10
H index
10
i10 index
516
Citations
Marcelo Fernandes : Citation Profile
Fundação Getúlio Vargas (FGV) | RESEARCH PRODUCTION: 43 Articles 64 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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29 years (1994 - 2023). Relations with other researchers
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Marcelo Fernandes. | Is cited by:
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Main data
Where Marcelo Fernandes has published?
Recent works citing Marcelo Fernandes (2025 and 2024)
Year  | Title of citing document |
|---|---|
| 2024 | Smoothing Quantile Regression Averaging: A new approach to probabilistic forecasting of electricity prices. (2023). Uniejewski, Bartosz. In: Papers. RePEc:arx:papers:2302.00411. Full description at Econpapers || Download paper |
| 2024 | Ranking probabilistic forecasting models with different loss functions. (2024). Uniejewski, Bartosz ; Serafin, Tomasz. In: Papers. RePEc:arx:papers:2411.17743. Full description at Econpapers || Download paper |
| 2024 | Convolution Mode Regression. (2024). Horta, Eduardo ; Finn, Eduardo Schirmer. In: Papers. RePEc:arx:papers:2412.05736. Full description at Econpapers || Download paper |
| 2025 | Robust Quantile Factor Analysis. (2025). Feng, Junlong ; Chen, Songnian. In: Papers. RePEc:arx:papers:2501.15761. Full description at Econpapers || Download paper |
| 2024 | Audit committee oversight and bank financial reporting quality. (2024). Wilson, John ; Chronopoulos, Dimitris K ; Rempoutsika, Lemonia M. In: Journal of Business Finance & Accounting. RePEc:bla:jbfnac:v:51:y:2024:i:1-2:p:657-687. Full description at Econpapers || Download paper |
| 2024 | Inside and Outside Information. (2024). Quigley, Daniel ; Walther, Ansgar. In: Journal of Finance. RePEc:bla:jfinan:v:79:y:2024:i:4:p:2667-2714. Full description at Econpapers || Download paper |
| 2024 | . Full description at Econpapers || Download paper |
| 2024 | Decoding market reactions: The certification role of EU-wide stress tests. (2024). Ongena, Steven ; Marques, Aurea ; Durrani, Agha. In: Economic Modelling. RePEc:eee:ecmode:v:139:y:2024:i:c:s0264999324001858. Full description at Econpapers || Download paper |
| 2024 | Tail 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. Full description at Econpapers || Download paper |
| 2024 | The effects of monetary policy on macroeconomic risk. (2024). Gambetti, Luca ; Forni, Mario ; Maffei-Faccioli, Nicolo ; Sala, Luca. In: European Economic Review. RePEc:eee:eecrev:v:167:y:2024:i:c:s0014292124001181. Full description at Econpapers || Download paper |
| 2024 | Forecasting realized volatility: Does anything beat linear models?. (2024). Rubesam, Alexandre ; Branco, Rafael R ; Zevallos, Mauricio. In: Journal of Empirical Finance. RePEc:eee:empfin:v:78:y:2024:i:c:s0927539824000598. Full description at Econpapers || Download paper |
| 2024 | Safe haven between European ESG and energy sector under Russian-Ukraine war: Role of sustainable investments for portfolio diversification. (2024). Imran, Zulfiqar Ali ; Ahad, Muhammad ; Shahzad, Khurram. In: Energy Economics. RePEc:eee:eneeco:v:138:y:2024:i:c:s0140988324005619. Full description at Econpapers || Download paper |
| 2024 | Size, value and volatility. (2024). Peterburgsky, Stanley. In: International Review of Economics & Finance. RePEc:eee:reveco:v:91:y:2024:i:c:p:752-763. Full description at Econpapers || Download paper |
| 2024 | Do 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. Full description at Econpapers || Download paper |
| 2024 | Flight-to-safety across time and market conditions. (2024). Jalkh, Naji ; Bouri, Elie. In: International Review of Economics & Finance. RePEc:eee:reveco:v:94:y:2024:i:c:s105905602400340x. Full description at Econpapers || Download paper |
| 2024 | Recession fears and stock markets: An application of directional wavelet coherence and a machine learning-based economic agent-determined Google fear index. (2024). Brzeszczyski, Janusz ; Obojska, Lidia ; Charteris, Ailie ; Szczygielski, Jan Jakub. In: Research in International Business and Finance. RePEc:eee:riibaf:v:72:y:2024:i:pa:s0275531924002411. Full description at Econpapers || Download paper |
| 2025 | An IID Test for Functional Time Series with Applications to High-Frequency VIX Index Data. (2025). Siu, Tak Kuen ; Shang, Han Lin ; Huang, Xin. In: Risks. RePEc:gam:jrisks:v:13:y:2025:i:2:p:25-:d:1580573. Full description at Econpapers || Download paper |
