Márcio Laurini : Citation Profile

Universidade de São Paulo

10

H index

10

i10 index

414

Citations

RESEARCH PRODUCTION:

57

Articles

52

Papers

EDITOR:

1

Series edited

RESEARCH ACTIVITY:

   23 years (2002 - 2025). See details.
   Cites by year: 18
   Journals where Márcio Laurini has often published
   Relations with other researchers
   Recent citing documents: 49.    Total self citations: 23 (5.26 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pla86
   Updated: 2026-02-21    RAS profile: 2026-01-15    
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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:

Resende, Guilherme (14)

Cravo, Túlio (11)

Corbet, Shaen (9)

Morita Sakowski, Patricia (6)

Ywata de Carvalho, Alexandre (6)

Rulliere, Didier (6)

Bouri, Elie (5)

Figà-Talamanca, Gianna (5)

Fernandez Bariviera, Aurelio (5)

GUPTA, RANGAN (5)

Fengler, Matthias (5)

Cites to:

Diebold, Francis (45)

Rudebusch, Glenn (30)

Bollerslev, Tim (24)

Christensen, Jens (18)

Rogoff, Kenneth (18)

Obstfeld, Maurice (18)

Ang, Andrew (15)

Perron, Pierre (15)

Shephard, Neil (15)

Engle, Robert (15)

Svensson, Lars (14)

Main data

Where Márcio Laurini has published?

Journals with more than one article published# docs
Brazilian Review of Finance4
Economics Letters4
Brazilian Review of Econometrics4
Economics Bulletin3
Econometrics3
Mathematics2
Finance Research Letters2
Stats2

Working Papers Series with more than one paper published# docs
Business and Economics Working Papers / Unidade de Negocios e Economia, Insper11
IBMEC RJ Economics Discussion Papers / Economics Research Group, IBMEC Business School - Rio de Janeiro8

Recent works citing Márcio Laurini (2025 and 2024)

YearTitle of citing document
2024La medición de las expectativas de inflación en Argentina: consultoras económicas versus mercados financieros. (2024). Temperley, Patricio. In: Asociación Argentina de Economía Política: Working Papers. RePEc:aep:anales:4766.

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2024Predicting Value at Risk for Cryptocurrencies With Generalized Random Forests. (2024). Schienle, Melanie ; Gorgen, Konstantin ; Meirer, Jonas. In: Papers. RePEc:arx:papers:2203.08224.

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2024Forecasting Bitcoin Volatility: A Comparative Analysis of Volatility Approaches. (2024). Jeleskovic, Vahidin ; Chinazzo, Cristina. In: Papers. RePEc:arx:papers:2401.02049.

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2024A Comparison of Cryptocurrency Volatility-benchmarking New and Mature Asset Classes. (2024). Lenz, Jimmie ; Brini, Alessio. In: Papers. RePEc:arx:papers:2404.04962.

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2025Dynamics of Liquidity Surfaces in Uniswap v3. (2025). Risk, Jimmy ; Wang, Tai-Ho ; Tung, Shen-Ning. In: Papers. RePEc:arx:papers:2509.05013.

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2025Macroeconomic Drivers of Brazils Yield Curve. (2025). Gaglianone, Wagner ; Araujo, Gustavo ; Machado, Jos Valentim. In: Working Papers Series. RePEc:bcb:wpaper:629.

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2024The influence of global uncertainty and financial shocks, and sovereign risk shock on the Brazilian term structure of interest rate.. (2024). Ferreira, Mauro Sayar ; Figueiredo, Joice Marques. In: Textos para Discussão Cedeplar-UFMG. RePEc:cdp:texdis:td674.

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2024Cross-cryptocurrency return predictability. (2024). Wang, YU ; Guo, LI ; Tu, Jun ; Sang, BO. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:163:y:2024:i:c:s0165188924000551.

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2024Robust estimation of the range-based GARCH model: Forecasting volatility, value at risk and expected shortfall of cryptocurrencies. (2024). Fiszeder, Piotr ; Maecka, Marta ; Molnr, Peter. In: Economic Modelling. RePEc:eee:ecmode:v:141:y:2024:i:c:s026499932400244x.

