10
H index
10
i10 index
330
Citations
Márcio Laurini : Citation Profile
Universidade de São Paulo | RESEARCH PRODUCTION: 51 Articles 41 Papers EDITOR: Series edited RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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22 years (2002 - 2024). Relations with other researchers
Works with:
Authors registered in RePEc who have co-authored more than one work in the last five years with Márcio Laurini. | Is cited by:
| Cites to:
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Main data
Where Márcio Laurini has published?
| Journals with more than one article published | # docs |
|---|---|
| Economics Letters | 4 |
| Brazilian Review of Finance | 4 |
| Brazilian Review of Econometrics | 4 |
| Economics Bulletin | 3 |
| Econometrics | 2 |
| Mathematics | 2 |
| Stats | 2 |
| Working Papers Series with more than one paper published | # docs |
|---|---|
| IBMEC RJ Economics Discussion Papers / Economics Research Group, IBMEC Business School - Rio de Janeiro | 8 |
Recent works citing Márcio Laurini (2024 and 2023)
| Year | Title of citing document |
|---|---|
| 2023 | . Full description at Econpapers || Download paper |
| 2023 | Factors of production, productivity, institutions, and development: Evidence from Brazil. (2023). Nakabashi, Luciano ; Pereira, Ana Elisa. In: Review of Development Economics. RePEc:bla:rdevec:v:27:y:2023:i:2:p:1034-1055. Full description at Econpapers || Download paper |
| 2023 | Stop-loss rules and momentum payoffs in cryptocurrencies. (2023). Butt, Hilal Anwar ; Sadaqat, Mohsin. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:39:y:2023:i:c:s2214635023000473. Full description at Econpapers || Download paper |
| 2023 | Beyond distance: The spatial relationships of European regional economic growth. (2023). Glocker, Christian ; Krisztin, Tamas ; Piribauer, Philipp. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:155:y:2023:i:c:s0165188923001410. Full description at Econpapers || Download paper |
| 2023 | Currency portfolio behavior in seven major Asian markets. (2023). Lin, Chinho ; Chang, Hao-Wen. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:79:y:2023:i:c:p:540-559. Full description at Econpapers || Download paper |
| 2023 | Good and bad self-excitation: Asymmetric self-exciting jumps in Bitcoin returns. (2023). Peng, Zhe ; Xu, Mengyu ; Zhang, Zhengjun. In: Economic Modelling. RePEc:eee:ecmode:v:119:y:2023:i:c:s0264999322003613. Full description at Econpapers || Download paper |
| 2023 | Breaking news headlines: Impact on trading activity in the cryptocurrency market. (2023). Subramaniam, Sowmya ; Kulbhaskar, Anamika Kumar. In: Economic Modelling. RePEc:eee:ecmode:v:126:y:2023:i:c:s0264999323002092. Full description at Econpapers || Download paper |
| 2023 | Improved scalability and risk factor proxying with a two-step principal component analysis for multi-curve modelling. (2023). Cummins, Mark ; Atkins, Philip J. In: European Journal of Operational Research. RePEc:eee:ejores:v:304:y:2023:i:3:p:1331-1348. Full description at Econpapers || Download paper |
| 2023 | Safe havens for Bitcoin. (2023). Krištoufek, Ladislav ; Nedved, Martin. In: Finance Research Letters. RePEc:eee:finlet:v:51:y:2023:i:c:s1544612322006134. Full description at Econpapers || Download paper |
| 2023 | Forecasting and backtesting systemic risk in the cryptocurrency market. (2023). Egan, Paul ; Cao, Guangxi ; Fang, Sheng. In: Finance Research Letters. RePEc:eee:finlet:v:54:y:2023:i:c:s1544612323001617. Full description at Econpapers || Download paper |
| 2023 | Futures trading activity and the jump risk of spot market: Evidence from the bitcoin market. (2023). Liao, Xiaosai ; Ma, Huan ; Zhang, Chuanhai. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:78:y:2023:i:c:s0927538x23000161. Full description at Econpapers || Download paper |
| 2023 | Spillover effects between internet financial industry and traditional financial industry: Evidence from the Chinese stock market. (2023). Cheng, Lee-Young ; Wang, Shengjin ; Yang, Yuhong ; Li, Ruihai ; Shen, Anran ; Zheng, Yingfei. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:79:y:2023:i:c:s0927538x23000379. Full description at Econpapers || Download paper |
