Marcelo Fernandes : Citation Profile


Are you Marcelo Fernandes?

Fundação Getúlio Vargas (FGV)

8

H index

7

i10 index

336

Citations

RESEARCH PRODUCTION:

32

Articles

62

Papers

RESEARCH ACTIVITY:

   26 years (1994 - 2020). See details.
   Cites by year: 12
   Journals where Marcelo Fernandes has often published
   Relations with other researchers
   Recent citing documents: 30.    Total self citations: 22 (6.15 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pfe19
   Updated: 2021-01-23    RAS profile: 2020-07-09    
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Relations with other researchers


Works with:

Chague, Fernando (5)

Cerqueira, Daniel (3)

Coelho, Danilo (3)

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)

Gil-Alana, Luis (7)

Caporale, Guglielmo Maria (7)

Degiannakis, Stavros (6)

Schienle, Melanie (6)

PHILIPPON, Thomas (6)

Filis, George (6)

Bauwens, Luc (6)

Camara, Boubacar (6)

Cites to:

Engle, Robert (31)

Grammig, Joachim (19)

Drost, Feike C. (19)

Campbell, John (14)

Ait-Sahalia, Yacine (14)

Hansen, Lars (14)

Diebold, Francis (13)

Shephard, Neil (12)

Barndorff-Nielsen, Ole (11)

Lunde, Asger (11)

van Dijk, Dick (11)

Main data


Where Marcelo Fernandes has published?


Journals with more than one article published# docs
Brazilian Review of Econometrics8
Journal of Econometrics5
Revista Brasileira de Economia - RBE3
Econometric Reviews2
Journal of Economic Dynamics and Control2
Annals of the Institute of Statistical Mathematics2
Journal of Banking & Finance2

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
Discussion Papers / Instituto de Pesquisa Econmica Aplicada - IPEA2
Textos para discusso / Department of Economics PUC-Rio (Brazil)2

Recent works citing Marcelo Fernandes (2021 and 2020)


YearTitle of citing document
2020Sector connectedness in the Chinese stock markets. (2020). Zhou, Wei-Xing ; Wang, Gang-Jin ; Ma, Jun-Chao ; Jiang, Zhi-Qiang ; Shen, Ying-Ying. In: Papers. RePEc:arx:papers:2002.09097.

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2020Predicting tail events in a RIA-EVT-Copula framework. (2020). Zhou, Wei-Xing ; Wang, Gang-Jin ; Jiang, Zhi-Qiang ; Zhai, Jin-Rui ; Li, Wei-Zhen. In: Papers. RePEc:arx:papers:2004.03190.

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

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2020Do stress tests affect bank liquidity creation?. (2020). Onali, Enrico ; Chevapatrakul, Thanaset ; Ahmed, Shamim ; Vu, Thach. In: Journal of Corporate Finance. RePEc:eee:corfin:v:64:y:2020:i:c:s0929119920300663.

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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.

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2020Assessment of time-varying systemic risk in credit default swap indices: Simultaneity and contagiousness. (2020). Choi, So Eun ; Jang, Hyun Jin. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940818302973.

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2020A Simple R-estimation method for semiparametric duration models. (2020). la Vecchia, Davide ; Hallin, Marc. In: Journal of Econometrics. RePEc:eee:econom:v:218:y:2020:i:2:p:736-749.

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2020Volatility persistence in the Russian stock market. (2020). Gil-Alana, Luis ; Caporale, Guglielmo Maria ; Tripathy, Trilochan. In: Finance Research Letters. RePEc:eee:finlet:v:32:y:2020:i:c:s154461231830624x.

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2020Historic risk and implied volatility. (2020). Levendis, John ; Dicle, Mehmet F. In: Global Finance Journal. RePEc:eee:glofin:v:45:y:2020:i:c:s1044028318301625.