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2025Connectedness of cryptocurrency-related stocks and the cryptocurrency market: Evidence from the United States. (2025). Corbet, Shaen ; Akyildirim, Erdinc ; Ercan, Metin ; Coskun, Ali. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:76:y:2025:i:c:s1062940824002699.

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2025Exploring co-explosive dynamics: Bitcoin price, attractiveness, and sentiment variables. (2025). Maral, Emerson Fernandes ; de Prince, Diogo ; Valls, Pedro L. In: Economics Letters. RePEc:eee:ecolet:v:246:y:2025:i:c:s0165176524005561.

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2025Fifty years at the interface between financial modeling and operations research. (2025). Fabozzi, Frank J ; Recchioni, Maria Cristina ; Ren, Roberto. In: European Journal of Operational Research. RePEc:eee:ejores:v:327:y:2025:i:1:p:1-21.

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2024Empirical analysis of crude oil dynamics using affine vs. non-affine jump-diffusion models. (2024). Wong, Patrick ; Ignatieva, Katja. In: Journal of Empirical Finance. RePEc:eee:empfin:v:78:y:2024:i:c:s0927539824000549.

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2024Divergent jump characteristics in brown and green cryptocurrencies: The role of energy-related uncertainty. (2024). Hsu, Yuan-Teng ; Vigne, Samuel A ; Wang, Jying-Nan ; Liu, Hung-Chun. In: Energy Economics. RePEc:eee:eneeco:v:138:y:2024:i:c:s0140988324005553.

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2024Exploring asymmetries in cryptocurrency intraday returns and implied volatility: New evidence for high-frequency traders. (2024). Shah, Mohamed ; Karim, Muhammad Mahmudul ; Yarovaya, Larisa ; Hanifa, Abu. In: International Review of Financial Analysis. RePEc:eee:finana:v:96:y:2024:i:pa:s1057521924005490.

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2024No reward—no effort: Will Bitcoin collapse near to the year 2140?. (2024). Grobys, Klaus. In: Finance Research Letters. RePEc:eee:finlet:v:63:y:2024:i:c:s1544612324003246.

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2024The asymmetric effects of upside and downside risks in cryptocurrency markets: Insights from the LUNA and FTX crises. (2024). Gou, Shangde ; Julaiti, Jiansuer ; Aibai, Abuduwali. In: Finance Research Letters. RePEc:eee:finlet:v:67:y:2024:i:pa:s1544612324007803.

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2024Co-Bubble transmission across clean and dirty Cryptocurrencies: Network and portfolio analysis. (2024). Chen, Yan ; Zhang, Lei ; Bouri, Elie. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:145:y:2024:i:c:s0261560624000950.

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2025From depegs to jumps: The role of stablecoin instabilities in crypto market dynamics. (2025). Gnabo, Jean-Yves ; Riaza, Baptiste Perez. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:155:y:2025:i:c:s0261560625000749.

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2025Collapsing bubbles in the prices of cryptocurrencies. (2025). Oldani, Chiara ; Signorelli, Marcello. In: The Journal of Economic Asymmetries. RePEc:eee:joecas:v:31:y:2025:i:c:s1703494925000209.

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2025Causal wavelet analysis of the Bitcoin price dynamics. (2025). Espinosa-Paredes, Gilberto ; Alvarez-Ramirez, Jose ; Vernon-Carter, Jaime E. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:658:y:2025:i:c:s0378437124008173.

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2025Does the introduction of US spot Bitcoin ETFs affect spot returns and volatility of major cryptocurrencies?. (2025). GUPTA, RANGAN ; Bouri, Elie ; Babalos, Vassilios. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:102:y:2025:i:c:s106297692500047x.

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2025Hedging uncertainty: Bitcoins asymmetric diversification benefits in factor-based portfolios. (2025). Belascu, Lucian ; Horobet, Alexandra ; Mirza, Nawazish ; Marinescu, Ion-Iulian. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:102:y:2025:i:c:s1062976925000560.