| 2023 | Long memory in the high frequency cryptocurrency markets using fractal connectivity analysis: The impact of COVID-19. (2023). Bhandari, Avishek ; Yousaf, Imran ; Mokni, Khaled ; Assaf, Ata. In: Research in International Business and Finance. RePEc:eee:riibaf:v:64:y:2023:i:c:s0275531922002070. Full description at Econpapers || Download paper |
| 2023 | Re-evaluating portfolio diversification and design using cryptocurrencies: Are decentralized cryptocurrencies enough?. (2023). Vo, Xuan Vinh ; Bakry, Walid ; Al-Mohamad, Somar ; Prasad, Mason ; Khaki, Audil. In: Research in International Business and Finance. RePEc:eee:riibaf:v:64:y:2023:i:c:s0275531922002094. Full description at Econpapers || Download paper |
| 2023 | Changes in the market structure and risk management of Bitcoin and its forked coins. (2023). Baltas, Konstantinos ; Nguyen, Thong Trung ; Narayan, Seema ; Ren, Yi-Shuai ; Ma, Chaoqun ; Kong, Xiaolin. In: Research in International Business and Finance. RePEc:eee:riibaf:v:65:y:2023:i:c:s0275531923000569. Full description at Econpapers || Download paper |
| 2023 | On the Determinants of Bitcoin Returns and Volatility: What We Get from Gets?. (2023). el Montasser, Ghassen ; Messai, Ahlem Selma ; Benhamed, Adel. In: Sustainability. RePEc:gam:jsusta:v:15:y:2023:i:3:p:1761-:d:1038511. Full description at Econpapers || Download paper |
| 2023 | Disentangling the Nonlinearity Effect in Cryptocurrency Markets During the Covid-19 Pandemic: Evidence from a Regime-Switching Approach. (2023). Moussa, Wajdi ; Bejaoui, Azza ; Mgadmi, Nidhal. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:30:y:2023:i:3:d:10.1007_s10690-022-09384-6. Full description at Econpapers || Download paper |
| 2023 | Evaluating the Safe-Haven Abilities of Bitcoin and Gold for Crude Oil Market: Evidence During the COVID-19 Pandemic. (2023). Liu, Yuntong ; Zhang, Yifeng ; Wei, YU ; Wang, Qian. In: Evaluation Review. RePEc:sae:evarev:v:47:y:2023:i:3:p:391-432. Full description at Econpapers || Download paper |
| 2023 | Forecasting bitcoin volatility: exploring the potential of deep learning. (2023). Rubio, Lihki ; Ramos, Filipe R ; Pratas, Tiago E. In: Eurasian Economic Review. RePEc:spr:eurase:v:13:y:2023:i:2:d:10.1007_s40822-023-00232-0. Full description at Econpapers || Download paper |
| 2023 | A Bayesian spatio?temporal model for short?term forecasting of precipitation fields. (2023). Heaps, S E ; Johnson, S R ; Wilkinson, D J ; Wilson, K J. In: Environmetrics. RePEc:wly:envmet:v:34:y:2023:i:8:n:e2824. Full description at Econpapers || Download paper |
| 2023 | Forecasting realized volatility of Bitcoin: The informative role of price duration. (2023). Tabche, Ibrahim ; Slim, Skander ; Karathanasopoulos, Andreas ; Osman, Mohamed ; Koubaa, Yosra. In: Journal of Forecasting. RePEc:wly:jforec:v:42:y:2023:i:7:p:1909-1929. Full description at Econpapers || Download paper |
Márcio Laurini is editor of
| Journal | |
|---|---|
| Brazilian Review of Finance |
Works by Márcio Laurini:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2016 | MODELO NELSON-SIEGEL COM CONDIÇÕES DE NÃO ARBITRAGEM PARA PREVISÃO DE INFLAÇÃO A PARTIR DO MERCADO DE TÃTULOS BRASILEIRO In: Anais do XLII Encontro Nacional de Economia [Proceedings of the 42nd Brazilian Economics Meeting]. [Full Text][Citation analysis] | paper | 0 |
| 2014 | A Noisy Principal Component Analysis for Forward Rate Curves In: Papers. [Full Text][Citation analysis] | paper | 13 |
| 2015 | A noisy principal component analysis for forward rate curves.(2015) In: European Journal of Operational Research. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 13 | article | |
| 2016 | Multivariate Stochastic Volatility-Double Jump Model: an application for oil assets In: Working Papers Series. [Full Text][Citation analysis] | paper | 3 |
| 2022 | Spatial heterogeneities, institutions, and income: Evidence for Brazil In: Papers in Regional Science. [Full Text][Citation analysis] | article | 2 |
| 2016 | Poverty Elasticity: A Note on a New Empirical Approach In: Review of Income and Wealth. [Full Text][Citation analysis] | article | 2 |
| 2013 | A Hybrid Data Cloning Maximum Likelihood Estimator for Stochastic Volatility Models In: Journal of Time Series Econometrics. [Full Text][Citation analysis] | article | 0 |
| 2012 | A Hybrid Data Cloning Maximum Likelihood Estimator for Stochastic Volatility Models.(2012) In: IBMEC RJ Economics Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2014 | Lista de Avaliadores - 2014 In: Brazilian Review of Finance. [Full Text][Citation analysis] | article | 0 |
