Marcelo Fernandes : Citation Profile

Are you Marcelo Fernandes?

Fundação Getúlio Vargas (FGV)

9

H index

9

i10 index

484

Citations

RESEARCH PRODUCTION:

41

Articles

62

Papers

RESEARCH ACTIVITY:

   29 years (1994 - 2023). See details.
   Cites by year: 16
   Journals where Marcelo Fernandes has often published
   Relations with other researchers
   Recent citing documents: 53.    Total self citations: 24 (4.72 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pfe19
   Updated: 2024-11-04    RAS profile: 2024-07-04    
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Relations with other researchers

Works with:

Coelho, Danilo (2)

Cerqueira, Daniel (2)

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

Is cited by:

Hautsch, Nikolaus (16)

Chang, Chia-Lin (9)

Degiannakis, Stavros (8)

Filis, George (7)

Gil-Alana, Luis (7)

Bauwens, Luc (7)

Caporale, Guglielmo Maria (7)

Schienle, Melanie (6)

GAO, Jiti (6)

Camara, Boubacar (6)

Malec, Peter (6)

Cites to:

Engle, Robert (32)

Shleifer, Andrei (27)

Grammig, Joachim (23)

Drost, Feike C. (21)

Hansen, Lars (19)

Zingales, Luigi (17)

Campbell, John (16)

Bollerslev, Tim (15)

Ait-Sahalia, Yacine (14)

Bauwens, Luc (14)

Diebold, Francis (14)

Main data

Where Marcelo Fernandes has published?

Journals with more than one article published# docs
Brazilian Review of Econometrics10
Journal of Econometrics5
Revista Brasileira de Economia - RBE3
Journal of Financial Econometrics2
Journal of Banking & Finance2
Annals of the Institute of Statistical Mathematics2
Journal of Economic Dynamics and Control2
Econometric Reviews2

Working Papers Series with more than one paper published# docs
Textos para discussão / FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil)17
FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) / EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil)12
Economics Working Papers / European University Institute3
Discussion Papers / Instituto de Pesquisa Econômica Aplicada - IPEA2
Textos para discussão / Department of Economics PUC-Rio (Brazil)2

Recent works citing Marcelo Fernandes (2024 and 2023)

YearTitle of citing document
2023Testing for long-range dependence in non-stationary time series time-varying regression. (2021). Wu, Weichi ; Bai, Lujia. In: Papers. RePEc:arx:papers:2110.08089.

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2023Should Bank Stress Tests Be Fair?. (2022). Li, Mike ; Glasserman, Paul. In: Papers. RePEc:arx:papers:2207.13319.

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2023Noisy, Non-Smooth, Non-Convex Estimation of Moment Condition Models. (2023). Forneron, Jean-Jacques. In: Papers. RePEc:arx:papers:2301.07196.

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2024Smoothing Quantile Regression Averaging: A new approach to probabilistic forecasting of electricity prices. (2023). Uniejewski, Bartosz. In: Papers. RePEc:arx:papers:2302.00411.

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2023Optimal probabilistic forecasts for risk management. (2023). Martin, Gael M ; Loaiza-Maya, Ruben ; Maneesoonthorn, Worapree ; Sun, Yuru. In: Papers. RePEc:arx:papers:2303.01651.

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2023Smoothing the Nonsmoothness. (2023). Tu, Yundong ; Peng, Bin ; Gao, Jiti ; Dong, Chaohua. In: Papers. RePEc:arx:papers:2309.16348.

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2023Smoothed instrumental variables quantile regression. (2023). Kaplan, David. In: Papers. RePEc:arx:papers:2310.09013.

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2024Understanding 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.

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2023A 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.

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2023High?dimensional quantile regression: Convolution smoothing and concave regularization. (2022). Zhou, Wenxin ; Wang, Lan ; Tan, Kean Ming. In: Journal of the Royal Statistical Society Series B. RePEc:bla:jorssb:v:84:y:2022:i:1:p:205-233.

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2023The 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.

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2023A 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.

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2023Volatility 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.

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2023Smoothed 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.

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2023Bootstrap 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.

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2023Sparse 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.

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2024Tail behavior of ACD models and consequences for likelihood-based estimation. (2024). Cavaliere, Giuseppe ; Rahbek, Anders ; Mikosch, Thomas ; Vilandt, Frederik. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:2:s0304407623003299.

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2023Modeling 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.

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2023Risk 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.

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2023Forecast 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.

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2023Does 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.

