Márcio Laurini : Citation Profile


Are you Márcio Laurini?

Universidade de São Paulo

6

H index

3

i10 index

134

Citations

RESEARCH PRODUCTION:

39

Articles

40

Papers

EDITOR:

1

Series edited

RESEARCH ACTIVITY:

   17 years (2002 - 2019). See details.
   Cites by year: 7
   Journals where Márcio Laurini has often published
   Relations with other researchers
   Recent citing documents: 30.    Total self citations: 14 (9.46 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pla86
   Updated: 2019-10-21    RAS profile: 2019-05-22    
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Relations with other researchers


Works with:

Mauad, Roberto (3)

Chaim, Pedro (3)

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 (11)

Cravo, Túlio (10)

Rulliere, Didier (6)

Morita Sakowski, Patricia (6)

Fengler, Matthias (4)

Chatziantoniou, Ioannis (3)

Floros, Christos (3)

Filis, George (3)

HALKOS, GEORGE (3)

Tzeremes, Nickolaos (3)

Da Silva, Sergio (3)

Cites to:

Diebold, Francis (32)

Rudebusch, Glenn (23)

Bollerslev, Tim (16)

Christensen, Jens (14)

Ang, Andrew (12)

Quah, Danny (10)

Shephard, Neil (10)

Perron, Pierre (9)

Valls Pereira, Pedro (9)

Engle, Robert (8)

Obstfeld, Maurice (8)

Main data


Where Márcio Laurini has published?


Journals with more than one article published# docs
Economics Letters4
Brazilian Review of Econometrics4
Brazilian Review of Finance4
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 (2019 and 2018)


YearTitle of citing document
2018Flexible shrinkage in high-dimensional Bayesian spatial autoregressive models. (2018). Pfarrhofer, Michael ; Piribauer, Philipp. In: Papers. RePEc:arx:papers:1805.10822.

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2018Modeling Nelson-Siegel Yield Curve using Bayesian Approach. (2018). Das, Sourish. In: Papers. RePEc:arx:papers:1809.06077.

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2019Relevant Stylized Facts About Bitcoin: Fluctuations, First Return Probability, and Natural Phenomena. (2019). da Silva, R ; da Cunha, C R. In: Papers. RePEc:arx:papers:1905.03211.

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2019International Child Sponsorship and School Performance: Evidence from Goma (DRC). (2019). Maggioni, Mario A ; Beretta, Simona ; Balestri, Sara ; Rossignoli, Domenico. In: DISEIS - Quaderni del Dipartimento di Economia internazionale, delle istituzioni e dello sviluppo. RePEc:dis:wpaper:dis1905.

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2019The Introduction of Bitcoin Futures: An Examination of Volatility and Potential Spillover Effects. (2019). Whitby, Ryan J ; Blau, Benjamin M. In: Economics Bulletin. RePEc:ebl:ecbull:eb-18-00848.

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2019Volatility estimation for cryptocurrencies: Further evidence with jumps and structural breaks. (2019). Darn, Olivier ; Charles, Amlie. In: Economics Bulletin. RePEc:ebl:ecbull:eb-19-00117.

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2018Bayesian quantile regression using the skew exponential power distribution. (2018). Bernardi, Mauro ; Petrella, Lea ; Bottone, Marco. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:126:y:2018:i:c:p:92-111.

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2019Do U.S. factors impact the Brazilian yield curve? Evidence from a dynamic factor model. (2019). Stona, Filipe ; Caldeira, Joo F. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:48:y:2019:i:c:p:76-89.

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2019Portfolio management with cryptocurrencies: The role of estimation risk. (2019). Urquhart, Andrew ; Platanakis, Emmanouil. In: Economics Letters. RePEc:eee:ecolet:v:177:y:2019:i:c:p:76-80.

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2017Measurement of interest rates using a convex optimization model. (2017). Blomvall, Jorgen . In: European Journal of Operational Research. RePEc:eee:ejores:v:256:y:2017:i:1:p:308-316.

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2017Electricity forward curves with thin granularity: Theory and empirical evidence in the hourly EPEXspot market. (2017). Caldana, Ruggero ; Roncoroni, Andrea ; Fusai, Gianluca. In: European Journal of Operational Research. RePEc:eee:ejores:v:261:y:2017:i:2:p:715-734.