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2025Fuel prices connectedness across Brazilian capitals: The case of ethanol and gasoline. (2025). Tabak, Benjamin ; Silva, Thiago ; Quintino, Derick ; Dalla, Igor Bettanin. In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:210:y:2025:i:c:s1364032124008748.

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2025Quantifying systemic risk in cryptocurrency markets: A high-frequency approach. (2025). Laurini, Mrcio P ; Pedro, Joao. In: International Review of Economics & Finance. RePEc:eee:reveco:v:102:y:2025:i:c:s1059056025003776.

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2024If GPU(time) == money: Sustainable crypto-asset market? Analysis of similarity among crypto-asset financial time series. (2024). Ziba, Damian. In: International Review of Economics & Finance. RePEc:eee:reveco:v:89:y:2024:i:pb:p:863-912.

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2024Impacts of bitcoin on monetary system: Is Chinas bitcoin ban necessary?. (2024). Li, Xiao ; Wu, Ruoxi ; Wang, Chen. In: Research in International Business and Finance. RePEc:eee:riibaf:v:69:y:2024:i:c:s0275531924000291.

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2024Bitcoin forks: What drives the branches?. (2024). HU, YANG ; Conlon, Thomas ; Corbet, Shaen ; Hou, Yang ; Oxley, Les. In: Research in International Business and Finance. RePEc:eee:riibaf:v:69:y:2024:i:c:s0275531924000539.

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2024Can a self-exciting jump structure better capture the jump behavior of cryptocurrencies? A comparative analysis with the S&P 500. (2024). Chen, Yan ; Zhang, Lei ; Bouri, Elie. In: Research in International Business and Finance. RePEc:eee:riibaf:v:69:y:2024:i:c:s0275531924000709.

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2024Cryptocurrency volatility: A review, synthesis, and research agenda. (2024). Kumar, Satish ; Ahmed, Mohamed Shaker ; Al-Maghyereh, Aktham I ; El-Masry, Ahmed A. In: Research in International Business and Finance. RePEc:eee:riibaf:v:71:y:2024:i:c:s0275531924002654.

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2025A hybrid deep learning model for cryptocurrency returns forecasting: Comparison of the performance of financial markets and impact of external variables. (2025). Jirou, Ismail ; Jebabli, Ikram ; Lahiani, Amine. In: Research in International Business and Finance. RePEc:eee:riibaf:v:73:y:2025:i:pa:s0275531924003684.

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2025Macroeconomic Determinants of the Interest Rate Term Structure: A Svensson Model Analysis. (2025). Benetti, Cristiane ; Varanda, Jos Monteiro ; Mori, Rogrio. In: Economies. RePEc:gam:jecomi:v:13:y:2025:i:4:p:108-:d:1634862.

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2024Whether The Cr Whether The Crypto Market Is Efficient? E et Is Efficient? Evidence F vidence From Testing The Validity Of The Efficient Market Hypothesis. (2024). OZCAN, Rasim ; Iftikhar, Sundas ; Ul, Asad. In: Bulletin of Monetary Economics and Banking. RePEc:idn:journl:v:27:y:2024:i:1e:p:113-132.

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2024Volatility Interdependence Between Cryptocurrencies, Equity, and Bond Markets. (2024). Bassil, Charbel ; Kassamany, Talie ; Baz, Roland ; Harb, Etienne. In: Computational Economics. RePEc:kap:compec:v:63:y:2024:i:3:d:10.1007_s10614-022-10318-7.

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2024Gauging Demand for Cryptocurrency over the Economic Policy Uncertainty and Stock Market Volatility. (2024). Abdullah, Mohammad Nayeem ; Chowdhury, Emon Kalyan. In: Computational Economics. RePEc:kap:compec:v:64:y:2024:i:1:d:10.1007_s10614-023-10423-1.

