10
H index
10
i10 index
474
Citations
Marcelo Fernandes : Citation Profile
Fundação Getúlio Vargas (FGV) | RESEARCH PRODUCTION: 42 Articles 62 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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28 years (1994 - 2022). Relations with other researchers
Works with:
Authors registered in RePEc who have co-authored more than one work in the last five years with Marcelo Fernandes. | Is cited by:
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Main data
Where Marcelo Fernandes has published?
Recent works citing Marcelo Fernandes (2024 and 2023)
| Year | Title of citing document |
|---|---|
| 2023 | Testing for long-range dependence in non-stationary time series time-varying regression. (2021). Wu, Weichi ; Bai, Lujia. In: Papers. RePEc:arx:papers:2110.08089. Full description at Econpapers || Download paper |
| 2023 | Should Bank Stress Tests Be Fair?. (2022). Li, Mike ; Glasserman, Paul. In: Papers. RePEc:arx:papers:2207.13319. Full description at Econpapers || Download paper |
| 2023 | Noisy, Non-Smooth, Non-Convex Estimation of Moment Condition Models. (2023). Forneron, Jean-Jacques. In: Papers. RePEc:arx:papers:2301.07196. Full description at Econpapers || Download paper |
| 2024 | Smoothing Quantile Regression Averaging: A new approach to probabilistic forecasting of electricity prices. (2023). Uniejewski, Bartosz. In: Papers. RePEc:arx:papers:2302.00411. Full description at Econpapers || Download paper |
| 2023 | Optimal probabilistic forecasts for risk management. (2023). Martin, Gael M ; Loaiza-Maya, Ruben ; Maneesoonthorn, Worapree ; Sun, Yuru. In: Papers. RePEc:arx:papers:2303.01651. Full description at Econpapers || Download paper |
| 2023 | Smoothing the Nonsmoothness. (2023). Tu, Yundong ; Peng, Bin ; Gao, Jiti ; Dong, Chaohua. In: Papers. RePEc:arx:papers:2309.16348. Full description at Econpapers || Download paper |
| 2023 | Smoothed instrumental variables quantile regression. (2023). Kaplan, David. In: Papers. RePEc:arx:papers:2310.09013. Full description at Econpapers || Download paper |
| 2023 | Understanding short?term price pressure from index reconstitutions: Evidence from the CSI 300. (2023). Zhang, Yongjie ; Li, Xiao ; Goodell, John W ; Chu, Gang. In: Accounting and Finance. RePEc:bla:acctfi:v:63:y:2023:i:2:p:2421-2440. Full description at Econpapers || Download paper |
| 2023 | A new unique impulse response function in linear vector autoregressive models. (2023). Shi, Yanlin. In: International Review of Finance. RePEc:bla:irvfin:v:23:y:2023:i:2:p:460-468. Full description at Econpapers || Download paper |
| 2023 | The impact of financial shocks on the forecast distribution of output and inflation. (2023). Sala, Luca ; Maffei-Faccioli, Nicolo ; Gambetti, Luca ; Forni, Mario. In: Working Paper. RePEc:bno:worpap:2023_3. Full description at Econpapers || Download paper |
| 2023 | A multifactor regime-switching model for inter-trade durations in the high-frequency limit order market. (2023). Xing, Haipeng ; Chen, Xinyun ; Li, Zhicheng. In: Economic Modelling. RePEc:eee:ecmode:v:118:y:2023:i:c:s0264999322003194. Full description at Econpapers || Download paper |
| 2023 | Volatility forecasting in the Bitcoin market: A new proposed measure based on the VS-ACARR approach. (2023). Iqbal, Najaf ; Umar, Zaghum ; Yin, Xuebao ; Wu, Xinyu. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:67:y:2023:i:c:s1062940823000712. Full description at Econpapers || Download paper |
| 2023 | Smoothed quantile regression with large-scale inference. (2023). Zhou, Wen-Xin ; Tan, Kean Ming ; Pan, Xiaoou ; He, Xuming. In: Journal of Econometrics. RePEc:eee:econom:v:232:y:2023:i:2:p:367-388. Full description at Econpapers || Download paper |
| 2023 | Bootstrap inference for Hawkes and general point processes. (2023). Cavaliere, Giuseppe ; Stark-Ostergaard, Jacob ; Rahbek, Anders ; Lu, YE. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:1:p:133-165. Full description at Econpapers || Download paper |
| 2023 | Sparse quantile regression. (2023). Lee, Sokbae (Simon) ; Chen, Le-Yu. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:2195-2217. Full description at Econpapers || Download paper |
| 2023 | Modeling and forecasting dynamic conditional correlations with opening, high, low, and closing prices. (2023). Fiszeder, Piotr ; Molnar, Peter ; Fadziski, Marcin. In: Journal of Empirical Finance. RePEc:eee:empfin:v:70:y:2023:i:c:p:308-321. Full description at Econpapers || Download paper |
