Marcelo Fernandes : Citation Profile

Are you Marcelo Fernandes?

Fundação Getúlio Vargas (FGV)

10

H index

10

i10 index

464

Citations

RESEARCH PRODUCTION:

42

Articles

62

Papers

RESEARCH ACTIVITY:

   28 years (1994 - 2022). See details.
   Cites by year: 16
   Journals where Marcelo Fernandes has often published
   Relations with other researchers
   Recent citing documents: 71.    Total self citations: 25 (5.11 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pfe19
   Updated: 2023-11-04    RAS profile: 2023-08-05    
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Relations with other researchers

Works with:

Coelho, Danilo (3)

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 (13)

Degiannakis, Stavros (8)

Gil-Alana, Luis (7)

Filis, George (7)

Caporale, Guglielmo Maria (7)

Schienle, Melanie (6)

Bauwens, Luc (6)

Chang, Chia-Lin (6)

Camara, Boubacar (6)

PHILIPPON, Thomas (6)

Malec, Peter (6)

Cites to:

Engle, Robert (33)

Grammig, Joachim (23)

Shleifer, Andrei (21)

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
The Journal of Financial Econometrics2
Annals of the Institute of Statistical Mathematics2
Econometric Reviews2
Journal of Banking & Finance2
Journal of Economic Dynamics and Control2

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
Textos para discussão / Department of Economics PUC-Rio (Brazil)2
Discussion Papers / Instituto de Pesquisa Econômica Aplicada - IPEA2

Recent works citing Marcelo Fernandes (2023 and 2022)

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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2022Price formation in financial markets: a game-theoretic perspective. (2022). Evangelista, David ; Thamsten, Yuri ; Saporito, Yuri. In: Papers. RePEc:arx:papers:2202.11416.

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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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2022The Econometrics of Financial Duration Modeling. (2022). Cavaliere, Giuseppe ; Vilandt, Frederik ; Rahbek, Anders ; Mikosch, Thomas. In: Papers. RePEc:arx:papers:2208.02098.

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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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2023Smoothing 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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2023Understanding 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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2022High?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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2022Conditional quantile analysis for realized GARCH models. (2022). Wang, Yazhen ; Oh, Minseog ; Kim, Donggyu. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:43:y:2022:i:4:p:640-665.

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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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2022Stress tests and capital requirement disclosures: do they impact banks’ lending and risk-taking decisions?. (2022). Marques, Aurea Ponte ; Ongena, Steven ; Konietschke, Paul. In: Working Paper Series. RePEc:ecb:ecbwps:20222679.

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2022The certification role of the EU-wide stress testing exercises in the stock market. What can we learn from the stress tests (2014-2021)?. (2022). Marques, Aurea ; Ongena, Steven ; Durrani, Agha. In: Working Paper Series. RePEc:ecb:ecbwps:20222711.

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2022Directed acyclic graph based information shares for price discovery. (2022). Zema, Sebastiano Michele. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:139:y:2022:i:c:s0165188922001397.

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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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2022The impact of VIX on China’s financial market: A new perspective based on high-dimensional and time-varying methods. (2022). Sun, Yan-Lin ; Chen, Bin-Xia. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:63:y:2022:i:c:s1062940822001668.

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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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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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2022Green bonds and implied volatilities: Dynamic causality, spillovers, and implications for portfolio management. (2022). Do, Hung Xuan ; Pham, Linh. In: Energy Economics. RePEc:eee:eneeco:v:112:y:2022:i:c:s0140988322002651.

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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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2022A grey-based correlation with multi-scale analysis: S&P 500 VIX and individual VIXs of large US company stocks. (2022). Wang, Zhenkun ; Hussain, Syed Jawad ; Ferreira, Paulo ; Bouri, Elie ; Ferrer, Roman. In: Finance Research Letters. RePEc:eee:finlet:v:48:y:2022:i:c:s154461232200157x.

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2022Analytical properties of Hasbrouck and generalized information shares. (2022). Quin, Lianne Mei ; Shrestha, Keshab ; Lien, Donald. In: Finance Research Letters. RePEc:eee:finlet:v:49:y:2022:i:c:s1544612322003919.