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2020Forecasting value at risk with intra-day return curves. (2020). Zhao, Yuqian ; Wirjanto, Tony ; Rice, Gregory. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:3:p:1023-1038.

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2020Banking stress test effects on returns and risks. (2020). de Haan, Jakob ; Neretina, Ekaterina ; Sahin, Cenkhan. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:117:y:2020:i:c:s0378426620301096.

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2020A modified BDS test. (2020). Hui, Yongchang ; Zheng, Shurong ; Bai, Zhidong ; Luo, Wenya. In: Statistics & Probability Letters. RePEc:eee:stapro:v:164:y:2020:i:c:s0167715220300973.

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2020Central 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.

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2020Banking Supervision: The Perspective from Economics. (2020). Hirtle, Beverly. In: Staff Reports. RePEc:fip:fednsr:89213.

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2020A General Family of Autoregressive Conditional Duration Models Applied to High-Frequency Financial Data. (2020). Vila, Roberto ; Cunha, Danubia R ; Fernandez, Rodrigo N ; Saulo, Helton. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:13:y:2020:i:3:p:45-:d:327540.

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2020GARCH Generated Volatility Indices of Bitcoin and CRIX. (2020). Mare, Eben ; Venter, Pierre J. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:13:y:2020:i:6:p:121-:d:370116.

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2020Are Investors’ Attention and Uncertainty Aversion the Risk Factors for Stock Markets? International Evidence from the COVID-19 Crisis. (2020). Ashraf, Badar Nadeem ; Shear, Falik ; Sadaqat, Mohsin. In: Risks. RePEc:gam:jrisks:v:9:y:2020:i:1:p:2-:d:466308.

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2020How Would U.S. Banks Fare in a Negative Interest Rate Environment?. (2020). Arseneau, David M. In: International Journal of Central Banking. RePEc:ijc:ijcjou:y:2020:q:4:a:7.

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2020Bank Stress Testing: Public Interest or Regulatory Capture?. (2020). Yang, Jun ; Strahan, Philip E ; Schneider, Thomas Ian. In: NBER Working Papers. RePEc:nbr:nberwo:26887.

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2020Forecasting index changes in the German DAX family. (2020). Franz, Friedrich-Carl . In: Journal of Asset Management. RePEc:pal:assmgt:v:21:y:2020:i:2:d:10.1057_s41260-020-00153-6.

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2020Direct and Indirect Effects of COVID-19 Pandemic on Implied Stock Market Volatility: Evidence from Panel Data Analysis. (2020). Kenourgios, Dimitris ; Fassas, Athanasios ; Dimitriou, Dimitrios ; Papadamou, Stephanos. In: MPRA Paper. RePEc:pra:mprapa:100020.

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2020Ordinal-response models for irregularly spaced transactions: A forecasting exercise. (2020). Aknouche, Abdelhakim ; Tsionas, Mike G ; Dimitrakopoulos, Stefanos. In: MPRA Paper. RePEc:pra:mprapa:103250.

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2020The volatility spillover effects among risk appetite indexes: insight from the VIX and the rise. (2020). Alola, Andrew Adewale ; Skenderoglu, Omer ; Akdag, Saffet. In: Letters in Spatial and Resource Sciences. RePEc:spr:lsprsc:v:13:y:2020:i:1:d:10.1007_s12076-020-00244-3.

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2020Goodness-of-fit tests in conditional duration models. (2020). Obradovi, Marko ; Miloevi, Bojana ; Meintanis, Simos G. In: Statistical Papers. RePEc:spr:stpapr:v:61:y:2020:i:1:d:10.1007_s00362-017-0930-8.

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2020Goodness-of-fit tests for parametric specifications of conditionally heteroscedastic models. (2020). Jimenez-Gamero, Dolores M ; Meintanis, Simos G ; Lee, Sangyeol. In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research. RePEc:spr:testjl:v:29:y:2020:i:3:d:10.1007_s11749-019-00676-0.