| 2015 | List of Reviewers - 2015 In: Brazilian Review of Finance. [Full Text][Citation analysis] | article | 0 |
| 2016 | Brazilian Review of Finance 2015 Editorial Report In: Brazilian Review of Finance. [Full Text][Citation analysis] | article | 0 |
| 2010 | Variance Swaps in BM&F: Pricing and Viability of Hedge In: Brazilian Review of Finance. [Full Text][Citation analysis] | article | 0 |
| 2007 | A note on the use of quantile regression in beta convergence analysis In: Economics Bulletin. [Full Text][Citation analysis] | article | 6 |
| 2007 | A note on the use of quantile regression in beta convergence analysis.(2007) In: Insper Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | paper | |
| 2011 | Bayesian Factor Selection in Dynamic Term Structure Models In: Economics Bulletin. [Full Text][Citation analysis] | article | 0 |
| 2011 | Bayesian Factor Selection in Dynamic Term Structure Models.(2011) In: IBMEC RJ Economics Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2014 | The stochastic volatility model with random jumps and its application to BRL/USD exchange rate. In: Economics Bulletin. [Full Text][Citation analysis] | article | 1 |
| 2004 | Income Convergence Clubs for Brazilian Municipalities: a Non-Parametric Analysis In: Econometric Society 2004 Latin American Meetings. [Full Text][Citation analysis] | paper | 22 |
| 2005 | Income convergence clubs for Brazilian Municipalities: a non-parametric analysis.(2005) In: Applied Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 22 | article | |
| 2010 | Exchange rate movements and monetary policy in Brazil: Econometric and simulation evidence In: Economic Modelling. [Full Text][Citation analysis] | article | 15 |
| 2008 | Exchange Rate Movements and Monetary Policy In Brazil: Econometric and Simulation Evidence.(2008) In: Insper Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 15 | paper | |
| 2019 | Nonlinear dependence in cryptocurrency markets In: The North American Journal of Economics and Finance. [Full Text][Citation analysis] | article | 23 |
| 2009 | Conditional stochastic kernel estimation by nonparametric methods In: Economics Letters. [Full Text][Citation analysis] | article | 12 |
| 2007 | Conditional Stochastic Kernel Estimation by Nonparametric Methods.(2007) In: Insper Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 12 | paper | |
| 2012 | New evidence on the role of cognitive skill in economic development In: Economics Letters. [Full Text][Citation analysis] | article | 5 |
| 2010 | New Evidence on the Role of Cognitive Skill in Economic Development.(2010) In: IBMEC RJ Economics Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | paper | |
| 2018 | Volatility and return jumps in bitcoin In: Economics Letters. [Full Text][Citation analysis] | article | 74 |
| 2004 | Convergence clubs among Brazilian municipalities In: Economics Letters. [Full Text][Citation analysis] | article | 25 |
| 2003 | Convergence Clubs Among Brazilian Municipalities.(2003) In: Insper Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 25 | paper | |
| 2008 | Empirical market microstructure: An analysis of the BRL/US$ exchange rate market In: Emerging Markets Review. [Full Text][Citation analysis] | article | 2 |
| 2010 | Bayesian extensions to Diebold-Li term structure model In: International Review of Financial Analysis. [Full Text][Citation analysis] | article | 10 |
| 2008 | Bayesian extensions to diebold-li term structure model.(2008) In: Insper Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 10 | paper | |
| 2015 | A common jump factor stochastic volatility model In: Finance Research Letters. [Full Text][Citation analysis] | article | 5 |
| 2010 | Constrained smoothing B-splines for the term structure of interest rates In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 13 |
| 2007 | Constrained Smoothing Splines for the Term Structure of Interest Rates.(2007) In: Insper Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 13 | paper | |
| 2013 | Indirect Inference in fractional short-term interest rate diffusions In: Mathematics and Computers in Simulation (MATCOM). [Full Text][Citation analysis] | article | 2 |
| 2019 | Is Bitcoin a bubble? In: Physica A: Statistical Mechanics and its Applications. [Full Text][Citation analysis] | article | 46 |