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2018Energy consumption and CO2 emissions convergence in European Union member countries. A tonneau des Danaides?. (2018). Kounetas, Kostantinos. In: Energy Economics. RePEc:eee:eneeco:v:69:y:2018:i:c:p:111-127.

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2017Deconstructing credibility: The breaking of monetary policy rules in Brazil. (2017). Paiva, Claudio ; Cortes, Gustavo. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:74:y:2017:i:c:p:31-52.

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2018Inflation targeting and exchange rate management in less developed countries. (2018). Buffie, Edward F ; Zanna, Felipe ; Airaudo, M. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:81:y:2018:i:c:p:159-184.

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2018Measuring the international dimension of output volatility. (2018). Iseringhausen, Martin ; Everaert, Gerdie. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:81:y:2018:i:c:p:20-39.

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2019Transmission mechanisms of financial stress into economic activity in Turkey. (2019). Polat, Onur ; Ozkan, Ibrahim . In: Journal of Policy Modeling. RePEc:eee:jpolmo:v:41:y:2019:i:2:p:395-415.

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2018Multiple parameter determination in textile material design:A Bayesian inference approach based on simulation. (2018). Xu, Dinghua ; Zhang, Qifeng ; Yu, Yue ; He, Yangao. In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:151:y:2018:i:c:p:1-14.

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2017Pro-poor growth in East Africa. (2017). Harmaek, Jaromir ; Dukova, Lenka ; Syrovatka, Miroslav . In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:64:y:2017:i:c:p:82-93.

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2019Detecting West Texas Intermediate (WTI) Prices’ Bubble Periods. (2019). Perifanis, Theodosios. In: Energies. RePEc:gam:jeners:v:12:y:2019:i:14:p:2649-:d:247267.

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2019A Survey on Efficiency and Profitable Trading Opportunities in Cryptocurrency Markets. (2019). Kyriazis, Nikolaos A. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:12:y:2019:i:2:p:67-:d:224155.

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2019Contagion Effect in Cryptocurrency Market. (2019). Pereira, Eder ; Ferreira, Paulo. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:12:y:2019:i:3:p:115-:d:247119.

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2017Spatial Club Convergence of Regional Economic Growth in Inland China. (2017). Qin, Chenglin ; Liu, Yingxia ; Ye, Xinyue. In: Sustainability. RePEc:gam:jsusta:v:9:y:2017:i:7:p:1189-:d:103891.

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2018CHOOSING THE WEIGHTING COEFFICIENTS FOR ESTIMATING THE TERM STRUCTURE FROM SOVEREIGN BONDS. (2018). Lapshin, Victor ; Sokhatskaya, Sofia. In: HSE Working papers. RePEc:hig:wpaper:73/fe/2018.

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2017An S-Shaped Crude Oil Price Return-Implied Volatility Relation: Parametric and Nonparametric Estimations. (2017). Araujo, Julio Cesar . In: International Journal of Economics and Finance. RePEc:ibn:ijefaa:v:9:y:2017:i:12:p:54-70.

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2018Catching-up process in the transition countries. (2018). Lee, Chien-Chiang ; Elmi, Zahra Mila ; Chang, Tsangyao ; Ranjbar, Omid. In: Economic Change and Restructuring. RePEc:kap:ecopln:v:51:y:2018:i:3:d:10.1007_s10644-017-9214-5.

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2018Quality signaling through ex-ante voluntary information disclosure in entrepreneurial networks: evidence from franchising. (2018). Sadeh, Farhad ; Kacker, Manish. In: Small Business Economics. RePEc:kap:sbusec:v:50:y:2018:i:4:d:10.1007_s11187-017-9892-4.

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2018Comparing different methods for the estimation of interbank intraday yield curves. (2018). Jeleskovic, Vahidin ; Demertzidis, Anastasios . In: MAGKS Papers on Economics. RePEc:mar:magkse:201839.

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2019Bitcoins return behaviour: What do We know so far?. (2019). Fajardo, Jose. In: MPRA Paper. RePEc:pra:mprapa:93353.

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2017Endogeneity and nonlinearities in Central Bank of Brazil’s reaction functions: an inverse quantile regression approach. (2017). Medeiros, Gabriela Bezerra ; da Silva, Edilean Kleber ; Portugal, Marcelo Savino. In: Empirical Economics. RePEc:spr:empeco:v:53:y:2017:i:4:d:10.1007_s00181-016-1195-0.