| 2024 | Banking on Buffers: Balance Sheet Responses to Household Demand, Macroeconomic Conditions, and Monetary Policy. (2024). Wong, Vivian ; Seiler, Michael ; Doerner, William. In: FHFA Staff Working Papers. RePEc:hfa:wpaper:24-08. Full description at Econpapers || Download paper |
| 2025 | Modelling Sustainable Energy Transition in BRICS+ Countries: A Smoothed Common Correlated Effects Instrumental Variable Quantile Regression Approach. (2025). Abankwah, Stephen ; Afriyie, Samuel Osei. In: MPRA Paper. RePEc:pra:mprapa:123758. Full description at Econpapers || Download paper |
| 2025 | Penalized function-on-function linear quantile regression. (2025). Shang, Hanlin ; Beyaztas, Ufuk ; Saricam, Semanur. In: Computational Statistics. RePEc:spr:compst:v:40:y:2025:i:1:d:10.1007_s00180-024-01494-1. Full description at Econpapers || Download paper |
| 2024 | A hybrid econometrics and machine learning based modeling of realized volatility of natural gas. (2024). Kristjanpoller, Werner. In: Financial Innovation. RePEc:spr:fininn:v:10:y:2024:i:1:d:10.1186_s40854-023-00577-0. Full description at Econpapers || Download paper |
| 2024 | Integrated 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. Full description at Econpapers || Download paper |
Works by Marcelo Fernandes:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2014 | Price discovery in dual-class shares across multiple markets In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 12 |
| 2013 | Price discovery in dual-class shares across multiple markets.(2013) In: Textos para discussão. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 12 | paper | |
| 2018 | Price discovery in dual‐class shares across multiple markets.(2018) In: Journal of Futures Markets. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 12 | article | |
| 2016 | Component shares in continuous time In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 0 |
| 2007 | FOREIGN CAPITAL AND GENDER DIFFERENCES IN PROMOTIONS: EVIDENCE FROM THE BRAZILIAN TRANSFORMATION INDUSTRY In: Anais do XXXV Encontro Nacional de Economia [Proceedings of the 35th Brazilian Economics Meeting]. [Full Text][Citation analysis] | paper | 0 |
| 2019 | Smoothing quantile regressions In: Papers. [Full Text][Citation analysis] | paper | 24 |
| 2017 | Smoothing quantile regressions.(2017) In: Textos para discussão. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 24 | paper | |
| 2021 | Smoothing Quantile Regressions.(2021) In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 24 | article | |
| 2021 | The effect of voting rights on firm value In: International Review of Finance. [Full Text][Citation analysis] | article | 1 |
| 2021 | The effect of voting rights on firm value.(2021) In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
| 2021 | Extensions to the invariance property of maximum likelihood estimation for affine‐transformed state‐space models In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 0 |
| 2011 | Testing for Symmetry and Conditional Symmetry Using Asymmetric Kernels In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 4 |
| 2015 | Testing for symmetry and conditional symmetry using asymmetric kernels.(2015) In: Annals of the Institute of Statistical Mathematics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | article | |
| 2014 | Foreign Capital and Gender Differences in Promotions: Evidence From Large Brazilian Manufacturing Firms In: Economía Journal. [Full Text][Citation analysis] | article | 0 |
| 2014 | Foreign capital and gender differences in promotions: evidence from large Brazilian manufacturing firms.(2014) In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2001 | A family of autoregressive conditional duration models In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 94 |
| 2006 | A family of autoregressive conditional duration models.(2006) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 94 | article | |
| 2002 | A family of autoregressive conditional duration models.(2002) In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE). [Full Text][Citation analysis] This paper has nother version. Agregated cites: 94 | paper | |
| 2003 | A family of autoregressive conditional duration models.(2003) In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE). [Full Text][Citation analysis] This paper has nother version. Agregated cites: 94 | paper | |
| 2004 | Using Common Features to Construct a Preference-Free Estimator of the Stochastic Discount Factor In: Econometric Society 2004 Latin American Meetings. [Full Text][Citation analysis] | paper | 0 |
| 2019 | A dynamic Nelson–Siegel model with forward-looking macroeconomic factors for the yield curve in the US In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 5 |
