Marcelo Fernandes : Citation Profile

Fundação Getúlio Vargas (FGV)

11

H index

11

i10 index

563

Citations

RESEARCH PRODUCTION:

45

Articles

64

Papers

RESEARCH ACTIVITY:

   31 years (1994 - 2025). See details.
   Cites by year: 18
   Journals where Marcelo Fernandes has often published
   Relations with other researchers
   Recent citing documents: 81.    Total self citations: 26 (4.41 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pfe19
   Updated: 2026-05-02    RAS profile: 2026-02-15    
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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 Marcelo Fernandes.

Is cited by:

Hautsch, Nikolaus (16)

Degiannakis, Stavros (9)

Chang, Chia-Lin (9)

Caporale, Guglielmo Maria (7)

Filis, George (7)

Gil-Alana, Luis (7)

Bauwens, Luc (7)

Schienle, Melanie (6)

Malec, Peter (6)

Ongena, Steven (6)

Camara, Boubacar (6)

Cites to:

Engle, Robert (34)

Shleifer, Andrei (27)

Grammig, Joachim (23)

Bollerslev, Tim (23)

Drost, Feike C. (21)

Zingales, Luigi (19)

Hansen, Lars (19)

Diebold, Francis (18)

Lopez-de-Silanes, Florencio (18)

Andersen, Torben (17)

Campbell, John (16)

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

Working Papers Series with more than one paper published# docs
Textos para discusso / FGV EESP - Escola de Economia de So Paulo, Fundao 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 discusso / Department of Economics PUC-Rio (Brazil)2
Discussion Papers / Instituto de Pesquisa Econmica Aplicada - IPEA2

Recent works citing Marcelo Fernandes (2025 and 2024)

YearTitle of citing document
2025Noisy, 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. (2024). Uniejewski, Bartosz. In: Papers. RePEc:arx:papers:2302.00411.

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2025A Quantile Nelson-Siegel model. (2024). Rossini, Luca ; Poon, Aubrey ; Iacopini, Matteo ; Zhu, Dan. In: Papers. RePEc:arx:papers:2401.09874.

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2024An Algebraic Framework for the Modeling of Limit Order Books. (2024). Bleher, Michael. In: Papers. RePEc:arx:papers:2406.04969.

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2024Ranking probabilistic forecasting models with different loss functions. (2024). Uniejewski, Bartosz ; Serafin, Tomasz. In: Papers. RePEc:arx:papers:2411.17743.

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2024Convolution Mode Regression. (2024). Horta, Eduardo ; Finn, Eduardo Schirmer. In: Papers. RePEc:arx:papers:2412.05736.

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2026Robust Quantile Factor Analysis. (2025). Feng, Junlong ; Chen, Songnian. In: Papers. RePEc:arx:papers:2501.15761.

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2026Forecasting the U.S. Treasury Yield Curve: A Distributionally Robust Machine Learning Approach. (2026). Cheng, Ming-Yen ; Liu, Jinjun. In: Papers. RePEc:arx:papers:2601.04608.

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2026A machine learning approach to volatility forecasting. (2026). Veliyev, Bezirgen ; Siggaard, Mathias ; Christensen, Kim. In: Papers. RePEc:arx:papers:2601.13014.

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2026Forecasting duration in high-frequency financial data using a self-exciting flexible residual point process. (2026). Lee, Kyungsub. In: Papers. RePEc:arx:papers:2604.00346.

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2025Lessons on supervisory effectiveness - a literature review. (2025). Bank for International Settlements, . In: BCBS Working Papers. RePEc:bis:bisbcw:45.

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2024Audit 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.

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2024Inside and Outside Information. (2024). Quigley, Daniel ; Walther, Ansgar. In: Journal of Finance. RePEc:bla:jfinan:v:79:y:2024:i:4:p:2667-2714.

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2024Non‐crossing quantile double‐autoregression for the analysis of streaming time series data. (2024). Yu, Keming ; Choy, Siu Kai ; Jiang, Rong. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:45:y:2024:i:4:p:513-532.