| 2023 | Risk appetite and option prices: Evidence from the Chinese SSE50 options market. (2023). Sui, Cong ; Wang, Shouyang ; Liu, Qing. In: International Review of Financial Analysis. RePEc:eee:finana:v:86:y:2023:i:c:s1057521923000571. Full description at Econpapers || Download paper |
| 2023 | Forecast Targeting and Financial Stability: Evidence from the European Central Bank and Bank of England. (2023). Murgia, Lucia Milena ; Curi, Claudia. In: Finance Research Letters. RePEc:eee:finlet:v:51:y:2023:i:c:s1544612322006626. Full description at Econpapers || Download paper |
| 2023 | Does individual SREP results reveal real news?. (2023). Venturelli, Valeria ; Ferretti, Riccardo ; Azzaretto, Alessandro. In: Finance Research Letters. RePEc:eee:finlet:v:57:y:2023:i:c:s1544612323005561. Full description at Econpapers || Download paper |
| 2023 | Investor information and bank instability during the European debt crisis. (2023). Ross, Chase P ; Iorgova, Silvia. In: Journal of Financial Stability. RePEc:eee:finsta:v:64:y:2023:i:c:s1572308922001218. Full description at Econpapers || Download paper |
| 2023 | Discovering the drivers of stock market volatility in a data-rich world. (2023). Ryu, Doojin ; Cho, Hoon ; Chun, Dohyun. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:82:y:2023:i:c:s1042443122001561. Full description at Econpapers || Download paper |
| 2023 | Stock market volatility predictability in a data-rich world: A new insight. (2023). Ma, Yuanhui ; Wahab, M. I. M., ; Wang, Jiqian. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:4:p:1804-1819. Full description at Econpapers || Download paper |
| 2023 | Price discovery in equity markets: A state-dependent analysis of spot and futures markets. (2023). Schweikert, Karsten ; Kuck, Konstantin. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:149:y:2023:i:c:s037842662300033x. Full description at Econpapers || Download paper |
| 2023 | Information shares for markets with partially overlapping trading hours. (2023). Schweikert, Karsten ; Dimpfl, Thomas. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:154:y:2023:i:c:s0378426623001681. Full description at Econpapers || Download paper |
| 2023 | The disciplining effect of supervisory scrutiny in the EU-wide stress test. (2023). Pancaro, Cosimo ; Müller, Carola ; Ongena, Steven ; Muller, Carola ; Kok, Christoffer. In: Journal of Financial Intermediation. RePEc:eee:jfinin:v:53:y:2023:i:c:s1042957322000687. Full description at Econpapers || Download paper |
| 2023 | Minimax properties of Dirichlet kernel density estimators. (2023). Ouimet, Frederic ; Klutchnikoff, Nicolas ; Genest, Christian ; Bertin, Karine. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:195:y:2023:i:c:s0047259x23000040. Full description at Econpapers || Download paper |
| 2023 | Precious metal as a safe haven for global ESG stocks: Portfolio implications for socially responsible investing. (2023). Ye, Jing ; Liu, Huiling ; Xue, Minggao ; Lei, Heng. In: Resources Policy. RePEc:eee:jrpoli:v:80:y:2023:i:c:s0301420722006134. Full description at Econpapers || Download paper |
| 2023 | On a quantile autoregressive conditional duration model. (2023). Vila, Roberto ; Balakrishnan, Narayanaswamy ; Saulo, Helton. In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:203:y:2023:i:c:p:425-448. Full description at Econpapers || Download paper |
| 2023 | Constructing Density Forecasts from Quantile Regressions: Multimodality in Macro-Financial Dynamics. (2022). Poon, Aubrey ; Mitchell, James ; Zhu, Dan. In: Working Papers. RePEc:fip:fedcwq:94160. Full description at Econpapers || Download paper |
| 2023 | Systemic Tail Risk: High-Frequency Measurement, Evidence and Implications. (2023). Yang, Xiye ; Neely, Christopher J ; Erdemlioglu, Deniz. In: Working Papers. RePEc:fip:fedlwp:96490. Full description at Econpapers || Download paper |
| 2023 | Macroeconomic and Uncertainty Shocks’ Effects on Energy Prices: A Comprehensive Literature Review. (2023). Spyromitros, Eleftherios ; Panagiotidis, Minas ; Oikonomou, Georgios ; Dokas, Ioannis. In: Energies. RePEc:gam:jeners:v:16:y:2023:i:3:p:1491-:d:1055891. Full description at Econpapers || Download paper |
| 2023 | Approximating long-memory processes with low-order autoregressions: Implications for modeling realized volatility. (2023). Cho, Dooyeon ; Rho, Seunghwa ; Baillie, Richard T. In: Empirical Economics. RePEc:spr:empeco:v:64:y:2023:i:6:d:10.1007_s00181-022-02357-8. Full description at Econpapers || Download paper |
| 2023 | A Semi-parametric Density Estimation with Application in Clustering. (2023). Arashi, Mohammad ; Bekker, Andriette ; Salehi, Mahdi. In: Journal of Classification. RePEc:spr:jclass:v:40:y:2023:i:1:d:10.1007_s00357-022-09425-9. Full description at Econpapers || Download paper |
