Márcio Laurini : Citation Profile

Are you Márcio Laurini?

Universidade de São Paulo

8

H index

6

i10 index

202

Citations

RESEARCH PRODUCTION:

41

Articles

41

Papers

EDITOR:

1

Series edited

RESEARCH ACTIVITY:

   18 years (2002 - 2020). See details.
   Cites by year: 11
   Journals where Márcio Laurini has often published
   Relations with other researchers
   Recent citing documents: 48.    Total self citations: 15 (6.91 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pla86
   Updated: 2021-03-01    RAS profile: 2020-10-23    
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Relations with other researchers

Works with:

Chaim, Pedro (3)

Mauad, Roberto (2)

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

Is cited by:

Resende, Guilherme (13)

Cravo, Túlio (10)

Rulliere, Didier (6)

Morita Sakowski, Patricia (6)

Sensoy, Ahmet (4)

Fengler, Matthias (4)

Corbet, Shaen (4)

HALKOS, GEORGE (3)

Bouri, Elie (3)

Peiró-Palomino, Jesús (3)

Tzeremes, Nickolaos (3)

Cites to:

Diebold, Francis (32)

Rudebusch, Glenn (24)

Bollerslev, Tim (17)

Christensen, Jens (14)

Shephard, Neil (11)

Ang, Andrew (11)

Perron, Pierre (11)

Engle, Robert (9)

Valls Pereira, Pedro (9)

Wolf, Michael (9)

Obstfeld, Maurice (8)

Main data

Where Márcio Laurini has published?

Journals with more than one article published# docs
Brazilian Review of Finance4
Brazilian Review of Econometrics4
Economics Letters4
Economics Bulletin3

Working Papers Series with more than one paper published# docs
IBMEC RJ Economics Discussion Papers / Economics Research Group, IBMEC Business School - Rio de Janeiro8

Recent works citing Márcio Laurini (2021 and 2020)

YearTitle of citing document
2020Where do we stand in cryptocurrencies economic research? A survey based on hybrid analysis. (2020). Fernandez Bariviera, Aurelio ; Merediz-Sola, Ignasi. In: Papers. RePEc:arx:papers:2003.09723.

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2021Cryptocurrency Trading: A Comprehensive Survey. (2020). Wu, Fan ; Martinez-Regoband, David ; Li, Lingbo ; Kanthan, Leslie ; Kong, Hoiliong ; Basios, Michail ; Ventre, Carmine ; Fang, Fan. In: Papers. RePEc:arx:papers:2003.11352.

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2020Editorial: Understanding Cryptocurrencies. (2020). Reule, Raphael ; Raphael, ; Harvey, Campbell R ; Hardle, Wolfgang Karl. In: Papers. RePEc:arx:papers:2007.14702.

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2020Cryptocurrency portfolio optimization with multivariate normal tempered stable processes and Foster-Hart risk. (2020). Kim, Youngshin ; Kurosaki, Tetsuo. In: Papers. RePEc:arx:papers:2010.08900.

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2020Exploring the Predictability of Cryptocurrencies via Bayesian Hidden Markov Models. (2020). Leonardos, Stefanos ; Koki, Constandina ; Piliouras, Georgios. In: Papers. RePEc:arx:papers:2011.03741.

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2021Liquidation, Leverage and Optimal Margin in Bitcoin Futures Markets. (2021). Wang, Tianyi ; Yu, Mei ; Cheng, Zhiyong ; Deng, Jun. In: Papers. RePEc:arx:papers:2102.04591.

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2020Convergence or confusion? A study of world economic growth. (2020). Yoon, Yong ; Ryu, Keunkwan. In: Economics Bulletin. RePEc:ebl:ecbull:eb-19-00728.

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2020Big data analytics using multi-fractal wavelet leaders in high-frequency Bitcoin markets. (2020). Bekiros, Stelios ; Lahmiri, Salim. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:131:y:2020:i:c:s0960077919304187.

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2020The impact of blockchain related name changes on corporate performance. (2020). Sensoy, Ahmet ; Corbet, Shaen ; Yarovaya, Larisa ; Akyildirim, Erdinc. In: Journal of Corporate Finance. RePEc:eee:corfin:v:65:y:2020:i:c:s0929119920302030.