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2024A Constrained Dynamic Nelson-Siegel Model for Monetary Policy Analysis. (2024). Yao, Wenying ; Poon, Aubrey ; Cross, Jamie ; Zhu, Dan. In: Working Papers. RePEc:bny:wpaper:0133.

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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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2025Boosting credit risk models. (2025). Baesens, Bart ; Smedts, Kristien. In: The British Accounting Review. RePEc:eee:bracre:v:57:y:2025:i:4:s0890838923000884.

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2024Decoding 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.

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2025Enhanced index tracking: A relative downside risk approach. (2025). Huang, Zeyu ; Liu, Yangyi ; Luo, Ronghua. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:80:y:2025:i:c:s106294082500141x.

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2026Asymptotic inference for Hasbrouck information shares. (2026). Schweikert, Karsten. In: Economics Letters. RePEc:eee:ecolet:v:258:y:2026:i:c:s0165176525005932.

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

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2025Fast inference for quantile regression with tens of millions of observations. (2025). Seo, Myung Hwan ; Liao, Yuan ; Lee, Sokbae ; Shin, Youngki. In: Journal of Econometrics. RePEc:eee:econom:v:249:y:2025:i:pa:s0304407624000198.

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2025Statistical inference for smoothed quantile regression with streaming data. (2025). Xie, Jinhan ; Yan, Xiaodong ; Jiang, Bei ; Kong, Linglong. In: Journal of Econometrics. RePEc:eee:econom:v:249:y:2025:i:pa:s0304407624002756.

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2025Quantile regression with group-level treatments. (2025). Chen, Songnian. In: Journal of Econometrics. RePEc:eee:econom:v:251:y:2025:i:c:s0304407625001332.

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2024The 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.

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2024Forecasting realized volatility: Does anything beat linear models?. (2024). Zevallos, Mauricio ; Rubesam, Alexandre ; Branco, Rafael R. In: Journal of Empirical Finance. RePEc:eee:empfin:v:78:y:2024:i:c:s0927539824000598.

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2025High frequency online inflation and term structure of interest rates: Evidence from China. (2025). Tang, Ke ; Liu, Taoxiong ; Zhang, Tao ; Jiang, Tingfeng. In: Journal of Empirical Finance. RePEc:eee:empfin:v:83:y:2025:i:c:s0927539825000489.

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2024Safe 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.

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2025Short-term forecasting of forward prices in the Brazilian electricity market with a hybrid stochastic-neural network model. (2025). Santos, Eleonora ; Sica, E T ; Albani, V. V. L., ; Moreira, P. S. E., ; Marcavillaca, R T ; Avila, S L ; Geremia, M ; Piovezan, R. P. B., . In: Energy Economics. RePEc:eee:eneeco:v:148:y:2025:i:c:s0140988325004785.

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2025Spotlight on physical risk: Assessing the banks stock reaction to the ECB climate stress test. (2025). Fiordelisi, Franco ; Ricci, Ornella ; Santilli, Gianluca. In: International Review of Financial Analysis. RePEc:eee:finana:v:98:y:2025:i:c:s1057521924008147.

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2024Forecasting crude oil market volatility: A comprehensive look at uncertainty variables. (2024). Zhang, Yaojie ; Wang, Yudong ; He, Mengxi ; Wen, Danyan. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:3:p:1022-1041.

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2025Forecasting interest rates with shifting endpoints: The role of the functional demographic age distribution. (2025). Niu, Linlin ; Hong, Zhiwu ; Chen, Jiazi. In: International Journal of Forecasting. RePEc:eee:intfor:v:41:y:2025:i:1:p:153-174.

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2025Disaggregating VIX. (2025). Degiannakis, Stavros ; Kafousaki, Eleftheria. In: International Journal of Forecasting. RePEc:eee:intfor:v:41:y:2025:i:4:p:1559-1588.

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2025Crowdedness, mispricing, crashes, and spikes. (2025). Ibrahim, Boulis Maher ; Kalaitzoglou, Iordanis Angelos. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:177:y:2025:i:c:s0378426625001050.