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2023Investor 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.

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2023Discovering 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.

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2023Global financial stress index and long-term volatility forecast for international stock markets. (2023). Huynh, Luu Duc Toan ; Luo, Qin ; Liang, Chao. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:88:y:2023:i:c:s1042443123000938.

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2023Stress testing programs and credit risk opacity of banks: USA vs Europe. (2023). Orts, Carlos Alonso ; Robles, M-Dolores ; Abad, Pilar. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:89:y:2023:i:c:s1042443123001440.

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2023Stock 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.

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2023Price 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.

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2023Information 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.

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2023The 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.

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2023Minimax 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.

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2023Precious 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.

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2023On 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.

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2024Size, value and volatility. (2024). Peterburgsky, Stanley. In: International Review of Economics & Finance. RePEc:eee:reveco:v:91:y:2024:i:c:p:752-763.

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2024Do anticipated changes in the MSCI Taiwan index drive investor behavior?. (2024). Pan, Ging-Ginq ; Tseng, Yun-Lan. In: International Review of Economics & Finance. RePEc:eee:reveco:v:92:y:2024:i:c:p:563-580.

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2023Constructing Density Forecasts from Quantile Regressions: Multimodality in Macro-Financial Dynamics. (2022). Poon, Aubrey ; Mitchell, James ; Zhu, Dan. In: Working Papers. RePEc:fip:fedcwq:94160.

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2023Systemic Tail Risk: High-Frequency Measurement, Evidence and Implications. (2023). Yang, Xiye ; Neely, Christopher J ; Erdemlioglu, Deniz. In: Working Papers. RePEc:fip:fedlwp:96490.

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2023Macroeconomic 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.

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2023Approximating 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.

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2023A 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.

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2023A 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.

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2023Review 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.

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2023Heterogeneous 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.

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2023The 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.

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2023A 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.

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2024Integrated Variance Estimation for Assets Traded in Multiple Venues. (2024). Schweiker, Karsten ; Dias, Gustavo Fruet. In: University of East Anglia School of Economics Working Paper Series. RePEc:uea:ueaeco:2024-04.

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Works by Marcelo Fernandes:

YearTitleTypeCited
2014Price discovery in dual-class shares across multiple markets In: CREATES Research Papers.
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2013Price discovery in dual-class shares across multiple markets.(2013) In: Textos para discussão.
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This paper has nother version. Agregated cites: 6		paper
2016Component shares in continuous time In: CREATES Research Papers.
[Full Text][Citation analysis]		paper0
2007FOREIGN 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]		paper0
2019Smoothing quantile regressions In: Papers.
[Full Text][Citation analysis]		paper16
2017Smoothing quantile regressions.(2017) In: Textos para discussão.
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2021Smoothing Quantile Regressions.(2021) In: Journal of Business & Economic Statistics.
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2021The effect of voting rights on firm value In: International Review of Finance.
[Full Text][Citation analysis]		article1
2011Testing for Symmetry and Conditional Symmetry Using Asymmetric Kernels In: Swiss Finance Institute Research Paper Series.
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2015Testing for symmetry and conditional symmetry using asymmetric kernels.(2015) In: Annals of the Institute of Statistical Mathematics.
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This paper has nother version. Agregated cites: 4		article
2014Foreign Capital and Gender Differences in Promotions: Evidence From Large Brazilian Manufacturing Firms In: Economía Journal.
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2001A family of autoregressive conditional duration models In: LIDAM Discussion Papers CORE.
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2006A family of autoregressive conditional duration models.(2006) In: Journal of Econometrics.
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2002A family of autoregressive conditional duration models.(2002) In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE).
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2003A family of autoregressive conditional duration models.(2003) In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE).
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2004Using Common Features to Construct a Preference-Free Estimator of the Stochastic Discount Factor In: Econometric Society 2004 Latin American Meetings.
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2019A 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]		article4
2006Financial crashes as endogenous jumps: estimation, testing and forecasting In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article8
2005A multivariate conditional autoregressive range model In: Economics Letters.
[Full Text][Citation analysis]		article18
2005Nonparametric specification tests for conditional duration models In: Journal of Econometrics.
[Full Text][Citation analysis]		article44
2000Non-Parametric Specification Tests for Conditional Duration Models..(2000) In: Economics Working Papers.
[Citation analysis]
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2003Nonparametric specification tests for conditional duration models.(2003) In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE).
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2000NON-PARAMETRIC SPECIFICATION TESTS FOR CONDITIONAL DURATION MODELS.(2000) In: Computing in Economics and Finance 2000.
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2007Semiparametric methods in econometrics In: Journal of Econometrics.
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2007Testing the Markov property with high frequency data In: Journal of Econometrics.
[Full Text][Citation analysis]		article3
2012International market links and volatility transmission In: Journal of Econometrics.
[Full Text][Citation analysis]		article21
2016Anticipatory effects in the FTSE 100 index revisions In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article5
2013Anticipatory effects in the FTSE 100 index revisions.(2013) In: Textos para discussão.
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This paper has nother version. Agregated cites: 5		paper
2015Anticipatory Effects in the FTSE 100 Index Revisions.(2015) In: Working Papers.
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This paper has nother version. Agregated cites: 5		paper
2017Forecasting the Brazilian yield curve using forward-looking variables In: International Journal of Forecasting.
[Full Text][Citation analysis]		article3
2016Forecasting the Brazilian Yield Curve Using Forward-Looking Variables.(2016) In: Working Papers.
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This paper has nother version. Agregated cites: 3		paper
2022A panel-based proxy for gun prevalence in US and Mexico In: International Review of Law and Economics.
[Full Text][Citation analysis]		article0
2020March madness in Wall Street: (What) does the market learn from stress tests? In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article30
2015March Madness in Wall Street: (What) Does the Market Learn from Stress Tests?.(2015) In: IMF Working Papers.
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2015March Madness in Wall Street: (What) Does the Market Learn from Stress Tests?.(2015) In: Working Papers.
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2014Modeling and predicting the CBOE market volatility index In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article127
2013Modeling and predicting the CBOE market volatility index.(2013) In: Textos para discussão.
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2007Modeling and predicting the CBOE market volatility index.(2007) In: Textos para discussão.
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This paper has nother version. Agregated cites: 127		paper
2004Bounds for the probability distribution function of the linear ACD process In: Statistics & Probability Letters.
[Full Text][Citation analysis]		article1
2003Bounds for the probability distribution function of the linear ACD process.(2003) In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE).
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This paper has nother version. Agregated cites: 1		paper
2001Economics and literature: an examination of Gulliver’s Travels In: Journal of Economic Studies.
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2000Central Limit Theorem for Asymmetric Kernel Functionals. In: Economics Working Papers.
[Citation analysis]		paper18
2004Central limit theorem for asymmetric kernel functionals.(2004) In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE).
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2005Central limit theorem for asymmetric kernel functionals.(2005) In: Annals of the Institute of Statistical Mathematics.
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2000Market Microstructure Models and the Markov Property. In: Economics Working Papers.
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2000Market Microstructure Models and Markov Property.(2000) In: Finance Lab Working Papers.
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2013Conditional alphas and realized betas In: Textos para discussão.
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2013A (semi-)parametric functional coefficient autoregressive conditional duration model In: Textos para discussão.
[Full Text][Citation analysis]		paper4
2006A (semi-)parametric functional coefficient autoregressive conditional duration model.(2006) In: Textos para discussão.
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2014Profundidade de mercado na BM&FBovespa In: Textos para discussão.
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2014Negociação com informação diferenciada em ADRs da América Latina In: Textos para discussão.
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2014The finite-sample size of the BDS test for GARCH standardized residuals In: Textos para discussão.
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2012The Finite-Sample Size of the BDS Test for GARCH Standardized Residuals.(2012) In: Brazilian Review of Econometrics.