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2017Growth Convergence and Regional Inequality in India (1981–2012). (2017). Lolayekar, Aparna ; Mukhopadhyay, Pranab . In: Journal of Quantitative Economics. RePEc:spr:jqecon:v:15:y:2017:i:2:d:10.1007_s40953-016-0051-6.

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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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paper6
2015A noisy principal component analysis for forward rate curves.(2015) In: European Journal of Operational Research.
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This paper has another version. Agregated cites: 6
article
2016Multivariate Stochastic Volatility-Double Jump Model: an application for oil assets In: Working Papers Series.
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paper1
2016Poverty Elasticity: A Note on a New Empirical Approach In: Review of Income and Wealth.
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article1
2013A Hybrid Data Cloning Maximum Likelihood Estimator for Stochastic Volatility Models In: Journal of Time Series Econometrics.
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article0
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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article0
2010Variance Swaps in BM&F: Pricing and Viability of Hedge In: Brazilian Review of Finance.
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article0
2007A note on the use of quantile regression in beta convergence analysis In: Economics Bulletin.
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article6
2007A note on the use of quantile regression in beta convergence analysis.(2007) In: Insper Working Papers.
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This paper has another version. Agregated cites: 6
paper
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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paper18
2005Income convergence clubs for Brazilian Municipalities: a non-parametric analysis.(2005) In: Applied Economics.
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This paper has another version. Agregated cites: 18
article
2010Exchange rate movements and monetary policy in Brazil: Econometric and simulation evidence In: Economic Modelling.
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article9
2008Exchange Rate Movements and Monetary Policy In Brazil: Econometric and Simulation Evidence.(2008) In: Insper Working Papers.
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This paper has another version. Agregated cites: 9
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2019Nonlinear dependence in cryptocurrency markets In: The North American Journal of Economics and Finance.
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article1
2009Conditional stochastic kernel estimation by nonparametric methods In: Economics Letters.
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article7
2007Conditional Stochastic Kernel Estimation by Nonparametric Methods.(2007) In: Insper Working Papers.
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This paper has another version. Agregated cites: 7
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2012New evidence on the role of cognitive skill in economic development In: Economics Letters.
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article4
2010New Evidence on the Role of Cognitive Skill in Economic Development.(2010) In: IBMEC RJ Economics Discussion Papers.
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This paper has another version. Agregated cites: 4
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2018Volatility and return jumps in bitcoin In: Economics Letters.
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article5
2004Convergence clubs among Brazilian municipalities In: Economics Letters.
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article22
2003Convergence Clubs Among Brazilian Municipalities.(2003) In: Insper Working Papers.
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This paper has another version. Agregated cites: 22
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2008Empirical market microstructure: An analysis of the BRL/US$ exchange rate market In: Emerging Markets Review.
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article1
2010Bayesian extensions to Diebold-Li term structure model In: International Review of Financial Analysis.
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article7
2008Bayesian extensions to diebold-li term structure model.(2008) In: Insper Working Papers.
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This paper has another version. Agregated cites: 7
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2015A common jump factor stochastic volatility model In: Finance Research Letters.
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article3
2010Constrained smoothing B-splines for the term structure of interest rates In: Insurance: Mathematics and Economics.
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article10
2007Constrained Smoothing Splines for the Term Structure of Interest Rates.(2007) In: Insper Working Papers.
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This paper has another version. Agregated cites: 10
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2013Indirect Inference in fractional short-term interest rate diffusions In: Mathematics and Computers in Simulation (MATCOM).
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article1
2019Is Bitcoin a bubble? In: Physica A: Statistical Mechanics and its Applications.
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article3
2017The spatio-temporal dynamics of ethanol/gasoline price ratio in Brazil In: Renewable and Sustainable Energy Reviews.
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article1
2016A macro-finance term structure model with multivariate stochastic volatility In: International Review of Economics & Finance.
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article2
2014Arbitrage in the Term Structure of Interest Rates: a Bayesian Approach In: International Econometric Review (IER).
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article0
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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2003Long Memory int the R$/US$ Exchange Rate: A Robust Analysis In: Finance Lab Working Papers.
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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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paper1
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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This paper has another version. Agregated cites: 1
article
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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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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2004Long memory in the R$ / US$ exchange rate: A robust analysis In: Brazilian Review of Econometrics.
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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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