| 2006 | Financial crashes as endogenous jumps: estimation, testing and forecasting In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 8 |
| 2005 | A multivariate conditional autoregressive range model In: Economics Letters. [Full Text][Citation analysis] | article | 18 |
| 2005 | Nonparametric specification tests for conditional duration models In: Journal of Econometrics. [Full Text][Citation analysis] | article | 44 |
| 2000 | Non-Parametric Specification Tests for Conditional Duration Models..(2000) In: Economics Working Papers. [Citation analysis] This paper has nother version. Agregated cites: 44 | paper | |
| 2003 | Nonparametric specification tests for conditional duration models.(2003) In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE). [Full Text][Citation analysis] This paper has nother version. Agregated cites: 44 | paper | |
| 2000 | NON-PARAMETRIC SPECIFICATION TESTS FOR CONDITIONAL DURATION MODELS.(2000) In: Computing in Economics and Finance 2000. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 44 | paper | |
| 2007 | Semiparametric methods in econometrics In: Journal of Econometrics. [Full Text][Citation analysis] | article | 1 |
| 2007 | Testing the Markov property with high frequency data In: Journal of Econometrics. [Full Text][Citation analysis] | article | 3 |
| 2012 | International market links and volatility transmission In: Journal of Econometrics. [Full Text][Citation analysis] | article | 22 |
| 2016 | Anticipatory effects in the FTSE 100 index revisions In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 5 |
| 2013 | Anticipatory effects in the FTSE 100 index revisions.(2013) In: Textos para discussão. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | paper | |
| 2015 | Anticipatory Effects in the FTSE 100 Index Revisions.(2015) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | paper | |
| 2017 | Forecasting the Brazilian yield curve using forward-looking variables In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 3 |
| 2016 | Forecasting the Brazilian Yield Curve Using Forward-Looking Variables.(2016) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | paper | |
| 2022 | A panel-based proxy for gun prevalence in US and Mexico In: International Review of Law and Economics. [Full Text][Citation analysis] | article | 0 |
| 2020 | March madness in Wall Street: (What) does the market learn from stress tests? In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 35 |
| 2015 | March Madness in Wall Street: (What) Does the Market Learn from Stress Tests?.(2015) In: IMF Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 35 | paper | |
| 2015 | March Madness in Wall Street: (What) Does the Market Learn from Stress Tests?.(2015) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 35 | paper | |
| 2014 | Modeling and predicting the CBOE market volatility index In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 134 |
| 2013 | Modeling and predicting the CBOE market volatility index.(2013) In: Textos para discussão. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 134 | paper | |
| 2007 | Modeling and predicting the CBOE market volatility index.(2007) In: Textos para discussão. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 134 | paper | |
| 2004 | Bounds for the probability distribution function of the linear ACD process In: Statistics & Probability Letters. [Full Text][Citation analysis] | article | 1 |
| 2003 | Bounds for the probability distribution function of the linear ACD process.(2003) In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE). [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
| 2001 | Economics and literature: an examination of Gulliver’s Travels In: Journal of Economic Studies. [Full Text][Citation analysis] | article | 0 |
| 2000 | Central Limit Theorem for Asymmetric Kernel Functionals. In: Economics Working Papers. [Citation analysis] | paper | 18 |
| 2004 | Central limit theorem for asymmetric kernel functionals.(2004) In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE). [Full Text][Citation analysis] This paper has nother version. Agregated cites: 18 | paper | |
| 2005 | Central limit theorem for asymmetric kernel functionals.(2005) In: Annals of the Institute of Statistical Mathematics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 18 | article | |
| 2000 | Market Microstructure Models and the Markov Property. In: Economics Working Papers. [Citation analysis] | paper | 0 |
| 2000 | Market Microstructure Models and Markov Property.(2000) In: Finance Lab Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2013 | Conditional alphas and realized betas In: Textos para discussão. [Full Text][Citation analysis] | paper | 2 |