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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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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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2022Forecasting: theory and practice. (2022). Shang, Han Lin ; Rubaszek, Michał ; Martinez, Andrew ; Grossi, Luigi ; Franses, Philip Hans ; Fiszeder, Piotr ; Clements, Michael ; Castle, Jennifer ; Carnevale, Claudio ; Kolassa, Stephan ; Thorarinsdottir, Thordis ; Guo, Xiaojia ; Reade, James J ; Petropoulos, Fotios ; Nikolopoulos, Konstantinos ; Koehler, Anne B ; Thomakos, Dimitrios ; Browell, Jethro ; Rapach, David E ; Modis, Theodore ; Kang, Yanfei ; Tashman, Len ; Boylan, John E ; Gunter, Ulrich ; Ramos, Patricia ; Ellison, Joanne ; Meeran, Sheik ; Richmond, Victor ; Talagala, Thiyanga S ; Bijak, Jakub ; Guidolin, Massimo ; Pinson, Pierre ; Dokumentov, Alexander ; Jeon, Jooyoung ; Bessa, Ricardo J ; Pedregal, Diego J ; de Baets, Shari ; Ziel, Florian ; Syntetos, Aris A ; Bergmeir, Christoph
2022Stress testing and bank business patterns: A regression discontinuity study. (2022). Steele, Suzanne ; Garcia, Raffi E. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:135:y:2022:i:c:s0378426620302260.

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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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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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2022Oil price volatility forecasts: What do investors need to know?. (2022). Filis, George ; Degiannakis, Stavros. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:123:y:2022:i:c:s026156062100245x.

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2022Asymptotic properties of Dirichlet kernel density estimators. (2022). Tolosana-Delgado, Raimon ; Ouimet, Frederic. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:187:y:2022:i:c:s0047259x2100110x.

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2022A symmetric matrix-variate normal local approximation for the Wishart distribution and some applications. (2022). Ouimet, Frederic. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:189:y:2022:i:c:s0047259x21001913.

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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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2022A comparative analysis of the financialization of commodities during COVID-19 and the global financial crisis using a quantile regression approach. (2022). Sharma, Aarzoo. In: Resources Policy. RePEc:eee:jrpoli:v:78:y:2022:i:c:s0301420722003671.

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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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2022Predicting tail events in a RIA-EVT-Copula framework. (2022). Zhou, Wei-Xing ; Wang, Gang-Jin ; Jiang, Zhi-Qiang ; Zhai, Jin-Rui ; Li, Wei-Zhen. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:600:y:2022:i:c:s0378437122003703.

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2022Good oil volatility, bad oil volatility, and stock return predictability. (2022). Wang, Yudong ; Xiao, Jihong. In: International Review of Economics & Finance. RePEc:eee:reveco:v:80:y:2022:i:c:p:953-966.

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2022Does the SDR stabilize investing in commodities?. (2022). Xu, Yang ; Han, Liyan ; Jin, Jiayu. In: International Review of Economics & Finance. RePEc:eee:reveco:v:81:y:2022:i:c:p:160-172.

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2022The value premium and investors appetite for risk. (2022). Jacob, Maram ; Qadan, Mahmoud. In: International Review of Economics & Finance. RePEc:eee:reveco:v:82:y:2022:i:c:p:194-219.

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2022Forecasting realised volatility from search volume and overnight sentiment: Evidence from China. (2022). Duong, Duy ; Huang, Chengcheng ; Han, Wei ; Wang, Ping. In: Research in International Business and Finance. RePEc:eee:riibaf:v:62:y:2022:i:c:s0275531922001222.

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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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2022Central Clearing and Systemic Liquidity Risk. (2020). Paulson, Anna ; Nesmith, Travis ; King, Thomas ; Prono, Todd. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2020-09.

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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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2022Nonconforming Preferences: Jumbo Mortgage Lending and Large Bank Stress Tests. (2022). van der Klaauw, Wilbert ; Pinkovskiy, Maxim L ; Neubauer, Michael ; Morgan, Donald P ; Haughwout, Andrew F. In: Staff Reports. RePEc:fip:fednsr:94715.