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2025An Alternative Approach for Determining the Time-Varying Decay Parameter of the Nelson-Siegel Model. (2025). Lee, Sang-Heon. In: Computational Economics. RePEc:kap:compec:v:65:y:2025:i:5:d:10.1007_s10614-024-10653-x.

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2025Neural Network for Valuing Bitcoin Options Under Jump-Diffusion and Market Sentiment Model. (2025). Pindza, Edson ; Clement, Jules ; Umeorah, Nneka ; Mwambi, Sutene. In: Computational Economics. RePEc:kap:compec:v:66:y:2025:i:3:d:10.1007_s10614-024-10792-1.

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2025Property rights on unused assets and investment incentives: evidence from Brazil. (2025). Vertova, Pietro. In: European Journal of Law and Economics. RePEc:kap:ejlwec:v:59:y:2025:i:3:d:10.1007_s10657-025-09845-z.

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2024Does the Introduction of US Spot Bitcoin ETFs Affect Spot Returns and Volatility of Major Cryptocurrencies?. (2024). GUPTA, RANGAN ; Babalos, Vassilios ; Bouri, Elie. In: Working Papers. RePEc:pre:wpaper:202416.

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2024Cryptocurrency market microstructure: a systematic literature review. (2024). Gonçalves, Tiago ; Almeida, Jos ; Gonalves, Tiago Cruz. In: Annals of Operations Research. RePEc:spr:annopr:v:332:y:2024:i:1:d:10.1007_s10479-023-05627-5.

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2024Influencing cryptocurrency: analyzing celebrity sentiments on X (formerly Twitter) and their impact on bitcoin prices. (2024). Managi, Shunsuke ; Inuduka, Takeshi ; Yokose, Akihito. In: Digital Finance. RePEc:spr:digfin:v:6:y:2024:i:3:d:10.1007_s42521-024-00106-3.

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2024Analyzing swings in Bitcoin returns: a comparative study of the LPPL and sentiment-informed random forest models. (2024). Mazumdar, Somnath ; Gessl, Moritz ; Parra-Moyano, Jose ; Partida, Daniel. In: Digital Finance. RePEc:spr:digfin:v:6:y:2024:i:3:d:10.1007_s42521-024-00110-7.

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2024Time-varying spillovers in high-order moments among cryptocurrencies. (2024). Azimli, Asil. In: Financial Innovation. RePEc:spr:fininn:v:10:y:2024:i:1:d:10.1186_s40854-024-00612-8.

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2024A comparison of cryptocurrency volatility-benchmarking new and mature asset classes. (2024). Lenz, Jimmie ; Brini, Alessio. In: Financial Innovation. RePEc:spr:fininn:v:10:y:2024:i:1:d:10.1186_s40854-024-00646-y.

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2025The risk–return trade-off of Bitcoin: Evidence from regime-switching analysis. (2025). Tsuji, Chikashi. In: Future Business Journal. RePEc:spr:futbus:v:11:y:2025:i:1:d:10.1186_s43093-025-00551-5.

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2024FDI for forestry: an impact evaluation of regional development. (2024). Pereyra, Martn ; Alonso, Cecilia. In: Review of Regional Research: Jahrbuch für Regionalwissenschaft. RePEc:spr:jahrfr:v:44:y:2024:i:1:d:10.1007_s10037-023-00196-3.

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2024On Bubbles in Cryptocurrency Prices. (2024). van Oordt, Maarten. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20240050.

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2024Foreign exchange interventions and monetary policy: evidence from emerging economies. (2024). Thanh, Bui Trung. In: Review of Economic Perspectives. RePEc:vrs:reoecp:v:24:y:2024:i:2-3:p:71-89:n:1002.

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2025Better Politicians, Fewer Deaths? Municipal Resilience in Overcoming the Pandemic Crisis in Italy. (2025). Vidoli, F ; Pignataro, G ; Guccio, C ; Fontana, S. In: Health, Econometrics and Data Group (HEDG) Working Papers. RePEc:yor:hectdg:25/06.