| 2013 | A (semi-)parametric functional coefficient autoregressive conditional duration model In: Textos para discussão. [Full Text][Citation analysis] | paper | 4 |
| 2006 | A (semi-)parametric functional coefficient autoregressive conditional duration model.(2006) In: Textos para discussão. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | paper | |
| 2014 | Profundidade de mercado na BM&FBovespa In: Textos para discussão. [Full Text][Citation analysis] | paper | 0 |
| 2014 | Negociação com informação diferenciada em ADRs da América Latina In: Textos para discussão. [Full Text][Citation analysis] | paper | 0 |
| 2014 | The finite-sample size of the BDS test for GARCH standardized residuals In: Textos para discussão. [Full Text][Citation analysis] | paper | 3 |
| 2012 | The Finite-Sample Size of the BDS Test for GARCH Standardized Residuals.(2012) In: Brazilian Review of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | article | |
| 2014 | Prêmio por controle no mercado brasileiro In: Textos para discussão. [Full Text][Citation analysis] | paper | 0 |
| 2014 | Títulos de dívida corporativa de empresas brasileiras: investir em emissões do mercado interno ou externo? In: Textos para discussão. [Full Text][Citation analysis] | paper | 0 |
| 2014 | Os determinantes macroeconômicos da estrutura a termo das expectativas de inflação no Brasil In: Textos para discussão. [Full Text][Citation analysis] | paper | 0 |
| 2017 | Disentangling the effect of private and public cash flows on firm value In: Textos para discussão. [Full Text][Citation analysis] | paper | 0 |
| 2016 | Disentangling the Effect of Private and Public Cash Flows on Firm Value.(2016) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2017 | Improving on daily measures of price discovery In: Textos para discussão. [Full Text][Citation analysis] | paper | 0 |
| 2017 | A dynamic Nelson-Siegel model with forward-looking indicators for the yield curve in the US In: Textos para discussão. [Full Text][Citation analysis] | paper | 0 |
| 2016 | A dynamic Nelson-Siegel model with forward-looking indicators for the yield curve in the US.(2016) In: Working Papers, Department of Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2017 | Disagreement in inflation forecasts and inflation risk premia in Brazil In: Textos para discussão. [Full Text][Citation analysis] | paper | 0 |
| 2017 | Disagreement in Inflation Forecasts and Inflation Risk Premia in Brazil.(2017) In: Brazilian Review of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
| 2017 | The government as a large shareholder: impact on corporate governance In: Textos para discussão. [Full Text][Citation analysis] | paper | 4 |
| 2001 | Nonparametric entropy-based tests of independence between stochastic processes In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE). [Full Text][Citation analysis] | paper | 8 |
| 2010 | Nonparametric Entropy-Based Tests of Independence Between Stochastic Processes.(2010) In: Econometric Reviews. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 8 | article | |
| 2001 | Testing the Markov property with ultra high frequency financial data In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE). [Full Text][Citation analysis] | paper | 0 |
| 2004 | Testing the Markov property with ultra-high frequency financial data.(2004) In: Nova SBE Working Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2002 | O mecanismo monetário de transmissão na economia brasileira pós-Plano Real In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE). [Full Text][Citation analysis] | paper | 1 |
| 2002 | Desempenho de estimadores de volatilidade na Bolsa de Valores de São Paulo In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE). [Full Text][Citation analysis] | paper | 1 |
| 2004 | Desempenho de Estimadores de Volatilidade na Bolsa de Valores de São Paulo.(2004) In: Revista Brasileira de Economia - RBE. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | article | |
| 2005 | Estimating the stochastic discount factor without a utility function In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE). [Full Text][Citation analysis] | paper | 8 |
| 2006 | A stochastic discount factor approach to asset pricing using panel data In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE). [Full Text][Citation analysis] | paper | 4 |
| 2006 | Are price limits on futures markets that cool?: evidence from the Brazilian Mercantile and Futures Exchange In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE). [Full Text][Citation analysis] | paper | 6 |