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2020Does monetary policy credibility mitigate the fear of floating?. (2020). Ferreira, Caio Ferrari ; Montes, Gabriel Caldas. In: Economic Modelling. RePEc:eee:ecmode:v:84:y:2020:i:c:p:76-87.

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2021Returns and volume: Frequency connectedness in cryptocurrency markets. (2021). Tzaferi, Dimitra ; Fousekis, Panos. In: Economic Modelling. RePEc:eee:ecmode:v:95:y:2021:i:c:p:13-20.

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2020Equity market and money supply spillovers and economic growth in BRICS economies: A global vector autoregressive approach. (2020). Sohag, Kazi ; Alqahtani, Faisal ; Kutan, Ali M ; Samargandi, Nahla. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940818303255.

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2020Improving the realized GARCH’s volatility forecast for Bitcoin with jump-robust estimators. (2020). Yang, Jimmy J ; Liu, Hung-Chun ; Hung, Jui-Cheng. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940820300620.

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2020Momentum trading in cryptocurrencies: Short-term returns and diversification benefits. (2020). Tsend-Ayush, Bayasgalan ; Kizys, Renatas ; Tzouvanas, Panagiotis. In: Economics Letters. RePEc:eee:ecolet:v:191:y:2020:i:c:s0165176519303647.

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2020What drives Bitcoin’s price crash risk?. (2020). Urquhart, Andrew ; Sakkas, Athanasios ; Papakyriakou, Panayiotis ; Kalyvas, Antonios. In: Economics Letters. RePEc:eee:ecolet:v:191:y:2020:i:c:s0165176519303908.

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2020Bubble regime identification in an attention-based model for Bitcoin and Ethereum price dynamics. (2020). Figa-Talamanca, Gianna ; Cretarola, Alessandra. In: Economics Letters. RePEc:eee:ecolet:v:191:y:2020:i:c:s0165176519304203.

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2020Investigating tail-risk dependence in the cryptocurrency markets: A LASSO quantile regression approach. (2020). Yao, Kai ; Chevapatrakul, Thanaset ; Nguyen, Linh Hoang. In: Journal of Empirical Finance. RePEc:eee:empfin:v:58:y:2020:i:c:p:333-355.

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2020Measuring the Brazilian ethanol and gasoline market efficiency using DFA-Hurst and fractal dimension. (2020). Inacio, C. M. C., ; David, S A ; Machado, J. A. T., ; Quintino, D D. In: Energy Economics. RePEc:eee:eneeco:v:85:y:2020:i:c:s0140988319304098.

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2020Time-frequency co-movement of cryptocurrency return and volatility: Evidence from wavelet coherence analysis. (2020). Zhu, Huiming ; Qiao, Xingzhi ; Hau, Liya. In: International Review of Financial Analysis. RePEc:eee:finana:v:71:y:2020:i:c:s105752192030185x.

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2020Economic fundamentals or investor perceptions? The role of uncertainty in predicting long-term cryptocurrency volatility. (2020). Su, Zhi ; Fang, Tong ; Yin, Libo. In: International Review of Financial Analysis. RePEc:eee:finana:v:71:y:2020:i:c:s1057521920302106.

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2020Non-linearities, cyber attacks and cryptocurrencies. (2020). Spagnolo, Nicola ; Caporale, Guglielmo Maria ; Kang, Woo-Young. In: Finance Research Letters. RePEc:eee:finlet:v:32:y:2020:i:c:s1544612319309377.

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2020Testing for mean reversion in Bitcoin returns with Gibbs-sampling-augmented randomization. (2020). Caldeira, Joo Frois ; Henrique, Fernando ; Turattia, Douglas Eduardo. In: Finance Research Letters. RePEc:eee:finlet:v:34:y:2020:i:c:s1544612319306415.

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2020Asymmetric volatility in cryptocurrency markets: New evidence from smooth transition GARCH models. (2020). Ben Cheikh, Nidhaleddine ; Chevallier, Julien ; ben Zaied, Younes. In: Finance Research Letters. RePEc:eee:finlet:v:35:y:2020:i:c:s154461231930162x.