| 2023 | A class of Minimum Distance Estimators in Markovian Multiplicative Error Models. (2023). Balakrishna, Narayana ; Perera, Indeewara ; Koul, Hira L. In: Sankhya B: The Indian Journal of Statistics. RePEc:spr:sankhb:v:85:y:2023:i:1:d:10.1007_s13571-021-00274-x. Full description at Econpapers || Download paper |
| 2023 | Review of Statistical Approaches for Modeling High-Frequency Trading Data. (2023). Ravishanker, Nalini ; Basu, Sumanta ; Karpman, Kara ; Dutta, Chiranjit. In: Sankhya B: The Indian Journal of Statistics. RePEc:spr:sankhb:v:85:y:2023:i:1:d:10.1007_s13571-022-00280-7. Full description at Econpapers || Download paper |
| 2023 | Heterogeneous Behavior and Volatility Transmission in the Forex Market using High-Frequency Data. (2023). Shira, Ruba Khalid ; Lamouchi, Rim Ammar. In: Journal of Applied Finance & Banking. RePEc:spt:apfiba:v:13:y:2023:i:3:f:13_3_3. Full description at Econpapers || Download paper |
| 2023 | The Relationship between VIX and Technical Indicator: The Analysis of Shared-Frailty Model. (2023). , Fu-Ying. In: Journal of Applied Finance & Banking. RePEc:spt:apfiba:v:13:y:2023:i:3:f:13_3_5. Full description at Econpapers || Download paper |
| 2023 | A non-Normal framework for price discovery: The independent component based information shares measure. (2023). Zema, Sebastiano Michele. In: LEM Papers Series. RePEc:ssa:lemwps:2023/03. Full description at Econpapers || Download paper |
| 2023 | Forecasting inflation time series using score?driven dynamic models and combination methods: The case of Brazil. (2023). Lucena, Fernando Antonio ; Dias, Carlos Henrique. In: Journal of Forecasting. RePEc:wly:jforec:v:42:y:2023:i:2:p:369-401. Full description at Econpapers || Download paper |
Works by Marcelo Fernandes:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2014 | Price discovery in dual-class shares across multiple markets In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 12 |
| 2013 | Price discovery in dual-class shares across multiple markets.(2013) In: Textos para discussão. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 12 | paper | |
| 2018 | Price discovery in dual?class shares across multiple markets.(2018) In: Journal of Futures Markets. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 12 | article | |
| 2016 | Component shares in continuous time In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 0 |
| 2007 | FOREIGN CAPITAL AND GENDER DIFFERENCES IN PROMOTIONS: EVIDENCE FROM THE BRAZILIAN TRANSFORMATION INDUSTRY In: Anais do XXXV Encontro Nacional de Economia [Proceedings of the 35th Brazilian Economics Meeting]. [Full Text][Citation analysis] | paper | 0 |
| 2019 | Smoothing quantile regressions In: Papers. [Full Text][Citation analysis] | paper | 15 |
| 2017 | Smoothing quantile regressions.(2017) In: Textos para discussão. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 15 | paper | |
| 2021 | Smoothing Quantile Regressions.(2021) In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 15 | article | |
| 2021 | The effect of voting rights on firm value In: International Review of Finance. [Full Text][Citation analysis] | article | 1 |
| 2021 | Extensions to the invariance property of maximum likelihood estimation for affine?transformed state?space models In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 0 |
| 2011 | Testing for Symmetry and Conditional Symmetry Using Asymmetric Kernels In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 4 |
| 2015 | Testing for symmetry and conditional symmetry using asymmetric kernels.(2015) In: Annals of the Institute of Statistical Mathematics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | article | |
| 2014 | Foreign Capital and Gender Differences in Promotions: Evidence From Large Brazilian Manufacturing Firms In: EconomÃa Journal. [Full Text][Citation analysis] | article | 0 |
| 2001 | A family of autoregressive conditional duration models In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 88 |
| 2006 | A family of autoregressive conditional duration models.(2006) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 88 | article | |
| 2002 | A family of autoregressive conditional duration models.(2002) In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE). [Full Text][Citation analysis] This paper has nother version. Agregated cites: 88 | paper | |
| 2003 | A family of autoregressive conditional duration models.(2003) In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE). [Full Text][Citation analysis] This paper has nother version. Agregated cites: 88 | paper | |