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2020Evaluation of current research on stock return predictability. (2020). Guzmics, Sandor ; Zwatz, Christian ; Mangat, Manveer Kaur ; Reschenhofer, Erhard. In: Journal of Forecasting. RePEc:wly:jforec:v:39:y:2020:i:2:p:334-351.

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2020Cholesky–ANN models for predicting multivariate realized volatility. (2020). Bucci, Andrea. In: Journal of Forecasting. RePEc:wly:jforec:v:39:y:2020:i:6:p:865-876.

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2020Regulatory stress testing and bank performance. (2020). Weigert, Florian ; Vonhoff, Volker ; Vogt, Pascal ; Ahnert, Lukas. In: CFR Working Papers. RePEc:zbw:cfrwps:2003.

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2020Stress tests and small business lending. (2020). Strahan, Philip E ; Loutskina, Elena ; Li, Lei ; Demyanyk, Yuliya ; Cortes, Kristle R. In: Journal of Financial Economics. RePEc:eee:jfinec:v:136:y:2020:i:1:p:260-279.

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2020An examination of bank behavior around Federal Reserve stress tests. (2020). Tehranian, Hassan ; Schorno, Patrick J ; Minnick, Kristina ; Cornett, Marcia Millon. In: Journal of Financial Intermediation. RePEc:eee:jfinin:v:41:y:2020:i:c:s1042957318300330.

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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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2019Smoothing quantile regressions In: Papers.
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2017Smoothing quantile regressions.(2017) In: Textos para discussão.
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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: 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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article14
2005Nonparametric specification tests for conditional duration models In: Journal of Econometrics.
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article37
2000Non-Parametric Specification Tests for Conditional Duration Models..(2000) In: Economics Working Papers.
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paper
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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article3
2012International market links and volatility transmission In: Journal of Econometrics.
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article16
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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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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2016Forecasting the Brazilian Yield Curve Using Forward-Looking Variables.(2016) In: Working Papers.
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2020March madness in Wall Street: (What) does the market learn from stress tests? In: Journal of Banking & Finance.
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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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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.
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article84
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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2000Market Microstructure Models and Markov Property.(2000) In: Finance Lab 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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2014Títulos de dívida corporativa de empresas brasileiras: investir em emissões do mercado interno ou externo? 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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2016Disentangling the Effect of Private and Public Cash Flows on Firm Value.(2016) In: Working Papers.
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2016Disentangling the Effect of Private and Public Cash Flows on Firm Value.(2016) In: Working Papers.
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2017Improving on daily measures of price discovery In: Textos para discussão.
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2017A dynamic Nelson-Siegel model with forward-looking indicators for the yield curve in the US 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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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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2002O mecanismo monetário de transmissão na economia brasileira pós-Plano Real In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE).
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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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2006A stochastic discount factor approach to asset pricing using panel data 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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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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2015March Madness in Wall Street; (What) Does the Market Learn from Stress Tests? In: IMF Working Papers.
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2009Capital Estrangeiro e Diferenciais de Gênero nas Promoções: Evidências da Indústria de Transformação Brasileira In: Discussion Papers.
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2016Armas de Fogo e Suicídios In: Discussion 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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2015The Government as a Large Shareholder: Impact on Firm Value and Corporate Governance.(2015) 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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2014Brazilian Corporate Debt Issuance: Should You Invest in Local or International Bonds? 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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2019The efficiency of risk sharing between UK and US: Robust estimation and calibration under market incompleteness In: Brazilian Review of Econometrics.
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2018Guns and Suicides In: The American Statistician.
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2016A (Semi)Parametric Functional Coefficient Logarithmic Autoregressive Conditional Duration Model In: Econometric Reviews.
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2003Testing for a flexible non-linear link between short-term Eurorates and spreads In: The European Journal of Finance.
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2019Price discovery in a continuous-time setting In: University of East Anglia School of Economics Working Paper Series.
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