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2025Markov switching multiple-equation tensor regressions. (2025). Craiu, Radu V ; Casarin, Roberto ; Wang, Qing. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:208:y:2025:i:c:s0047259x25000223.

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2025Smoothing quantile regression averaging: A new approach to probabilistic forecasting of electricity prices. (2025). Uniejewski, Bartosz. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:39:y:2025:i:c:s2405851325000455.

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2025Does benchmark-driven investment amplify the impact of the global financial cycle on emerging markets?. (2025). Feng, Yun ; Chen, Yang ; Zhang, Zhipeng ; Liu, Qing. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:89:y:2025:i:c:s0927538x2400341x.

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2025Index-tracking rigidity and arbitrage opportunities in MSCI index reconstitutions. (2025). Chang, Xin ; Qian, Shuoge ; Peng, Jiaxin ; Luo, Jiang ; Tan, Choon Wee. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:93:y:2025:i:c:s0927538x25002379.

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2025Forecasting the Brazilian yield curve using macroeconomics expectations and time-varying volatility. (2025). Cordeiro, Werley ; Caldeira, Joao F ; Moura, Guilherme V. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:104:y:2025:i:c:s1062976925001139.

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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). Tseng, Yun-Lan ; Pan, Ging-Ginq. In: International Review of Economics & Finance. RePEc:eee:reveco:v:92:y:2024:i:c:p:563-580.

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2024Do loosened trading rules restore the stock index futures price discovery ability in China?. (2024). Wang, Ziqiao ; Zhao, Yuepeng ; Zhang, Xiaotao. In: International Review of Economics & Finance. RePEc:eee:reveco:v:93:y:2024:i:pb:p:389-397.

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2024Flight-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.

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2024Deciphering asymmetric spillovers in US industries: Insights from higher-order moments. (2024). Shafiullah, Muhammad ; lucey, brian ; Naeem, Muhammad Abubakr ; Senthilkumar, Arunachalam. In: Research in International Business and Finance. RePEc:eee:riibaf:v:70:y:2024:i:pa:s0275531924001065.

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2024Recession 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.

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2025Volatility forecasting and volatility-timing strategies: A machine learning approach. (2025). Ryu, Doojin ; Cho, Hoon ; Chun, Dohyun. In: Research in International Business and Finance. RePEc:eee:riibaf:v:75:y:2025:i:c:s0275531924005166.

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2025Linear and nonlinear econometric models against machine learning models: realized volatility prediction. (2025). Kili, Rehim. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2025-61.

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2025Fed-Driven Systemic Tail Risk: High-Frequency Measurement, Evidence and Implications. (2025). Yang, Xiye ; Neely, Christopher ; Erdemlioglu, Deniz. In: Working Papers. RePEc:fip:fedlwp:96490.

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2024Stock Markets and Stress Test Announcements: Evidence from European Banks. (2024). Daskalakis, Nikolaos ; Karpouzis, Efstathios ; Floros, Christos. In: Economies. RePEc:gam:jecomi:v:12:y:2024:i:7:p:171-:d:1428880.

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2024Forecasting the CBOE VIX and SKEW Indices Using Heterogeneous Autoregressive Models. (2024). Guidolin, Massimo ; Panzeri, Giulia F. In: Forecasting. RePEc:gam:jforec:v:6:y:2024:i:3:p:40-814:d:1478296.

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2025Which Sectoral CDS Can More Effectively Hedge Conventional and Islamic Dow Jones Indices? Evidence from the COVID-19 Outbreak and Bubble Crypto Currency Periods. (2025). Dammak, Fredj Amine ; Ghorbel, Ahmed ; Hachicha, Nejib ; Souai, Semia ; Zghal, Rania. In: Risks. RePEc:gam:jrisks:v:13:y:2025:i:10:p:187-:d:1760527.

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2025An 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.

