in the S&P Africa 40 index. (2025). Afego, Pyemo N ; Biktimirov, Ernest N. In: Journal of Asset Management. RePEc:pal:assmgt:v:26:y:2025:i:4:d:10.1057_s41260-024-00385-w.

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2025Modelling Sustainable Energy Transition in BRICS+ Countries: A Smoothed Common Correlated Effects Instrumental Variable Quantile Regression Approach. (2025). Abankwah, Stephen ; Afriyie, Samuel Osei. In: MPRA Paper. RePEc:pra:mprapa:123758.

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2025Do commodity assets hedge uncertainties? What we learn from the recent turbulence period?. (2025). Junttila, Juha ; Hasan, Md Bokhtiar ; Hossain, Md Naiem ; Rabbani, Mustafa Raza ; Uddin, Gazi Salah. In: Annals of Operations Research. RePEc:spr:annopr:v:345:y:2025:i:2:d:10.1007_s10479-022-04876-0.

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2025Penalized function-on-function linear quantile regression. (2025). Shang, Han Lin ; Beyaztas, Ufuk ; Saricam, Semanur. In: Computational Statistics. RePEc:spr:compst:v:40:y:2025:i:1:d:10.1007_s00180-024-01494-1.

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2025Does fertility affect growth? Evidence and simulation results from alternative quantile regression estimators. (2025). Marques, Andr M. In: Empirical Economics. RePEc:spr:empeco:v:68:y:2025:i:5:d:10.1007_s00181-024-02707-8.

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2024A hybrid econometrics and machine learning based modeling of realized volatility of natural gas. (2024). Kristjanpoller, Werner. In: Financial Innovation. RePEc:spr:fininn:v:10:y:2024:i:1:d:10.1186_s40854-023-00577-0.

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2025Targeted prevention of risky deals for improper granular data with deep learning. (2025). Amalanathan, Geetha Mary ; Kari, Venkatram. In: International Journal of System Assurance Engineering and Management. RePEc:spr:ijsaem:v:16:y:2025:i:2:d:10.1007_s13198-024-02646-8.

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2024The second-order bias and mean squared error of quantile regression estimators. (2024). Wang, HE ; Ullah, Aman ; Lee, Tae-Hwy. In: Indian Economic Review. RePEc:spr:inecre:v:59:y:2024:i:1:d:10.1007_s41775-023-00197-6.

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2025Quantile Regression for Longitudinal Functional Data with Application to Feed Intake of Lactating Sows. (2025). Battagliola, Maria Laura ; Srensen, Helle ; Tolver, Anders ; Staicu, Ana-Maria. In: Journal of Agricultural, Biological and Environmental Statistics. RePEc:spr:jagbes:v:30:y:2025:i:1:d:10.1007_s13253-024-00601-5.

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2024Artificial intelligence in Finance: a comprehensive review through bibliometric and content analysis. (2024). Cucculelli, Marco ; Goga, Xhoana ; Bahoo, Salman ; Mondolo, Jasmine. In: SN Business & Economics. RePEc:spr:snbeco:v:4:y:2024:i:2:d:10.1007_s43546-023-00618-x.

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2025Symmetric (h, ϕ)-divergence approach to serial independence testing. (2025). Nezhad, Emad Ashtari. In: Statistical Methods & Applications. RePEc:spr:stmapp:v:34:y:2025:i:4:d:10.1007_s10260-025-00801-4.

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2024Integrated Variance Estimation for Assets Traded in Multiple Venues. (2024). Schweiker, Karsten ; Dias, Gustavo Fruet. In: University of East Anglia School of Economics Working Paper Series. RePEc:uea:ueaeco:2024-04.

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2024The conditional impact of market conditions, volatility and liquidity shocks on the arbitrage opportunities during pre‐COVID and COVID periods. (2024). Tiwari, Aviral ; Lakshmi, Vdmv ; Sisodia, Garima ; Joseph, Anto. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:29:y:2024:i:3:p:3007-3022.

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2025Does financial stability communication affect financial asset prices? Evidence from the Bank of Englands communication experiment. (2025). Jbir, Hamdi. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:30:y:2025:i:2:p:1831-1855.

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2024Constructing density forecasts from quantile regressions: Multimodality in macrofinancial dynamics. (2024). Poon, Aubrey ; Mitchell, James ; Zhu, Dan. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:39:y:2024:i:5:p:790-812.

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2024The term structure of interest rates and economic activity: Evidence from the COVID‐19 pandemic. (2024). laopodis, nikiforos ; Kouretas, Georgios ; Salachas, Evangelos. In: Journal of Forecasting. RePEc:wly:jforec:v:43:y:2024:i:4:p:1018-1041.

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2024VIX option pricing through nonaffine GARCH dynamics and semianalytical formula. (2024). Zhang, Yuanyuan ; Wang, QI ; Liu, Junting. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:44:y:2024:i:7:p:1189-1223.

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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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2018Price discovery in dual‐class shares across multiple markets.(2018) In: Journal of Futures Markets.
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This paper has nother version. Agregated cites: 12		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].
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2019Smoothing quantile regressions In: Papers.
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2017Smoothing quantile regressions.(2017) In: Textos para discussão.
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2021Smoothing Quantile Regressions.(2021) In: Journal of Business & Economic Statistics.
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This paper has nother version. Agregated cites: 30		article
2021The effect of voting rights on firm value In: International Review of Finance.
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2021Extensions to the invariance property of maximum likelihood estimation for affine‐transformed state‐space models In: Journal of Time Series Analysis.
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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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This paper has nother version. Agregated cites: 4		article
2014Foreign Capital and Gender Differences in Promotions: Evidence From Large Brazilian Manufacturing Firms In: Economía Journal.
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2014Foreign capital and gender differences in promotions: evidence from large Brazilian manufacturing firms.(2014) In: LSE Research Online Documents on Economics.
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2001A family of autoregressive conditional duration models In: LIDAM Discussion Papers CORE.
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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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2019A dynamic Nelson–Siegel model with forward-looking macroeconomic factors for the yield curve in the US In: Journal of Economic Dynamics and Control.
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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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2005Nonparametric specification tests for conditional duration models In: Journal of Econometrics.
[Full Text][Citation analysis]		article44
2000Non-Parametric Specification Tests for Conditional Duration Models..(2000) In: Economics Working Papers.
[Citation analysis]
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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.
[Full Text][Citation analysis]		article22
2016Anticipatory effects in the FTSE 100 index revisions In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article7
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.
[Full Text][Citation analysis]		article5
2016Forecasting the Brazilian Yield Curve Using Forward-Looking Variables.(2016) In: Working Papers.
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2022A panel-based proxy for gun prevalence in US and Mexico In: International Review of Law and Economics.
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2020March madness in Wall Street: (What) does the market learn from stress tests? In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article37
2015March Madness in Wall Street: (What) Does the Market Learn from Stress Tests?.(2015) 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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2014Modeling and predicting the CBOE market volatility index In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article140
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.
[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).
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