| 2017 | The spatio-temporal dynamics of ethanol/gasoline price ratio in Brazil In: Renewable and Sustainable Energy Reviews. [Full Text][Citation analysis] | article | 5 |
| 2016 | A macro-finance term structure model with multivariate stochastic volatility In: International Review of Economics & Finance. [Full Text][Citation analysis] | article | 2 |
| 2020 | The impact of co-jumps in the oil sector In: Research in International Business and Finance. [Full Text][Citation analysis] | article | 3 |
| 2014 | Arbitrage in the Term Structure of Interest Rates: a Bayesian Approach In: International Econometric Review (IER). [Full Text][Citation analysis] | article | 0 |
| 2009 | Modelos de fatores latentes generalizados para curvas de juros em múltiplos mercados In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2009 | Modelos de Fatores Latentes Generalizados para Curvas de Juros em Múltiplos Mercados.(2009) In: Insper Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2009 | Modelos de Fatores Latentes Generalizados para Curvas de Juros em Múltiplos Mercados.(2009) In: Insper Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2024 | Multivariate Stochastic Volatility Modeling via Integrated Nested Laplace Approximations: A Multifactor Extension In: Econometrics. [Full Text][Citation analysis] | article | 0 |
| 2020 | Tornado Occurrences in the United States: A Spatio-Temporal Point Process Approach In: Econometrics. [Full Text][Citation analysis] | article | 0 |
| 2023 | Factor Sufficiency in Asset Pricing: An Application for the Brazilian Market In: IJFS. [Full Text][Citation analysis] | article | 0 |
| In: . [Full Text][Citation analysis] | article | 0 | |
| In: . [Full Text][Citation analysis] | article | 0 | |
| In: . [Full Text][Citation analysis] | article | 0 | |
| In: . [Full Text][Citation analysis] | article | 0 | |
| 2003 | Long Memory int the R$/US$ Exchange Rate: A Robust Analysis In: Finance Lab Working Papers. [Full Text][Citation analysis] | paper | 5 |
| 2004 | Long memory in the R$ / US$ exchange rate: A robust analysis.(2004) In: Brazilian Review of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | article | |
| 2003 | Markov Switching Based Nonlinear Tests for Market Efficiency Using the R$/US$ Exchange Rate In: Finance Lab Working Papers. [Full Text][Citation analysis] | paper | 2 |
| 2008 | Empirical Market Microstructure: An Analysis Of The Brl/Us$ Exchange Rate Market Using High-Frequency Data In: Insper Working Papers. [Full Text][Citation analysis] | paper | 2 |
| 2008 | Inferência indireta em modelos fracionários de taxas de juros de curto prazo In: Insper Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2008 | Funções de Cópula na Precificação de Opções In: Insper Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2009 | Estimação de Equações Diferenciais Estocásticas Usando Verossimilhança EmpÃrica e MÃnimo Contraste Generalizado In: Insper Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2009 | Uma investigação sobre os Estilos Gerenciais e Riscos de Mercado de Fundos Multimercados Brasileiros In: Insper Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2009 | Futuros de Swap de Variância e Volatilidade Na BM&F - Apreçamento e Viabilidade de Hedge In: Insper Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2009 | Teste de estabilidades dos coeficientes betas do mercado acionário brasileiro In: Insper Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2009 | Estimação de modelos de volatilidade estocástica usando métodos de verossimilhança empÃrica/mÃnimo constraste generalizados In: Insper Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2010 | Arbitragem na Estrutura a Termo das Taxas de Juros: Uma Abordagem Bayesiana In: Insper Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2010 | Inferência Bayesiana Aplicada ao Modelo Dinâmico de Nelson-Siegel com Volatilidade Estocástica nos Fatores In: Insper Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2002 | Testing Convergence Across Municipalities in Brazil Using Quantile Regression In: Insper Working Papers. [Full Text][Citation analysis] | paper | 2 |
| 2003 | Clubes de Convergência de Renda para os MunicÃpios Brasileiros: Uma Análise Não-Paramétrica In: Insper Working Papers. [Full Text][Citation analysis] | paper | 4 |