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2020Intraday efficiency-frequency nexus in the cryptocurrency markets. (2020). Sensoy, Ahmet ; Aslan, Aylin. In: Finance Research Letters. RePEc:eee:finlet:v:35:y:2020:i:c:s1544612319308025.

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2020Relevant stylized facts about bitcoin: Fluctuations, first return probability, and natural phenomena. (2020). da Silva, R ; da Cunha, C R. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:550:y:2020:i:c:s0378437120300133.

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2020Multifractal behavior in the dynamics of Brazilian inflation indices. (2020). , Tiago ; Stosic, Tatijana ; de Lima, Neilson F ; Fernando, . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:550:y:2020:i:c:s0378437120300145.

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2020Do Bitcoin and other cryptocurrencies jump together?. (2020). Hussain, Syed Jawad ; Roubaud, David ; Bouri, Elie. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:76:y:2020:i:c:p:396-409.

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2020A systematic review of the bubble dynamics of cryptocurrency prices. (2020). Corbet, Shaen ; Kyriazis, Nikolaos ; Papadamou, Stephanos. In: Research in International Business and Finance. RePEc:eee:riibaf:v:54:y:2020:i:c:s0275531919310037.

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2020Attention allocation and international stock return comovement: Evidence from the Bitcoin market. (2020). Li, Xiao ; Hu, Yitong ; Shen, Dehua. In: Research in International Business and Finance. RePEc:eee:riibaf:v:54:y:2020:i:c:s0275531920304992.

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2020Riding the Wave of Crypto-Exuberance: The Potential Misusage of Corporate Blockchain Announcements. (2020). Sensoy, Ahmet ; Corbet, Shaen ; Lucey, Brian ; Cumming, Douglas ; Akyildirim, Erdin . In: Technological Forecasting and Social Change. RePEc:eee:tefoso:v:159:y:2020:i:c:s0040162520310179.

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2020Forecasting the Term Structure of Interest Rates with Dynamic Constrained Smoothing B-Splines. (2020). Fabris, Antonio Elias ; Moura, Marcelo ; Alencar, Airlane Pereira ; Mineo, Eduardo. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:13:y:2020:i:4:p:65-:d:340878.

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2020Does Bitcoin Hedge Commodity Uncertainty?. (2020). Nguyen, Thang X ; Poch, Kongchheng ; Hoang, Khanh. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:13:y:2020:i:6:p:119-:d:369078.

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2020A Comprehensive Statistical Analysis of the Six Major Crypto-Currencies from August 2015 through June 2020. (2020). Carneiro, Andre Fluminense ; de Melo, Beatriz Vaz. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:13:y:2020:i:9:p:192-:d:403893.

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2020The Geography of Well-being in Colombia. (2020). Tortosa-Ausina, Emili ; Picazo-Tadeo, Andres ; Peiro-Palomino, Jesus . In: Working Papers. RePEc:jau:wpaper:2020/03.

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2020Application of the Absorption Ratio to Illustrate Financial Connectedness and Interlinkages. (2020). Apps, Emma. In: Working Papers. RePEc:liv:livedp:202022.

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2020Cryptocurrencies: A Copula Based Approach for Asymmetric Risk Marginal Allocations. (2020). Younas, Zahid Irshad ; Meloni, Mirko ; Jeleskovic, Vahidin . In: MAGKS Papers on Economics. RePEc:mar:magkse:202034.

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2021Factors Determining the Development of Minimum Comparable Areas and Spatial Interaction. (2021). , Aisdl. In: OSF Preprints. RePEc:osf:osfxxx:9e7xz.

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2020“Understanding growth convergence in India (1981–2010): Looking beyond the usual suspects”. (2020). Mukhopadhyay, Pranab ; Lolayekar, Aparna P. In: PLOS ONE. RePEc:plo:pone00:0233549.

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2020A Multivariate GARCH-Jump Mixture Model. (2020). Maheu, John ; Li, Chenxing. In: MPRA Paper. RePEc:pra:mprapa:104770.