| 2004 | Using Common Features to Construct a Preference-Free Estimator of the Stochastic Discount Factor In: Econometric Society 2004 Latin American Meetings. [Full Text][Citation analysis] | paper | 0 |
| 2019 | A dynamic Nelson–Siegel model with forward-looking macroeconomic factors for the yield curve in the US In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 3 |
| 2006 | Financial crashes as endogenous jumps: estimation, testing and forecasting In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 8 |
| 2005 | A multivariate conditional autoregressive range model In: Economics Letters. [Full Text][Citation analysis] | article | 18 |
| 2005 | Nonparametric specification tests for conditional duration models In: Journal of Econometrics. [Full Text][Citation analysis] | article | 44 |
| 2000 | Non-Parametric Specification Tests for Conditional Duration Models..(2000) In: Economics Working Papers. [Citation analysis] This paper has nother version. Agregated cites: 44 | paper | |
| 2003 | Nonparametric specification tests for conditional duration models.(2003) In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE). [Full Text][Citation analysis] This paper has nother version. Agregated cites: 44 | paper | |
| 2000 | NON-PARAMETRIC SPECIFICATION TESTS FOR CONDITIONAL DURATION MODELS.(2000) In: Computing in Economics and Finance 2000. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 44 | paper | |
| 2007 | Semiparametric methods in econometrics In: Journal of Econometrics. [Full Text][Citation analysis] | article | 1 |
| 2007 | Testing the Markov property with high frequency data In: Journal of Econometrics. [Full Text][Citation analysis] | article | 3 |
| 2012 | International market links and volatility transmission In: Journal of Econometrics. [Full Text][Citation analysis] | article | 21 |
| 2016 | Anticipatory effects in the FTSE 100 index revisions In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 4 |
| 2013 | Anticipatory effects in the FTSE 100 index revisions.(2013) In: Textos para discussão. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | paper | |
| 2015 | Anticipatory Effects in the FTSE 100 Index Revisions.(2015) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | paper | |
| 2017 | Forecasting the Brazilian yield curve using forward-looking variables In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 3 |
| 2016 | Forecasting the Brazilian Yield Curve Using Forward-Looking Variables.(2016) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | paper | |
| 2022 | A panel-based proxy for gun prevalence in US and Mexico In: International Review of Law and Economics. [Full Text][Citation analysis] | article | 0 |
| 2020 | March madness in Wall Street: (What) does the market learn from stress tests? In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 28 |
| 2015 | March Madness in Wall Street: (What) Does the Market Learn from Stress Tests?.(2015) In: IMF Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 28 | paper | |
| 2015 | March Madness in Wall Street: (What) Does the Market Learn from Stress Tests?.(2015) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 28 | paper | |
| 2014 | Modeling and predicting the CBOE market volatility index In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 123 |
| 2013 | Modeling and predicting the CBOE market volatility index.(2013) In: Textos para discussão. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 123 | paper | |
| 2007 | Modeling and predicting the CBOE market volatility index.(2007) In: Textos para discussão. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 123 | paper | |
| 2004 | Bounds for the probability distribution function of the linear ACD process In: Statistics & Probability Letters. [Full Text][Citation analysis] | article | 1 |
| 2003 | Bounds for the probability distribution function of the linear ACD process.(2003) In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE). [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
| 2001 | Economics and literature: an examination of Gulliver’s Travels In: Journal of Economic Studies. [Full Text][Citation analysis] | article | 0 |
| 2000 | Central Limit Theorem for Asymmetric Kernel Functionals. In: Economics Working Papers. [Citation analysis] | paper | 18 |
| 2004 | Central limit theorem for asymmetric kernel functionals.(2004) In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE). [Full Text][Citation analysis] This paper has nother version. Agregated cites: 18 | paper | |
| 2005 | Central limit theorem for asymmetric kernel functionals.(2005) In: Annals of the Institute of Statistical Mathematics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 18 | article | |