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Márcio Laurini is editor of

Journal
Brazilian Review of Finance

Works by Márcio Laurini:

YearTitleTypeCited
2007Microestrutura Empírica e Mercado - Uma Análise para a Taxa de Cmbio Brl/Us$ Usando Dados de Alta Freqüência In: Business and Economics Working Papers.
[Full Text][Citation analysis]		paper0
2008Exchange Rate Movements and Monetary Policy In Brazil: Econometric and Simulation Evidence In: Business and Economics Working Papers.
[Full Text][Citation analysis]		paper12
2010Exchange rate movements and monetary policy in Brazil: Econometric and simulation evidence.(2010) In: Economic Modelling.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 12		article
2008Empirical Market Microstructure: An Analysis Of The Brl/Us$ Exchange Rate Market Using High-Frequency Data In: Business and Economics Working Papers.
[Full Text][Citation analysis]		paper0
2008Inferência indireta em modelos fracionários de taxas de juros de curto prazo In: Business and Economics Working Papers.
[Full Text][Citation analysis]		paper0
2009Estimação de Equações Diferenciais Estocásticas Usando Verossimilhança Empírica e Mínimo Contraste Generalizado In: Business and Economics Working Papers.
[Full Text][Citation analysis]		paper0
2009Teste de estabilidades dos coeficientes betas do mercado acionário brasileiro In: Business and Economics Working Papers.
[Full Text][Citation analysis]		paper0
2009Uma investigação sobre os Estilos Gerenciais e Riscos de Mercado de Fundos Multimercados Brasileiros In: Business and Economics Working Papers.
[Full Text][Citation analysis]		paper0
2009Estimação de modelos de volatilidade estocástica usando métodos de verossimilhança empírica/mínimo contraste generalizados In: Business and Economics Working Papers.
[Full Text][Citation analysis]		paper0
2009Futuros de Swap de Varincia e Volatilidade Na BM&F - Apreçamento e Viabilidade de Hedge In: Business and Economics Working Papers.
[Full Text][Citation analysis]		paper0
2009Modelos de fatores latentes generalizados para curvas de juros em múltiplos mercados In: Business and Economics Working Papers.
[Full Text][Citation analysis]		paper0
2009Modelos de fatores latentes generalizados para curvas de juros em múltiplos mercados.(2009) In: Working Papers.
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This paper has nother version. Agregated cites: 0		paper
2010Arbitragem na Estrutura a Termo das Taxas de Juros: Uma Abordagem Bayesiana In: Business and Economics Working Papers.
[Full Text][Citation analysis]		paper0
2016MODELO NELSON-SIEGEL COM CONDIÇÕES DE NÃO ARBITRAGEM PARA PREVISÃO DE INFLAÇÃO A PARTIR DO MERCADO DE TÍTULOS BRASILEIRO In: Anais do XLII Encontro Nacional de Economia [Proceedings of the 42nd Brazilian Economics Meeting].
[Full Text][Citation analysis]		paper0
2014A Noisy Principal Component Analysis for Forward Rate Curves In: Papers.
[Full Text][Citation analysis]		paper14
2015A noisy principal component analysis for forward rate curves.(2015) In: European Journal of Operational Research.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 14		article
2016Multivariate Stochastic Volatility-Double Jump Model: an application for oil assets In: Working Papers Series.
[Full Text][Citation analysis]		paper3
2022Spatial heterogeneities, institutions, and income: Evidence for Brazil In: Papers in Regional Science.
[Full Text][Citation analysis]		article4
2016Poverty Elasticity: A Note on a New Empirical Approach In: Review of Income and Wealth.
[Full Text][Citation analysis]		article2
2013A Hybrid Data Cloning Maximum Likelihood Estimator for Stochastic Volatility Models In: Journal of Time Series Econometrics.
[Full Text][Citation analysis]		article0
2012A Hybrid Data Cloning Maximum Likelihood Estimator for Stochastic Volatility Models.(2012) In: IBMEC RJ Economics Discussion Papers.
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This paper has nother version. Agregated cites: 0		paper
2014Lista de Avaliadores - 2014 In: Brazilian Review of Finance.
[Full Text][Citation analysis]		article0
2015List of Reviewers - 2015 In: Brazilian Review of Finance.
[Full Text][Citation analysis]		article0
2016Brazilian Review of Finance 2015 Editorial Report In: Brazilian Review of Finance.
[Full Text][Citation analysis]		article0
2010Variance Swaps in BM&F: Pricing and Viability of Hedge In: Brazilian Review of Finance.
[Full Text][Citation analysis]		article0