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2025Which Sectoral CDS Can More Effectively Hedge Conventional and Islamic Dow Jones Indices? Evidence from the COVID-19 Outbreak and Bubble Crypto Currency Periods. (2025). Ghorbel, Ahmed ; Zghal, Rania ; Hachicha, Nejib ; Souai, Semia ; Dammak, Fredj Amine. In: Post-Print. RePEc:hal:journl:hal-05291419.

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2024Banking 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.

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2025Optimal Time Varying Parameters in Yield Curve Modeling and Forecasting: A Simulation Study on BRICS Countries. (2025). Resta, Marina ; Castello, Oleksandr. In: Computational Economics. RePEc:kap:compec:v:65:y:2025:i:4:d:10.1007_s10614-024-10619-z.

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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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2025Predicting Asset Dynamics with Hybrid Bivariate Kernel Density Estimate and Markov Model. (2025). Valakeviius, Eimutis ; Ruzgas, Tomas ; Landauskas, Mantas. In: Computational Economics. RePEc:kap:compec:v:66:y:2025:i:1:d:10.1007_s10614-024-10721-2.

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2025Does the same investment team create value? Evidence from venture capital syndication. (2025). Helbing, Pia ; Yoon, Hyungseok David ; Buchner, Axel ; Mohamed, Abdulkadir. In: Small Business Economics. RePEc:kap:sbusec:v:65:y:2025:i:4:d:10.1007_s11187-025-01058-7.

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2025Market reactions of African and non-African firms to changes in the S&P Africa 40 index. (2025). Afego, Pyemo N ; Biktimirov, Ernest N. In: Journal of Asset Management. RePEc:pal:assmgt:v:26:y:2025:i:4:d:10.1057_s41260-024-00385-w.

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2026The disciplinary effect of banking supervision: is the EU-wide 2023 stress test merely a supervisory formality?. (2026). Fassas, Athanasios ; Tsakalos, Ioannis ; Kenourgios, Dimitris ; Karakostas, Dimitrios. In: Journal of Banking Regulation. RePEc:pal:jbkreg:v:27:y:2026:i:1:d:10.1057_s41261-025-00305-x.

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2026Climate change, risks and ECB strategy: what is the effect on European banks’ stock return?. (2026). Giampaoli, Noemi ; Renghini, Matteo. In: Risk Management. RePEc:pal:risman:v:28:y:2026:i:1:d:10.1057_s41283-025-00187-3.

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2025Modelling 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.

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2025Do commodity assets hedge uncertainties? What we learn from the recent turbulence period?. (2025). Junttila, Juha ; Hasan, Md Bokhtiar ; Hossain, Md Naiem ; Rabbani, Mustafa Raza ; Uddin, Gazi Salah. In: Annals of Operations Research. RePEc:spr:annopr:v:345:y:2025:i:2:d:10.1007_s10479-022-04876-0.

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2025Oil price shocks and the term structure of the US yield curve: a time–frequency analysis of spillovers and risk transmission. (2025). Umar, Zaghum ; Alwahedi, Wafa ; Teplova, Tamara ; Gubareva, Mariya. In: Annals of Operations Research. RePEc:spr:annopr:v:352:y:2025:i:3:d:10.1007_s10479-022-04786-1.

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2025Penalized function-on-function linear quantile regression. (2025). Shang, Han Lin ; Beyaztas, Ufuk ; Saricam, Semanur. In: Computational Statistics. RePEc:spr:compst:v:40:y:2025:i:1:d:10.1007_s00180-024-01494-1.

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2025Does fertility affect growth? Evidence and simulation results from alternative quantile regression estimators. (2025). Marques, Andr M. In: Empirical Economics. RePEc:spr:empeco:v:68:y:2025:i:5:d:10.1007_s00181-024-02707-8.

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2024A 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.

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2026Dynamics among the term spread, stock market volatility forecast, financial market risk and oil price: an empirical analysis. (2026). Ahmed, Haydory Akbar. In: Financial Innovation. RePEc:spr:fininn:v:12:y:2026:i:1:d:10.1186_s40854-025-00862-0.