| 2000 | Market Microstructure Models and the Markov Property. In: Economics Working Papers. [Citation analysis] | paper | 0 |
| 2000 | Market Microstructure Models and Markov Property.(2000) In: Finance Lab Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2013 | Conditional alphas and realized betas In: Textos para discussão. [Full Text][Citation analysis] | paper | 2 |
| 2013 | A (semi-)parametric functional coefficient autoregressive conditional duration model In: Textos para discussão. [Full Text][Citation analysis] | paper | 4 |
| 2006 | A (semi-)parametric functional coefficient autoregressive conditional duration model.(2006) In: Textos para discussão. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | paper | |
| 2014 | Profundidade de mercado na BM&FBovespa In: Textos para discussão. [Full Text][Citation analysis] | paper | 0 |
| 2014 | Negociação com informação diferenciada em ADRs da América Latina In: Textos para discussão. [Full Text][Citation analysis] | paper | 0 |
| 2014 | The finite-sample size of the BDS test for GARCH standardized residuals In: Textos para discussão. [Full Text][Citation analysis] | paper | 2 |
| 2012 | The Finite-Sample Size of the BDS Test for GARCH Standardized Residuals.(2012) In: Brazilian Review of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | article | |
| 2014 | Prêmio por controle no mercado brasileiro In: Textos para discussão. [Full Text][Citation analysis] | paper | 0 |
| 2014 | TÃtulos de dÃvida corporativa de empresas brasileiras: investir em emissões do mercado interno ou externo? In: Textos para discussão. [Full Text][Citation analysis] | paper | 0 |
| 2014 | Os determinantes macroeconômicos da estrutura a termo das expectativas de inflação no Brasil In: Textos para discussão. [Full Text][Citation analysis] | paper | 0 |
| 2017 | Disentangling the effect of private and public cash flows on firm value In: Textos para discussão. [Full Text][Citation analysis] | paper | 0 |
| 2016 | Disentangling the Effect of Private and Public Cash Flows on Firm Value.(2016) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2017 | Improving on daily measures of price discovery In: Textos para discussão. [Full Text][Citation analysis] | paper | 0 |
| 2017 | A dynamic Nelson-Siegel model with forward-looking indicators for the yield curve in the US In: Textos para discussão. [Full Text][Citation analysis] | paper | 0 |
| 2016 | A dynamic Nelson-Siegel model with forward-looking indicators for the yield curve in the US.(2016) In: Working Papers, Department of Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2017 | Disagreement in inflation forecasts and inflation risk premia in Brazil In: Textos para discussão. [Full Text][Citation analysis] | paper | 0 |
| 2017 | Disagreement in Inflation Forecasts and Inflation Risk Premia in Brazil.(2017) In: Brazilian Review of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
| 2017 | The government as a large shareholder: impact on corporate governance In: Textos para discussão. [Full Text][Citation analysis] | paper | 4 |
| 2001 | Nonparametric entropy-based tests of independence between stochastic processes In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE). [Full Text][Citation analysis] | paper | 8 |
| 2010 | Nonparametric Entropy-Based Tests of Independence Between Stochastic Processes.(2010) In: Econometric Reviews. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 8 | article | |
| 2001 | Testing the Markov property with ultra high frequency financial data In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE). [Full Text][Citation analysis] | paper | 0 |
| 2004 | Testing the Markov property with ultra-high frequency financial data.(2004) In: Nova SBE Working Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2002 | O mecanismo monetário de transmissão na economia brasileira pós-Plano Real In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE). [Full Text][Citation analysis] | paper | 1 |
| 2002 | Desempenho de estimadores de volatilidade na Bolsa de Valores de São Paulo In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE). [Full Text][Citation analysis] | paper | 1 |
| 2004 | Desempenho de Estimadores de Volatilidade na Bolsa de Valores de São Paulo.(2004) In: Revista Brasileira de Economia - RBE. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | article | |
| 2005 | Estimating the stochastic discount factor without a utility function In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE). [Full Text][Citation analysis] | paper | 8 |
| 2006 | A stochastic discount factor approach to asset pricing using panel data In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE). [Full Text][Citation analysis] | paper | 4 |