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2020Forecasting Realized Volatility of Bitcoin: The Role of the Trade War. (2020). GUPTA, RANGAN ; Pierdzioch, Christian ; Gkillas, Konstantinos ; Bouri, Elie. In: Working Papers. RePEc:pre:wpaper:202003.

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2020Jumps in Geopolitical Risk and the Cryptocurrency Market: The Singularity of Bitcoin. (2020). GUPTA, RANGAN ; Bouri, Elie ; Vo, Xuan Vinh. In: Working Papers. RePEc:pre:wpaper:202015.

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2020.

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2020Franchising contracts in fashion supply chain operations: models, practices, and real case study. (2020). Chen, Yue ; Guo, Shu ; Chung, Sai-Ho. In: Annals of Operations Research. RePEc:spr:annopr:v:291:y:2020:i:1:d:10.1007_s10479-018-2998-5.

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2021Regime specific spillover across cryptocurrencies and the role of COVID-19. (2021). Saeed, Tareq ; Kang, Sang Hoon ; Bouri, Elie ; Hussain, Syed Jawad. In: Financial Innovation. RePEc:spr:fininn:v:7:y:2021:i:1:d:10.1186_s40854-020-00210-4.

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2021.

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2021Market efficiency and volatility persistence of cryptocurrency during pre? and post?crash periods of Bitcoin: Evidence based on fractional integration. (2021). YAYA, OLAOLUWA ; Ogbonna, Ahamuefula ; Abu, Nuruddeen ; Mudida, Robert. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:26:y:2021:i:1:p:1318-1335.

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2020Cryptocurrency volatility forecasting: A Markov regime?switching MIDAS approach. (2020). M. I. M. Wahab, ; Ma, Yuanhui ; Liang, Chao. In: Journal of Forecasting. RePEc:wly:jforec:v:39:y:2020:i:8:p:1277-1290.

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2020Investigating Regional Inequalities in India: Are Indian Districts Converging?. (2020). Tiwari, Chhavi ; Chakrabarti, Debkumar ; Bhattacharjee, Sankalpa. In: Journal of International Development. RePEc:wly:jintdv:v:32:y:2020:i:5:p:684-716.

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Márcio Laurini is editor of

Journal
Brazilian Review of Finance

Works by Márcio Laurini:

YearTitleTypeCited
2016MODELO NELSON-SIEGEL COM CONDIÇÕES DE NÃO ARBITRAGEM PARA PREVISÃO DE INFLAÇÃO A PARTIR DO MERCADO DE TÍTULOS BRASILEIRO In: Anais do XLII Encontro Nacional de Economia [Proceedings of the 42nd Brazilian Economics Meeting].
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2014A Noisy Principal Component Analysis for Forward Rate Curves In: Papers.
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2015A noisy principal component analysis for forward rate curves.(2015) In: European Journal of Operational Research.
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2016Multivariate Stochastic Volatility-Double Jump Model: an application for oil assets In: Working Papers Series.
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2016Poverty Elasticity: A Note on a New Empirical Approach In: Review of Income and Wealth.
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2013A Hybrid Data Cloning Maximum Likelihood Estimator for Stochastic Volatility Models In: Journal of Time Series Econometrics.
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2012A Hybrid Data Cloning Maximum Likelihood Estimator for Stochastic Volatility Models.(2012) In: IBMEC RJ Economics Discussion Papers.
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2014Lista de Avaliadores - 2014 In: Brazilian Review of Finance.
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2015List of Reviewers - 2015 In: Brazilian Review of Finance.
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2016Brazilian Review of Finance 2015 Editorial Report In: Brazilian Review of Finance.
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2010Variance Swaps in BM&F: Pricing and Viability of Hedge In: Brazilian Review of Finance.
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2007A note on the use of quantile regression in beta convergence analysis In: Economics Bulletin.
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2007A note on the use of quantile regression in beta convergence analysis.(2007) In: Insper Working Papers.
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2011Bayesian Factor Selection in Dynamic Term Structure Models In: Economics Bulletin.
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2011Bayesian Factor Selection in Dynamic Term Structure Models.(2011) In: IBMEC RJ Economics Discussion Papers.
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2014The stochastic volatility model with random jumps and its application to BRL/USD exchange rate. In: Economics Bulletin.
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2004Income Convergence Clubs for Brazilian Municipalities: a Non-Parametric Analysis In: Econometric Society 2004 Latin American Meetings.
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2005Income convergence clubs for Brazilian Municipalities: a non-parametric analysis.(2005) In: Applied Economics.
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2010Exchange rate movements and monetary policy in Brazil: Econometric and simulation evidence In: Economic Modelling.
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2008Exchange Rate Movements and Monetary Policy In Brazil: Econometric and Simulation Evidence.(2008) In: Insper Working Papers.
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2019Nonlinear dependence in cryptocurrency markets In: The North American Journal of Economics and Finance.
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2009Conditional stochastic kernel estimation by nonparametric methods In: Economics Letters.
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2007Conditional Stochastic Kernel Estimation by Nonparametric Methods.(2007) In: Insper Working Papers.
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2012New evidence on the role of cognitive skill in economic development In: Economics Letters.
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2010New Evidence on the Role of Cognitive Skill in Economic Development.(2010) In: IBMEC RJ Economics Discussion Papers.
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2018Volatility and return jumps in bitcoin In: Economics Letters.
[Full Text][Citation analysis]		article31
2004Convergence clubs among Brazilian municipalities In: Economics Letters.
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2003Convergence Clubs Among Brazilian Municipalities.(2003) In: Insper Working Papers.
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2008Empirical market microstructure: An analysis of the BRL/US$ exchange rate market In: Emerging Markets Review.
[Full Text][Citation analysis]		article1
2010Bayesian extensions to Diebold-Li term structure model In: International Review of Financial Analysis.
[Full Text][Citation analysis]		article8
2008Bayesian extensions to diebold-li term structure model.(2008) In: Insper Working Papers.
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2015A common jump factor stochastic volatility model In: Finance Research Letters.
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2010Constrained smoothing B-splines for the term structure of interest rates In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]		article12
2007Constrained Smoothing Splines for the Term Structure of Interest Rates.(2007) In: Insper Working Papers.
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2013Indirect Inference in fractional short-term interest rate diffusions In: Mathematics and Computers in Simulation (MATCOM).
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2019Is Bitcoin a bubble? In: Physica A: Statistical Mechanics and its Applications.
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2017The spatio-temporal dynamics of ethanol/gasoline price ratio in Brazil In: Renewable and Sustainable Energy Reviews.
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2016A macro-finance term structure model with multivariate stochastic volatility In: International Review of Economics & Finance.
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2020The impact of co-jumps in the oil sector In: Research in International Business and Finance.
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2014Arbitrage in the Term Structure of Interest Rates: a Bayesian Approach In: International Econometric Review (IER).
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2009Modelos de fatores latentes generalizados para curvas de juros em múltiplos mercados In: Working Papers.
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2009Modelos de Fatores Latentes Generalizados para Curvas de Juros em Múltiplos Mercados.(2009) In: Insper Working Papers.
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2009Modelos de Fatores Latentes Generalizados para Curvas de Juros em Múltiplos Mercados.(2009) In: Insper Working Papers.