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2025Targeted prevention of risky deals for improper granular data with deep learning. (2025). Amalanathan, Geetha Mary ; Kari, Venkatram. In: International Journal of System Assurance Engineering and Management. RePEc:spr:ijsaem:v:16:y:2025:i:2:d:10.1007_s13198-024-02646-8.

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2024The second-order bias and mean squared error of quantile regression estimators. (2024). Wang, HE ; Ullah, Aman ; Lee, Tae-Hwy. In: Indian Economic Review. RePEc:spr:inecre:v:59:y:2024:i:1:d:10.1007_s41775-023-00197-6.

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2025Quantile Regression for Longitudinal Functional Data with Application to Feed Intake of Lactating Sows. (2025). Battagliola, Maria Laura ; Srensen, Helle ; Tolver, Anders ; Staicu, Ana-Maria. In: Journal of Agricultural, Biological and Environmental Statistics. RePEc:spr:jagbes:v:30:y:2025:i:1:d:10.1007_s13253-024-00601-5.

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2024Artificial intelligence in Finance: a comprehensive review through bibliometric and content analysis. (2024). Cucculelli, Marco ; Goga, Xhoana ; Bahoo, Salman ; Mondolo, Jasmine. In: SN Business & Economics. RePEc:spr:snbeco:v:4:y:2024:i:2:d:10.1007_s43546-023-00618-x.

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2025Symmetric (h, ϕ)-divergence approach to serial independence testing. (2025). Nezhad, Emad Ashtari. In: Statistical Methods & Applications. RePEc:spr:stmapp:v:34:y:2025:i:4:d:10.1007_s10260-025-00801-4.

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2025An efficient hybrid approach of quantile and expectile regression. (2025). Atanane, Abdellah ; Mkhadri, Abdallah ; Oualkacha, Karim. In: Statistical Papers. RePEc:spr:stpapr:v:66:y:2025:i:6:d:10.1007_s00362-025-01761-3.

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2026Communication-efficient distributed composite quantile regression via convolution smoothing and poisson subsampling. (2026). Liang, Qinghan ; Jin, Jun. In: Statistical Papers. RePEc:spr:stpapr:v:67:y:2026:i:1:d:10.1007_s00362-025-01787-7.

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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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2024The conditional impact of market conditions, volatility and liquidity shocks on the arbitrage opportunities during pre‐COVID and COVID periods. (2024). Tiwari, Aviral ; Lakshmi, Vdmv ; Sisodia, Garima ; Joseph, Anto. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:29:y:2024:i:3:p:3007-3022.

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2025Does financial stability communication affect financial asset prices? Evidence from the Bank of Englands communication experiment. (2025). Jbir, Hamdi. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:30:y:2025:i:2:p:1831-1855.

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2024Constructing density forecasts from quantile regressions: Multimodality in macrofinancial dynamics. (2024). Poon, Aubrey ; Mitchell, James ; Zhu, Dan. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:39:y:2024:i:5:p:790-812.

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2024The term structure of interest rates and economic activity: Evidence from the COVID‐19 pandemic. (2024). laopodis, nikiforos ; Kouretas, Georgios ; Salachas, Evangelos. In: Journal of Forecasting. RePEc:wly:jforec:v:43:y:2024:i:4:p:1018-1041.

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2024VIX option pricing through nonaffine GARCH dynamics and semianalytical formula. (2024). Zhang, Yuanyuan ; Wang, QI ; Liu, Junting. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:44:y:2024:i:7:p:1189-1223.