| 2004 | Income Convergence Clubs for Brazilian Municipalities: A Non-Parametric Analysis (english version of WPE-6/2003) In: Insper Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2007 | Extensões Bayesianas do Modelo de Estrutura a Termo de Diebold-Li In: Insper Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2007 | Imposing No-Arbitrage Conditions In Implied Volatility Surfaces Using Constrained Smoothing Splines In: Insper Working Papers. [Full Text][Citation analysis] | paper | 2 |
| 2007 | Microestrutura EmpÃrica e Mercado - Uma Análise para a Taxa de Câmbio Brl/Us$ Usando Dados de Alta Freqüência In: Insper Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2011 | Forecasting the Term Structure of Interest Rates Using Integrated Nested Laplace Approximations In: IBMEC RJ Economics Discussion Papers. [Full Text][Citation analysis] | paper | 1 |
| 2014 | Forecasting the Term Structure of Interest Rates Using Integrated Nested Laplace Approximations.(2014) In: Journal of Forecasting. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | article | |
| 2012 | Dynamic Functional Data Analysis with Nonparametric State Space Models. In: IBMEC RJ Economics Discussion Papers. [Full Text][Citation analysis] | paper | 1 |
| 2014 | Dynamic functional data analysis with non-parametric state space models.(2014) In: Journal of Applied Statistics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | article | |
| 2012 | Generalized Tests of Investment Fund Performance In: IBMEC RJ Economics Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
| 2011 | Generalized Tests of Investment Fund Performance.(2011) In: Brazilian Review of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
| 2012 | Some Comments on a Macro-Finance Model with Stochastic Volatility In: IBMEC RJ Economics Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
| 2012 | Bayesian Unit Root Testing in Stochastic Volatility Models Using INLA In: IBMEC RJ Economics Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
| 2010 | Does Ownership Affect the Variability of the Production Process? Evidence from International Courier Services In: Organization Science. [Full Text][Citation analysis] | article | 6 |
| 2020 | Portfolio Efficiency Tests with Conditioning Information - Comparing GMM and GEL Estimators In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS. [Full Text][Citation analysis] | paper | 0 |
| 2017 | A spatial error model with continuous random effects and an application to growth convergence In: Journal of Geographical Systems. [Full Text][Citation analysis] | article | 4 |
| 2017 | Implicit Inflation and Risk Premiums in the Brazilian Fixed Income Market In: Emerging Markets Finance and Trade. [Full Text][Citation analysis] | article | 2 |
| 2012 | Poverty Elasticity- a New Empirical Approach In: Série Textos para Discussão (Working Papers). [Full Text][Citation analysis] | paper | 0 |
| 2010 | Bayesian Inference Applied to Dynamic Nelson-Siegel Model with Stochastic Volatility In: Brazilian Review of Econometrics. [Full Text][Citation analysis] | article | 1 |
| 2012 | Non-Parametric Pricing of Interest Rates Options In: Brazilian Review of Econometrics. [Full Text][Citation analysis] | article | 0 |
| 2017 | A continuous spatio-temporal model for house prices in the USA In: The Annals of Regional Science. [Full Text][Citation analysis] | article | 1 |
| 2023 | Time-varying higher moments in Bitcoin In: Digital Finance. [Full Text][Citation analysis] | article | 0 |
| 2021 | Brazilian stock market bubble in the 2010s In: SN Business & Economics. [Full Text][Citation analysis] | article | 0 |
| 2013 | A Dynamic Econometric Model for Inflationary Inertia In Brazil In: Journal of Statistical and Econometric Methods. [Full Text][Citation analysis] | article | 1 |
| 2011 | Imposing no?arbitrage conditions in implied volatilities using constrained smoothing splines In: Applied Stochastic Models in Business and Industry. [Full Text][Citation analysis] | article | 4 |
| 2019 | A spatio?temporal approach to estimate patterns of climate change In: Environmetrics. [Full Text][Citation analysis] | article | 0 |
| 2021 | Spillovers and jumps in global markets: A comparative analysis In: International Journal of Finance & Economics. [Full Text][Citation analysis] | article | 0 |
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