6
H index
3
i10 index
134
Citations
Márcio Laurini : Citation Profile
Universidade de São Paulo | RESEARCH PRODUCTION: 39 Articles 40 Papers EDITOR: Series edited RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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17 years (2002 - 2019). 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 Econometrics | 4 |
| Brazilian Review of Finance | 4 |
| Economics Bulletin | 3 |
| 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 (2019 and 2018)
| Year | Title of citing document |
|---|---|
| 2018 | Flexible shrinkage in high-dimensional Bayesian spatial autoregressive models. (2018). Pfarrhofer, Michael ; Piribauer, Philipp. In: Papers. RePEc:arx:papers:1805.10822. Full description at Econpapers || Download paper |
| 2018 | Modeling Nelson-Siegel Yield Curve using Bayesian Approach. (2018). Das, Sourish. In: Papers. RePEc:arx:papers:1809.06077. Full description at Econpapers || Download paper |
| 2019 | Relevant 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. Full description at Econpapers || Download paper |
| 2019 | International 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. Full description at Econpapers || Download paper |
| 2019 | The 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. Full description at Econpapers || Download paper |
| 2019 | Volatility estimation for cryptocurrencies: Further evidence with jumps and structural breaks. (2019). Darn, Olivier ; Charles, Amlie. In: Economics Bulletin. RePEc:ebl:ecbull:eb-19-00117. Full description at Econpapers || Download paper |
| 2018 | Bayesian 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. Full description at Econpapers || Download paper |
| 2019 | Do 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. Full description at Econpapers || Download paper |
| 2019 | Portfolio 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. Full description at Econpapers || Download paper |
| 2017 | Measurement 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. Full description at Econpapers || Download paper |
| 2017 | Electricity 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. Full description at Econpapers || Download paper |
| 2018 | Energy 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. Full description at Econpapers || Download paper |
| 2017 | Deconstructing 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. Full description at Econpapers || Download paper |
| 2018 | Inflation 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. Full description at Econpapers || Download paper |
| 2018 | Measuring 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. Full description at Econpapers || Download paper |
| 2019 | Transmission 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. Full description at Econpapers || Download paper |
| 2018 | Multiple 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. Full description at Econpapers || Download paper |
| 2017 | Pro-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. Full description at Econpapers || Download paper |
| 2019 | Detecting 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. Full description at Econpapers || Download paper |
| 2019 | A 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. Full description at Econpapers || Download paper |
| 2019 | Contagion 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. Full description at Econpapers || Download paper |
| 2017 | Spatial 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. Full description at Econpapers || Download paper |
| 2018 | CHOOSING 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. Full description at Econpapers || Download paper |
| 2017 | An 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. Full description at Econpapers || Download paper |
| 2018 | Catching-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. Full description at Econpapers || Download paper |
| 2018 | Quality 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. Full description at Econpapers || Download paper |
| 2018 | Comparing different methods for the estimation of interbank intraday yield curves. (2018). Jeleskovic, Vahidin ; Demertzidis, Anastasios . In: MAGKS Papers on Economics. RePEc:mar:magkse:201839. Full description at Econpapers || Download paper |
| 2019 | Bitcoins return behaviour: What do We know so far?. (2019). Fajardo, Jose. In: MPRA Paper. RePEc:pra:mprapa:93353. Full description at Econpapers || Download paper |
| 2017 | Endogeneity 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. Full description at Econpapers || Download paper |
| 2017 | Growth 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. 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 TÍTULOS 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 | 6 |
| 2015 | A noisy principal component analysis for forward rate curves.(2015) In: European Journal of Operational Research. [Full Text][Citation analysis] This paper has another version. Agregated cites: 6 | article | |
| 2016 | Multivariate Stochastic Volatility-Double Jump Model: an application for oil assets In: Working Papers Series. [Full Text][Citation analysis] | paper | 1 |
| 2016 | Poverty Elasticity: A Note on a New Empirical Approach In: Review of Income and Wealth. [Full Text][Citation analysis] | article | 1 |
| 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 another 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 another 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 another 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 | 0 |