2007A note on the use of quantile regression in beta convergence analysis In: Economics Bulletin.
[Full Text][Citation analysis]		article4
2011Bayesian Factor Selection in Dynamic Term Structure Models In: Economics Bulletin.
[Full Text][Citation analysis]		article0
2011Bayesian Factor Selection in Dynamic Term Structure Models.(2011) In: IBMEC RJ Economics Discussion Papers.
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This paper has nother version. Agregated cites: 0		paper
2014The stochastic volatility model with random jumps and its application to BRL/USD exchange rate. In: Economics Bulletin.
[Full Text][Citation analysis]		article1
2004Income Convergence Clubs for Brazilian Municipalities: a Non-Parametric Analysis In: Econometric Society 2004 Latin American Meetings.
[Full Text][Citation analysis]		paper22
2005Income convergence clubs for Brazilian Municipalities: a non-parametric analysis.(2005) In: Applied Economics.
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This paper has nother version. Agregated cites: 22		article
2019Nonlinear dependence in cryptocurrency markets In: The North American Journal of Economics and Finance.
[Full Text][Citation analysis]		article32
2009Conditional stochastic kernel estimation by nonparametric methods In: Economics Letters.
[Full Text][Citation analysis]		article11
2012New evidence on the role of cognitive skill in economic development In: Economics Letters.
[Full Text][Citation analysis]		article6
2010New Evidence on the Role of Cognitive Skill in Economic Development.(2010) In: IBMEC RJ Economics Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 6		paper
2018Volatility and return jumps in bitcoin In: Economics Letters.
[Full Text][Citation analysis]		article109
2004Convergence clubs among Brazilian municipalities In: Economics Letters.
[Full Text][Citation analysis]		article26
2008Empirical market microstructure: An analysis of the BRL/US$ exchange rate market In: Emerging Markets Review.
[Full Text][Citation analysis]		article2
2010Bayesian extensions to Diebold-Li term structure model In: International Review of Financial Analysis.
[Full Text][Citation analysis]		article10
2015A common jump factor stochastic volatility model In: Finance Research Letters.
[Full Text][Citation analysis]		article5
2025Risk assessment from space: Integrating satellite-derived insights for ESG financial decisions In: Finance Research Letters.
[Full Text][Citation analysis]		article0
2010Constrained smoothing B-splines for the term structure of interest rates In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]		article12
2013Indirect Inference in fractional short-term interest rate diffusions In: Mathematics and Computers in Simulation (MATCOM).
[Full Text][Citation analysis]		article2
2019Is Bitcoin a bubble? In: Physica A: Statistical Mechanics and its Applications.
[Full Text][Citation analysis]		article59
2017The spatio-temporal dynamics of ethanol/gasoline price ratio in Brazil In: Renewable and Sustainable Energy Reviews.
[Full Text][Citation analysis]		article6
2016A macro-finance term structure model with multivariate stochastic volatility In: International Review of Economics & Finance.
[Full Text][Citation analysis]		article3
2020The impact of co-jumps in the oil sector In: Research in International Business and Finance.
[Full Text][Citation analysis]		article5
2024Lottery stocks in Brazil: investigating risk premium and investor behavior In: Review of Behavioral Finance.
[Full Text][Citation analysis]		article0
2014Arbitrage in the Term Structure of Interest Rates: a Bayesian Approach In: International Econometric Review (IER).
[Full Text][Citation analysis]		article0
2024Multivariate Stochastic Volatility Modeling via Integrated Nested Laplace Approximations: A Multifactor Extension In: Econometrics.
[Full Text][Citation analysis]		article0
2024Bayesian Inference for Long Memory Stochastic Volatility Models In: Econometrics.
[Full Text][Citation analysis]		article0
2020Tornado Occurrences in the United States: A Spatio-Temporal Point Process Approach In: Econometrics.
[Full Text][Citation analysis]		article0
2023Factor Sufficiency in Asset Pricing: An Application for the Brazilian Market In: IJFS.
[Full Text][Citation analysis]		article0
2023Yield Curve Models with Regime Changes: An Analysis for the Brazilian Interest Rate Market In: Mathematics.
[Full Text][Citation analysis]		article2