| Are price limits on futures markets that cool? Evidence from the Brazilian Mercantile and Futures Exchange.() In: Journal of Financial Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | article | ||
| 2006 | Are Price Limits on Futures Markets That Cool? Evidence from the Brazilian Mercantile and Futures Exchange.(2006) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | paper | |
| 1994 | A questão da dinmica de preços de ativos financeiros In: Revista Brasileira de Economia - RBE. [Full Text][Citation analysis] | article | 0 |
| 2005 | O Mecanismo de Transmissão Monetária na Economia Brasileira Pós-Plano Real In: Revista Brasileira de Economia - RBE. [Full Text][Citation analysis] | article | 4 |
| 2009 | Capital Estrangeiro e Diferenciais de Gênero nas Promoções: Evidências da Indústria de Transformação Brasileira In: Discussion Papers. [Full Text][Citation analysis] | paper | 1 |
| 2016 | Armas de Fogo e SuicÃdios In: Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
| 2019 | A Panel-based Proxy for Gun Prevalence in the US In: NBER Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2021 | Price Discovery in a Continuous-Time Setting* In: Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 5 |
| 2019 | Price discovery in a continuous-time setting.(2019) In: University of East Anglia School of Economics Working Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | paper | |
| 2015 | The Government as a Large Shareholder: Impact on Firm Value and Corporate Governance In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2006 | Are Price Limits on Futures Markets That Cool? Evidence from the Brazilian Mercantile and Futures Exchange In: Working Papers. [Full Text][Citation analysis] | paper | 2 |
| 2015 | March Madness in Wall Street: (What) Does the Market Learn from Stress Tests? In: Working Papers. [Full Text][Citation analysis] | paper | 26 |
| 2015 | The Government as a Large Shareholder: Impact on Firm Value and Corporate Governance In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2015 | Anticipatory Effects in the FTSE 100 Index Revisions In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2016 | Forecasting the Brazilian Yield Curve Using Forward-Looking Variables In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2016 | Disentangling the Effect of Private and Public Cash Flows on Firm Value In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 1997 | Um Procedimento Para Análise De Persistência Na Volatilidade In: Brazilian Review of Econometrics. [Full Text][Citation analysis] | article | 0 |
| 2014 | Market Depth at the BM&FBovespa In: Brazilian Review of Econometrics. [Full Text][Citation analysis] | article | 0 |
| 2014 | Voting Premium in the Brazilian Equity Market In: Brazilian Review of Econometrics. [Full Text][Citation analysis] | article | 0 |
| 2014 | Brazilian Corporate Debt Issuance: Should You Invest in Local or International Bonds? In: Brazilian Review of Econometrics. [Full Text][Citation analysis] | article | 1 |
| 2015 | The Macroeconomic Determinants of the Term Structure of Inflation Expectations in Brazil In: Brazilian Review of Econometrics. [Full Text][Citation analysis] | article | 1 |
| 2020 | The efficiency of risk sharing between UK and US: Robust estimation and calibration under market incompleteness In: Brazilian Review of Econometrics. [Full Text][Citation analysis] | article | 0 |
| 2021 | What Drives the Nominal Yield Curve in Brazil? In: Brazilian Review of Econometrics. [Full Text][Citation analysis] | article | 0 |
| 2022 | Tail risk exposures of hedge funds: Evidence from unique Brazilian data In: Brazilian Review of Econometrics. [Full Text][Citation analysis] | article | 0 |
| 2018 | Guns and Suicides In: The American Statistician. [Full Text][Citation analysis] | article | 0 |
| 2016 | A (Semi)Parametric Functional Coefficient Logarithmic Autoregressive Conditional Duration Model In: Econometric Reviews. [Full Text][Citation analysis] | article | 1 |
| 2003 | Testing for a flexible non-linear link between short-term Eurorates and spreads In: The European Journal of Finance. [Full Text][Citation analysis] | article | 0 |
| 2020 | Testing for Jump Spillovers Without Testing for Jumps In: Journal of the American Statistical Association. [Full Text][Citation analysis] | article | 1 |
| 2023 | Diffuse Kalman filtering with linear constraints on the state parameters In: Communications in Statistics - Theory and Methods. [Full Text][Citation analysis] | article | 0 |
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