| 2004 | Income Convergence Clubs for Brazilian Municipalities: a Non-Parametric Analysis In: Econometric Society 2004 Latin American Meetings. [Full Text][Citation analysis] | paper | 18 |
| 2005 | Income convergence clubs for Brazilian Municipalities: a non-parametric analysis.(2005) In: Applied Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 18 | article | |
| 2010 | Exchange rate movements and monetary policy in Brazil: Econometric and simulation evidence In: Economic Modelling. [Full Text][Citation analysis] | article | 9 |
| 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 another version. Agregated cites: 9 | paper | |
| 2019 | Nonlinear dependence in cryptocurrency markets In: The North American Journal of Economics and Finance. [Full Text][Citation analysis] | article | 1 |
| 2009 | Conditional stochastic kernel estimation by nonparametric methods In: Economics Letters. [Full Text][Citation analysis] | article | 7 |
| 2007 | Conditional Stochastic Kernel Estimation by Nonparametric Methods.(2007) In: Insper Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 7 | paper | |
| 2012 | New evidence on the role of cognitive skill in economic development In: Economics Letters. [Full Text][Citation analysis] | article | 4 |
| 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 another version. Agregated cites: 4 | paper | |
| 2018 | Volatility and return jumps in bitcoin In: Economics Letters. [Full Text][Citation analysis] | article | 5 |
| 2004 | Convergence clubs among Brazilian municipalities In: Economics Letters. [Full Text][Citation analysis] | article | 22 |
| 2003 | Convergence Clubs Among Brazilian Municipalities.(2003) In: Insper Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 22 | paper | |
| 2008 | Empirical market microstructure: An analysis of the BRL/US$ exchange rate market In: Emerging Markets Review. [Full Text][Citation analysis] | article | 1 |
| 2010 | Bayesian extensions to Diebold-Li term structure model In: International Review of Financial Analysis. [Full Text][Citation analysis] | article | 7 |
| 2008 | Bayesian extensions to diebold-li term structure model.(2008) In: Insper Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 7 | paper | |
| 2015 | A common jump factor stochastic volatility model In: Finance Research Letters. [Full Text][Citation analysis] | article | 3 |
| 2010 | Constrained smoothing B-splines for the term structure of interest rates In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 10 |
| 2007 | Constrained Smoothing Splines for the Term Structure of Interest Rates.(2007) In: Insper Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 10 | paper | |
| 2013 | Indirect Inference in fractional short-term interest rate diffusions In: Mathematics and Computers in Simulation (MATCOM). [Full Text][Citation analysis] | article | 1 |
| 2019 | Is Bitcoin a bubble? In: Physica A: Statistical Mechanics and its Applications. [Full Text][Citation analysis] | article | 3 |
| 2017 | The spatio-temporal dynamics of ethanol/gasoline price ratio in Brazil In: Renewable and Sustainable Energy Reviews. [Full Text][Citation analysis] | article | 1 |
| 2016 | A macro-finance term structure model with multivariate stochastic volatility In: International Review of Economics & Finance. [Full Text][Citation analysis] | article | 2 |
| 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 another 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 another version. Agregated cites: 0 | paper | |
| 2003 | Long Memory int the R$/US$ Exchange Rate: A Robust Analysis In: Finance Lab Working Papers. [Full Text][Citation analysis] | paper | 2 |
| 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 | 1 |
| 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 Empírica e Mínimo 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 empírica/mínimo 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 Municípios 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 | 3 |
| 2007 | Microestrutura Empírica 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 another 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 | 0 |
| 2014 | Dynamic functional data analysis with non-parametric state space models.(2014) In: Journal of Applied Statistics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | 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 another 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 | 4 |
| 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 | 1 |
| 2017 | Implicit Inflation and Risk Premiums in the Brazilian Fixed Income Market In: Emerging Markets Finance and Trade. [Full Text][Citation analysis] | article | 0 |
| 2012 | Poverty Elasticity- a New Empirical Approach In: Série Textos para Discussão (Working Papers). [Full Text][Citation analysis] | paper | 0 |
| 2004 | Long memory in the R$ / US$ exchange rate: A robust analysis In: Brazilian Review of Econometrics. [Full Text][Citation analysis] | article | 4 |
| 2010 | Bayesian Inference Applied to Dynamic Nelson-Siegel Model with Stochastic Volatility In: Brazilian Review of Econometrics. [Full Text][Citation analysis] | article | 0 |
| 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 | 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 | 0 |
| 2019 | A spatio‐temporal approach to estimate patterns of climate change In: Environmetrics. [Full Text][Citation analysis] | article | 0 |
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