2023Estimating the Capital Asset Pricing Model with Many Instruments: A Bayesian Shrinkage Approach In: Mathematics.
[Full Text][Citation analysis]		article0
2019Foreign Exchange Expectation Errors and Filtration Enlargements In: Stats.
[Full Text][Citation analysis]		article1
2022Data Cloning Estimation and Identification of a Medium-Scale DSGE Model In: Stats.
[Full Text][Citation analysis]		article0
2003Long Memory int the R$/US$ Exchange Rate: A Robust Analysis In: Finance Lab Working Papers.
[Full Text][Citation analysis]		paper2
2003Markov Switching Based Nonlinear Tests for Market Efficiency Using the R$/US$ Exchange Rate In: Finance Lab Working Papers.
[Full Text][Citation analysis]		paper2
2007Constrained Smoothing Splines for the Term Structure of Interest Rates In: Insper Working Papers.
[Full Text][Citation analysis]		paper1
2008Empirical Market Microstructure: An Analysis Of The Brl/Us$ Exchange Rate Market Using High-Frequency Data In: Insper Working Papers.
[Full Text][Citation analysis]		paper2
2008Inferência indireta em modelos fracionários de taxas de juros de curto prazo In: Insper Working Papers.
[Full Text][Citation analysis]		paper0
2008Bayesian extensions to diebold-li term structure model In: Insper Working Papers.
[Full Text][Citation analysis]		paper0
2008Exchange Rate Movements and Monetary Policy In Brazil: Econometric and Simulation Evidence In: Insper Working Papers.
[Full Text][Citation analysis]		paper5
2008Funções de Cópula na Precificação de Opções In: Insper Working Papers.
[Full Text][Citation analysis]		paper0
2009Modelos de Fatores Latentes Generalizados para Curvas de Juros em Múltiplos Mercados In: Insper Working Papers.
[Full Text][Citation analysis]		paper0
2009Modelos de Fatores Latentes Generalizados para Curvas de Juros em Múltiplos Mercados In: Insper Working Papers.
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2009Estimação de Equações Diferenciais Estocásticas Usando Verossimilhança Empírica e Mínimo Contraste Generalizado In: Insper Working Papers.
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2009Uma investigação sobre os Estilos Gerenciais e Riscos de Mercado de Fundos Multimercados Brasileiros In: Insper Working Papers.
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2009Futuros de Swap de Variância e Volatilidade Na BM&F - Apreçamento e Viabilidade de Hedge In: Insper Working Papers.
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2009Teste de estabilidades dos coeficientes betas do mercado acionário brasileiro In: Insper Working Papers.
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2009Estimação de modelos de volatilidade estocástica usando métodos de verossimilhança empírica/mínimo constraste generalizados In: Insper Working Papers.
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2010Arbitragem na Estrutura a Termo das Taxas de Juros: Uma Abordagem Bayesiana In: Insper Working Papers.
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2010Inferência Bayesiana Aplicada ao Modelo Dinâmico de Nelson-Siegel com Volatilidade Estocástica nos Fatores In: Insper Working Papers.
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2002Testing Convergence Across Municipalities in Brazil Using Quantile Regression In: Insper Working Papers.
[Full Text][Citation analysis]		paper2
2003Convergence Clubs Among Brazilian Municipalities In: Insper Working Papers.
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2003Clubes de Convergência de Renda para os Municípios Brasileiros: Uma Análise Não-Paramétrica In: Insper Working Papers.
[Full Text][Citation analysis]		paper4
2004Income Convergence Clubs for Brazilian Municipalities: A Non-Parametric Analysis (english version of WPE-6/2003) In: Insper Working Papers.
[Full Text][Citation analysis]		paper0
2007Extensões Bayesianas do Modelo de Estrutura a Termo de Diebold-Li In: Insper Working Papers.
[Full Text][Citation analysis]		paper1
2007Imposing No-Arbitrage Conditions In Implied Volatility Surfaces Using Constrained Smoothing Splines In: Insper Working Papers.
[Full Text][Citation analysis]		paper2
2007Conditional Stochastic Kernel Estimation by Nonparametric Methods In: Insper Working Papers.
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2007Microestrutura Empírica e Mercado - Uma Análise para a Taxa de Câmbio Brl/Us$ Usando Dados de Alta Freqüência In: Insper Working Papers.
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2007A note on the use of quantile regression in beta convergence analysis In: Insper Working Papers.