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2014Prêmio por controle no mercado brasileiro In: Textos para discussão.
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2014Títulos de dívida corporativa de empresas brasileiras: investir em emissões do mercado interno ou externo? In: Textos para discussão.
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2014Os determinantes macroeconômicos da estrutura a termo das expectativas de inflação no Brasil In: Textos para discussão.
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2017Disentangling the effect of private and public cash flows on firm value In: Textos para discussão.
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2016Disentangling the Effect of Private and Public Cash Flows on Firm Value.(2016) In: Working Papers.
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2017Improving on daily measures of price discovery In: Textos para discussão.
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2017A dynamic Nelson-Siegel model with forward-looking indicators for the yield curve in the US In: Textos para discussão.
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2016A dynamic Nelson-Siegel model with forward-looking indicators for the yield curve in the US.(2016) In: Working Papers, Department of Economics.
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2017Disagreement in inflation forecasts and inflation risk premia in Brazil In: Textos para discussão.
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2017Disagreement in Inflation Forecasts and Inflation Risk Premia in Brazil.(2017) In: Brazilian Review of Econometrics.
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2017The government as a large shareholder: impact on corporate governance In: Textos para discussão.
[Full Text][Citation analysis]		paper4
2001Nonparametric entropy-based tests of independence between stochastic processes In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE).
[Full Text][Citation analysis]		paper8
2010Nonparametric Entropy-Based Tests of Independence Between Stochastic Processes.(2010) In: Econometric Reviews.
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2001Testing the Markov property with ultra high frequency financial data In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE).
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2004Testing the Markov property with ultra-high frequency financial data.(2004) In: Nova SBE Working Paper Series.
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2002O mecanismo monetário de transmissão na economia brasileira pós-Plano Real In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE).
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2002Desempenho de estimadores de volatilidade na Bolsa de Valores de São Paulo In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE).
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2004Desempenho de Estimadores de Volatilidade na Bolsa de Valores de São Paulo.(2004) In: Revista Brasileira de Economia - RBE.
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2005Estimating the stochastic discount factor without a utility function In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE).
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2006A stochastic discount factor approach to asset pricing using panel data In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE).
[Full Text][Citation analysis]		paper4
2006Are 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).
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Are price limits on futures markets that cool? Evidence from the Brazilian Mercantile and Futures Exchange.() In: Journal of Financial Econometrics.
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2006Are Price Limits on Futures Markets That Cool? Evidence from the Brazilian Mercantile and Futures Exchange.(2006) In: Working Papers.
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1994A questão da dinâmica de preços de ativos financeiros In: Revista Brasileira de Economia - RBE.
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2005O Mecanismo de Transmissão Monetária na Economia Brasileira Pós-Plano Real In: Revista Brasileira de Economia - RBE.
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2009Capital Estrangeiro e Diferenciais de Gênero nas Promoções: Evidências da Indústria de Transformação Brasileira In: Discussion Papers.
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2016Armas de Fogo e Suicídios In: Discussion Papers.
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2019A Panel-based Proxy for Gun Prevalence in the US In: NBER Working Papers.
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2021Price Discovery in a Continuous-Time Setting* In: Journal of Financial Econometrics.
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2019Price discovery in a continuous-time setting.(2019) In: University of East Anglia School of Economics Working Paper Series.
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2015The Government as a Large Shareholder: Impact on Firm Value and Corporate Governance In: Working Papers.
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2006Are Price Limits on Futures Markets That Cool? Evidence from the Brazilian Mercantile and Futures Exchange In: Working Papers.
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2015March Madness in Wall Street: (What) Does the Market Learn from Stress Tests? In: Working Papers.
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2015The Government as a Large Shareholder: Impact on Firm Value and Corporate Governance In: Working Papers.
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2015Anticipatory Effects in the FTSE 100 Index Revisions In: Working Papers.
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2016Forecasting the Brazilian Yield Curve Using Forward-Looking Variables In: Working Papers.
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2016Disentangling the Effect of Private and Public Cash Flows on Firm Value In: Working Papers.
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1997Um Procedimento Para Análise De Persistência Na Volatilidade In: Brazilian Review of Econometrics.
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2014Market Depth at the BM&FBovespa In: Brazilian Review of Econometrics.
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2014Voting Premium in the Brazilian Equity Market In: Brazilian Review of Econometrics.
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2014Brazilian Corporate Debt Issuance: Should You Invest in Local or International Bonds? In: Brazilian Review of Econometrics.
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2015The Macroeconomic Determinants of the Term Structure of Inflation Expectations in Brazil In: Brazilian Review of Econometrics.
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2020The efficiency of risk sharing between UK and US: Robust estimation and calibration under market incompleteness In: Brazilian Review of Econometrics.
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2021What Drives the Nominal Yield Curve in Brazil? In: Brazilian Review of Econometrics.
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2022Tail risk exposures of hedge funds: Evidence from unique Brazilian data In: Brazilian Review of Econometrics.
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2018Guns and Suicides In: The American Statistician.
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2016A (Semi)Parametric Functional Coefficient Logarithmic Autoregressive Conditional Duration Model In: Econometric Reviews.
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2003Testing for a flexible non-linear link between short-term Eurorates and spreads In: The European Journal of Finance.
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2020Testing for Jump Spillovers Without Testing for Jumps In: Journal of the American Statistical Association.
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2023Diffuse Kalman filtering with linear constraints on the state parameters In: Communications in Statistics - Theory and Methods.
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