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Works by Marcelo Fernandes:

YearTitleTypeCited
2014Price discovery in dual-class shares across multiple markets In: CREATES Research Papers.
[Full Text][Citation analysis]		paper13
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: 13		paper
2018Price discovery in dual‐class shares across multiple markets.(2018) In: Journal of Futures Markets.
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This paper has nother version. Agregated cites: 13		article
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]		paper34
2017Smoothing quantile regressions.(2017) In: Textos para discussão.
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This paper has nother version. Agregated cites: 34		paper
2021Smoothing Quantile Regressions.(2021) In: Journal of Business & Economic Statistics.
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This paper has nother version. Agregated cites: 34		article
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.
[Full Text][Citation analysis]		article0
2011Testing for Symmetry and Conditional Symmetry Using Asymmetric Kernels In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper4
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.
[Full Text][Citation analysis]		article0
2014Foreign capital and gender differences in promotions: evidence from large Brazilian manufacturing firms.(2014) In: LSE Research Online Documents on Economics.
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This paper has nother version. Agregated cites: 0		paper
2001A family of autoregressive conditional duration models In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]		paper96
2006A family of autoregressive conditional duration models.(2006) In: Journal of Econometrics.
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This paper has nother version. Agregated cites: 96		article
2002A family of autoregressive conditional duration models.(2002) In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE).
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This paper has nother version. Agregated cites: 96		paper
2003A family of autoregressive conditional duration models.(2003) In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE).
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This paper has nother version. Agregated cites: 96		paper
2004Using Common Features to Construct a Preference-Free Estimator of the Stochastic Discount Factor In: Econometric Society 2004 Latin American Meetings.
[Full Text][Citation analysis]		paper0
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]		article11
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]
This paper has nother version. Agregated cites: 44		paper
2003Nonparametric 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
2000NON-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
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]		article5
2012International market links and volatility transmission In: Journal of Econometrics.
[Full Text][Citation analysis]		article22
2016Anticipatory effects in the FTSE 100 index revisions In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article8
2013Anticipatory effects in the FTSE 100 index revisions.(2013) In: Textos para discussão.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 8		paper
2015Anticipatory Effects in the FTSE 100 Index Revisions.(2015) In: Working Papers.
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This paper has nother version. Agregated cites: 8		paper
2017Forecasting the Brazilian yield curve using forward-looking variables In: International Journal of Forecasting.
[Full Text][Citation analysis]		article7
2016Forecasting the Brazilian Yield Curve Using Forward-Looking Variables.(2016) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 7		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]		article41
2015March 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: 41		paper
2015March 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: 41		paper
2014Modeling and predicting the CBOE market volatility index In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article145
2013Modeling and predicting the CBOE market volatility index.(2013) In: Textos para discussão.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 145		paper
2007Modeling and predicting the CBOE market volatility index.(2007) In: Textos para discussão.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 145		paper
2025The equity premium and the disconnect between uncertainty and volatility: A global perspective In: The Quarterly Review of Economics and Finance.
[Full Text][Citation analysis]		article0
2025Forecasting realized volatility using news flow In: The Quarterly Review of Economics and Finance.
[Full Text][Citation analysis]		article0
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).
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		paper
2021The effect of voting rights on firm value In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]		paper0
2001Economics and literature: an examination of Gulliver’s Travels In: Journal of Economic Studies.
[Full Text][Citation analysis]		article0
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).
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 18		paper
2005Central 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
2000Market Microstructure Models and the Markov Property. In: Economics Working Papers.
[Citation analysis]		paper0
2013Conditional alphas and realized betas In: Textos para discussão.
[Full Text][Citation analysis]		paper2
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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This paper has nother version. Agregated cites: 4		paper