| 2006 | Are price limits on futures markets that cool?: evidence from the Brazilian Mercantile and Futures Exchange In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE). [Full Text][Citation analysis] | paper | 5 |
| Are price limits on futures markets that cool? Evidence from the Brazilian Mercantile and Futures Exchange.() In: Journal of Financial Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | article | ||
| 2006 | Are Price Limits on Futures Markets That Cool? Evidence from the Brazilian Mercantile and Futures Exchange.(2006) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | paper | |
| 1994 | A questão da dinâmica de preços de ativos financeiros In: Revista Brasileira de Economia - RBE. [Full Text][Citation analysis] | article | 0 |
| 2005 | O Mecanismo de Transmissão Monetária na Economia Brasileira Pós-Plano Real In: Revista Brasileira de Economia - RBE. [Full Text][Citation analysis] | article | 4 |
| 2009 | Capital Estrangeiro e Diferenciais de Gênero nas Promoções: Evidências da Indústria de Transformação Brasileira In: Discussion Papers. [Full Text][Citation analysis] | paper | 1 |
| 2016 | Armas de Fogo e SuicÃÂdios In: Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
| 2019 | A Panel-based Proxy for Gun Prevalence in the US In: NBER Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2021 | Price Discovery in a Continuous-Time Setting* In: Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 4 |
| 2019 | Price discovery in a continuous-time setting.(2019) In: University of East Anglia School of Economics Working Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | paper | |
| 2015 | The Government as a Large Shareholder: Impact on Firm Value and Corporate Governance In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2006 | Are Price Limits on Futures Markets That Cool? Evidence from the Brazilian Mercantile and Futures Exchange In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2015 | March Madness in Wall Street: (What) Does the Market Learn from Stress Tests? In: Working Papers. [Full Text][Citation analysis] | paper | 26 |
| 2015 | The Government as a Large Shareholder: Impact on Firm Value and Corporate Governance In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2015 | Anticipatory Effects in the FTSE 100 Index Revisions In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2016 | Forecasting the Brazilian Yield Curve Using Forward-Looking Variables In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2016 | Disentangling the Effect of Private and Public Cash Flows on Firm Value In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 1997 | Um Procedimento Para Análise De Persistência Na Volatilidade In: Brazilian Review of Econometrics. [Full Text][Citation analysis] | article | 0 |
| 2014 | Market Depth at the BM&FBovespa In: Brazilian Review of Econometrics. [Full Text][Citation analysis] | article | 0 |
| 2014 | Voting Premium in the Brazilian Equity Market In: Brazilian Review of Econometrics. [Full Text][Citation analysis] | article | 0 |
| 2014 | Brazilian Corporate Debt Issuance: Should You Invest in Local or International Bonds? In: Brazilian Review of Econometrics. [Full Text][Citation analysis] | article | 1 |
| 2015 | The Macroeconomic Determinants of the Term Structure of Inflation Expectations in Brazil In: Brazilian Review of Econometrics. [Full Text][Citation analysis] | article | 0 |
| 2020 | The efficiency of risk sharing between UK and US: Robust estimation and calibration under market incompleteness In: Brazilian Review of Econometrics. [Full Text][Citation analysis] | article | 0 |
| 2021 | What Drives the Nominal Yield Curve in Brazil? In: Brazilian Review of Econometrics. [Full Text][Citation analysis] | article | 0 |
| 2022 | Tail risk exposures of hedge funds: Evidence from unique Brazilian data In: Brazilian Review of Econometrics. [Full Text][Citation analysis] | article | 0 |
| 2018 | Guns and Suicides In: The American Statistician. [Full Text][Citation analysis] | article | 0 |
| 2016 | A (Semi)Parametric Functional Coefficient Logarithmic Autoregressive Conditional Duration Model In: Econometric Reviews. [Full Text][Citation analysis] | article | 1 |
| 2003 | Testing for a flexible non-linear link between short-term Eurorates and spreads In: The European Journal of Finance. [Full Text][Citation analysis] | article | 0 |
| 2020 | Testing for Jump Spillovers Without Testing for Jumps In: Journal of the American Statistical Association. [Full Text][Citation analysis] | article | 1 |
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