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2020Tornado Occurrences in the United States: A Spatio-Temporal Point Process Approach In: Econometrics.
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2003Long Memory int the R$/US$ Exchange Rate: A Robust Analysis In: Finance Lab Working Papers.
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2004Long memory in the R$ / US$ exchange rate: A robust analysis.(2004) In: Brazilian Review of Econometrics.
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2003Markov Switching Based Nonlinear Tests for Market Efficiency Using the R$/US$ Exchange Rate In: Finance Lab Working Papers.
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2008Empirical Market Microstructure: An Analysis Of The Brl/Us$ Exchange Rate Market Using High-Frequency Data In: Insper Working Papers.
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2008Inferência indireta em modelos fracionários de taxas de juros de curto prazo In: Insper Working Papers.
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2008Funções de Cópula na Precificação de Opções In: Insper Working Papers.
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2009Estimação de Equações Diferenciais Estocásticas Usando Verossimilhança Empírica e Mínimo Contraste Generalizado In: Insper Working Papers.
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2009Uma investigação sobre os Estilos Gerenciais e Riscos de Mercado de Fundos Multimercados Brasileiros In: Insper Working Papers.
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2009Futuros de Swap de Variância e Volatilidade Na BM&F - Apreçamento e Viabilidade de Hedge In: Insper Working Papers.
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2009Teste de estabilidades dos coeficientes betas do mercado acionário brasileiro In: Insper Working Papers.
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2009Estimação de modelos de volatilidade estocástica usando métodos de verossimilhança empírica/mínimo constraste generalizados In: Insper Working Papers.
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2010Arbitragem na Estrutura a Termo das Taxas de Juros: Uma Abordagem Bayesiana In: Insper Working Papers.
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2010Inferência Bayesiana Aplicada ao Modelo Dinâmico de Nelson-Siegel com Volatilidade Estocástica nos Fatores In: Insper Working Papers.
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2002Testing Convergence Across Municipalities in Brazil Using Quantile Regression In: Insper Working Papers.
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2003Clubes de Convergência de Renda para os Municípios Brasileiros: Uma Análise Não-Paramétrica In: Insper Working Papers.
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2004Income Convergence Clubs for Brazilian Municipalities: A Non-Parametric Analysis (english version of WPE-6/2003) In: Insper Working Papers.
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2007Extensões Bayesianas do Modelo de Estrutura a Termo de Diebold-Li In: Insper Working Papers.
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2007Imposing No-Arbitrage Conditions In Implied Volatility Surfaces Using Constrained Smoothing Splines In: Insper Working Papers.
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2007Microestrutura Empírica e Mercado - Uma Análise para a Taxa de Câmbio Brl/Us$ Usando Dados de Alta Freqüência In: Insper Working Papers.
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2011Forecasting the Term Structure of Interest Rates Using Integrated Nested Laplace Approximations In: IBMEC RJ Economics Discussion Papers.
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2014Forecasting the Term Structure of Interest Rates Using Integrated Nested Laplace Approximations.(2014) In: Journal of Forecasting.
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2012Dynamic Functional Data Analysis with Nonparametric State Space Models. In: IBMEC RJ Economics Discussion Papers.
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2014Dynamic functional data analysis with non-parametric state space models.(2014) In: Journal of Applied Statistics.
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2012Generalized Tests of Investment Fund Performance In: IBMEC RJ Economics Discussion Papers.
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2011Generalized Tests of Investment Fund Performance.(2011) In: Brazilian Review of Econometrics.
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2012Some Comments on a Macro-Finance Model with Stochastic Volatility In: IBMEC RJ Economics Discussion Papers.
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2012Bayesian Unit Root Testing in Stochastic Volatility Models Using INLA In: IBMEC RJ Economics Discussion Papers.
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2010Does Ownership Affect the Variability of the Production Process? Evidence from International Courier Services In: Organization Science.
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2020Portfolio Efficiency Tests with Conditioning Information - Comparing GMM and GEL Estimators In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS.
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2017A spatial error model with continuous random effects and an application to growth convergence In: Journal of Geographical Systems.
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2017Implicit Inflation and Risk Premiums in the Brazilian Fixed Income Market In: Emerging Markets Finance and Trade.
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2012Poverty Elasticity- a New Empirical Approach In: Série Textos para Discussão (Working Papers).
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2010Bayesian Inference Applied to Dynamic Nelson-Siegel Model with Stochastic Volatility In: Brazilian Review of Econometrics.
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2012Non-Parametric Pricing of Interest Rates Options In: Brazilian Review of Econometrics.
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2017A continuous spatio-temporal model for house prices in the USA In: The Annals of Regional Science.
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2013A Dynamic Econometric Model for Inflationary Inertia In Brazil In: Journal of Statistical and Econometric Methods.
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2011Imposing no‐arbitrage conditions in implied volatilities using constrained smoothing splines In: Applied Stochastic Models in Business and Industry.
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2019A spatio‐temporal approach to estimate patterns of climate change In: Environmetrics.
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