2014Profundidade de mercado na BM&FBovespa In: Textos para discussão.
[Full Text][Citation analysis]		paper0
2014Negociação com informação diferenciada em ADRs da América Latina In: Textos para discussão.
[Full Text][Citation analysis]		paper0
2014The finite-sample size of the BDS test for GARCH standardized residuals In: Textos para discussão.
[Full Text][Citation analysis]		paper3
2012The Finite-Sample Size of the BDS Test for GARCH Standardized Residuals.(2012) In: Brazilian Review of Econometrics.
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This paper has nother version. Agregated cites: 3		article
2014Prêmio por controle no mercado brasileiro In: Textos para discussão.
[Full Text][Citation analysis]		paper0
2014Títulos de dívida corporativa de empresas brasileiras: investir em emissões do mercado interno ou externo? In: Textos para discussão.
[Full Text][Citation analysis]		paper0
2014Os determinantes macroeconômicos da estrutura a termo das expectativas de inflação no Brasil In: Textos para discussão.
[Full Text][Citation analysis]		paper0
2017Disentangling the effect of private and public cash flows on firm value In: Textos para discussão.
[Full Text][Citation analysis]		paper0
2016Disentangling 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
2017Improving on daily measures of price discovery In: Textos para discussão.
[Full Text][Citation analysis]		paper0
2017A dynamic Nelson-Siegel model with forward-looking indicators for the yield curve in the US In: Textos para discussão.
[Full Text][Citation analysis]		paper0
2016A 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
2017Disagreement in inflation forecasts and inflation risk premia in Brazil In: Textos para discussão.
[Full Text][Citation analysis]		paper0
2017Disagreement in Inflation Forecasts and Inflation Risk Premia in Brazil.(2017) In: Brazilian Review of Econometrics.
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This paper has nother version. Agregated cites: 0		article
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]		paper9
2010Nonparametric Entropy-Based Tests of Independence Between Stochastic Processes.(2010) In: Econometric Reviews.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 9		article
2001Testing the Markov property with ultra high frequency financial data In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE).
[Full Text][Citation analysis]		paper0
2004Testing the Markov property with ultra-high frequency financial data.(2004) In: Nova SBE Working Paper Series.
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This paper has nother version. Agregated cites: 0		paper
2002O mecanismo monetário de transmissão na economia brasileira pós-Plano Real In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE).
[Full Text][Citation analysis]		paper1
2002Desempenho 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]		paper1
2004Desempenho de Estimadores de Volatilidade na Bolsa de Valores de São Paulo.(2004) In: Revista Brasileira de Economia - RBE.
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This paper has nother version. Agregated cites: 1		article
2005Estimating the stochastic discount factor without a utility function In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE).
[Full Text][Citation analysis]		paper8
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]		paper5
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).
[Full Text][Citation analysis]		paper6
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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This paper has nother version. Agregated cites: 6		paper
1994A questão da dinmica de preços de ativos financeiros In: Revista Brasileira de Economia - RBE.
[Full Text][Citation analysis]		article0
2005O Mecanismo de Transmissão Monetária na Economia Brasileira Pós-Plano Real In: Revista Brasileira de Economia - RBE.
[Full Text][Citation analysis]		article4
2000Market Microstructure Models and Markov Property In: Finance Lab Working Papers.
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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.
[Full Text][Citation analysis]		article5
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.
[Full Text][Citation analysis]		paper0
2006Are Price Limits on Futures Markets That Cool? Evidence from the Brazilian Mercantile and Futures Exchange In: Working Papers.
[Full Text][Citation analysis]		paper2
2015March Madness in Wall Street: (What) Does the Market Learn from Stress Tests? In: Working Papers.
[Full Text][Citation analysis]		paper26
2015The Government as a Large Shareholder: Impact on Firm Value and Corporate Governance In: Working Papers.
[Full Text][Citation analysis]		paper0
2015Anticipatory Effects in the FTSE 100 Index Revisions In: Working Papers.
[Full Text][Citation analysis]		paper1
2016Forecasting the Brazilian Yield Curve Using Forward-Looking Variables In: Working Papers.
[Full Text][Citation analysis]		paper0
2016Disentangling the Effect of Private and Public Cash Flows on Firm Value In: Working Papers.
[Full Text][Citation analysis]		paper0
1997Um Procedimento Para Análise De Persistência Na Volatilidade In: Brazilian Review of Econometrics.
[Full Text][Citation analysis]		article0
2014Market Depth at the BM&FBovespa In: Brazilian Review of Econometrics.
[Full Text][Citation analysis]		article0
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.
[Full Text][Citation analysis]		article1
2015The Macroeconomic Determinants of the Term Structure of Inflation Expectations in Brazil In: Brazilian Review of Econometrics.
[Full Text][Citation analysis]		article1
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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