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2011Forecasting the Term Structure of Interest Rates Using Integrated Nested Laplace Approximations In: IBMEC RJ Economics Discussion Papers.
[Full Text][Citation analysis]		paper1
2014Forecasting the Term Structure of Interest Rates Using Integrated Nested Laplace Approximations.(2014) In: Journal of Forecasting.
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2012Dynamic Functional Data Analysis with Nonparametric State Space Models. In: IBMEC RJ Economics Discussion Papers.
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2014Dynamic functional data analysis with non-parametric state space models.(2014) In: Journal of Applied Statistics.
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2012Generalized Tests of Investment Fund Performance In: IBMEC RJ Economics Discussion Papers.
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2011Generalized Tests of Investment Fund Performance.(2011) In: Brazilian Review of Econometrics.
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2012Some Comments on a Macro-Finance Model with Stochastic Volatility In: IBMEC RJ Economics Discussion Papers.
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2012Bayesian Unit Root Testing in Stochastic Volatility Models Using INLA In: IBMEC RJ Economics Discussion Papers.
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2010Does Ownership Affect the Variability of the Production Process? Evidence from International Courier Services In: Organization Science.
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2020Portfolio Efficiency Tests with Conditioning Information - Comparing GMM and GEL Estimators In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS.
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2025Multivariate Risk Analysis in Cryptocurrency Market: An Optimal Transport Approach In: Computational Economics.
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2017A spatial error model with continuous random effects and an application to growth convergence In: Journal of Geographical Systems.
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2017Implicit Inflation and Risk Premiums in the Brazilian Fixed Income Market In: Emerging Markets Finance and Trade.
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2012Poverty Elasticity- a New Empirical Approach In: Série Textos para Discussão (Working Papers).
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2004Long memory in the R$ / US$ exchange rate: A robust analysis In: Brazilian Review of Econometrics.
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2010Bayesian Inference Applied to Dynamic Nelson-Siegel Model with Stochastic Volatility In: Brazilian Review of Econometrics.
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2012Non-Parametric Pricing of Interest Rates Options In: Brazilian Review of Econometrics.
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2017A continuous spatio-temporal model for house prices in the USA In: The Annals of Regional Science.
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2023Time-varying higher moments in Bitcoin In: Digital Finance.
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2023Bayesian spatio-temporal modeling of real estate launch prices In: Journal of Spatial Econometrics.
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2021Brazilian stock market bubble in the 2010s In: SN Business & Economics.
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2013A Dynamic Econometric Model for Inflationary Inertia In Brazil In: Journal of Statistical and Econometric Methods.
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2011Imposing no‐arbitrage conditions in implied volatilities using constrained smoothing splines In: Applied Stochastic Models in Business and Industry.
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2019A spatio‐temporal approach to estimate patterns of climate change In: Environmetrics.
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2021Spillovers and jumps in global markets: A comparative analysis In: International Journal of Finance & Economics.
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2024Interest Rate Forecasting with Principal Component Analysis Based on Long-Run Covariance Matrix In: Annals of Financial Economics (AFE).
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