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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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2022Forecasting the Direction of Daily Changes in the India VIX Index Using Machine Learning. (2022). Bakhshi, Priti ; Prasad, Akhilesh. In: JRFM. RePEc:gam:jjrfmx:v:15:y:2022:i:12:p:552-:d:983390.

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2022.

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2022.

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2022A Computational Analysis of the Tradeoff in the Estimation of Different State Space Specifications of Continuous Time Affine Term Structure Models. (2022). Juneja, Januj Amar. In: Computational Economics. RePEc:kap:compec:v:60:y:2022:i:1:d:10.1007_s10614-021-10146-1.

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2022Asymptotic extrapolation of model-free implied variance: exploring structural underestimation in the VIX Index. (2022). Stahl, Philip. In: Review of Derivatives Research. RePEc:kap:revdev:v:25:y:2022:i:3:d:10.1007_s11147-022-09190-2.

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2022Procyclical volatility in Chinese stock markets. (2022). Liu, Xiaoquan ; Jiang, Ying ; Fei, Tianlun ; Deschamps, Bruno. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:58:y:2022:i:3:d:10.1007_s11156-021-01020-0.

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2022Data-driven P-Splines under short-range dependence. (2022). Letmathe, Sebastian. In: Working Papers CIE. RePEc:pdn:ciepap:152.

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2022Sector connectedness in the Chinese stock markets. (2022). Wang, Gang-Jin ; Zhou, Wei-Xing ; Ma, Jun-Chao ; Jiang, Zhi-Qiang ; Shen, Ying-Ying. In: Empirical Economics. RePEc:spr:empeco:v:62:y:2022:i:2:d:10.1007_s00181-021-02036-0.

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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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2022Forecasting realized volatility of Chinese stock market: A simple but efficient truncated approach. (2022). Wang, Yudong ; Zhang, Yaojie ; He, Mengxi ; Wen, Danyan. In: Journal of Forecasting. RePEc:wly:jforec:v:41:y:2022:i:2:p:230-251.

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2022A model sufficiency test using permutation entropy. (2022). Pitt, David ; Shang, Han Lin ; Huang, Xin. In: Journal of Forecasting. RePEc:wly:jforec:v:41:y:2022:i:5:p:1017-1036.

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2023Forecasting 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.

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2022Forecasting realized volatility: New evidence from time?varying jumps in VIX. (2022). Dutta, Anupam ; Das, Debojyoti. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:42:y:2022:i:12:p:2165-2189.

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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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2018Price discovery in dual?class shares across multiple markets.(2018) In: Journal of Futures Markets.
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This paper has another version. Agregated cites: 12		article
2016Component shares in continuous time In: CREATES Research Papers.
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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].
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2019Smoothing quantile regressions In: Papers.
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2017Smoothing quantile regressions.(2017) In: Textos para discussão.
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This paper has another version. Agregated cites: 14		paper
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
2021Extensions to the invariance property of maximum likelihood estimation for affine?transformed state?space models In: Journal of Time Series Analysis.
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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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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.
[Full Text][Citation analysis]		paper88
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]		article2
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.
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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]
This paper has another version. Agregated cites: 44		paper
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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This paper has another version. Agregated cites: 44		paper
2007Semiparametric methods in econometrics In: Journal of Econometrics.
[Full Text][Citation analysis]		article1
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.
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2016Anticipatory effects in the FTSE 100 index revisions In: Journal of Empirical Finance.
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2015Anticipatory Effects in the FTSE 100 Index Revisions.(2015) In: Working Papers.
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2022A panel-based proxy for gun prevalence in US and Mexico In: International Review of Law and Economics.
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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.
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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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2004Bounds for the probability distribution function of the linear ACD process In: Statistics & Probability Letters.
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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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2001Economics and literature: an examination of Gulliver’s Travels In: Journal of Economic Studies.
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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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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.
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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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2001Nonparametric entropy-based tests of independence between stochastic processes In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE).
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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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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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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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