Marcelo Fernandes
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Marcelo |
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Fernandes |
Identifer
Contact
Affiliations
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Fundação Getúlio Vargas (FGV)
/ Escola de Economia de São Paulo (EESP)
Research profile
author of:
- Price discovery in dual-class shares across multiple markets (RePEc:aah:create:2014-10)
by Marcelo Fernandes & Cristina M. Scherrer - Component shares in continuous time (RePEc:aah:create:2016-25)
by Gustavo Fruet Dias & Marcelo Fernandes & Cristina M. Scherrer - Foreign Capital And Gender Differences In Promotions: Evidence From The Brazilian Transformation Industry (RePEc:anp:en2007:167)
by Danilo Coelho & Marcelo Fernandes & Miguel Nathan Foguel - Smoothing quantile regressions (RePEc:arx:papers:1905.08535)
by Marcelo Fernandes & Emmanuel Guerre & Eduardo Horta - The effect of voting rights on firm value (RePEc:bla:irvfin:v:21:y:2021:i:3:p:1106-1111)
by Cristina Mabel Scherrer & Marcelo Fernandes - Extensions to the invariance property of maximum likelihood estimation for affine‐transformed state‐space models (RePEc:bla:jtsera:v:42:y:2021:i:3:p:355-371)
by Adrian Pizzinga & Marcelo Fernandes - Testing for Symmetry and Conditional Symmetry Using Asymmetric Kernels (RePEc:chf:rpseri:rp1132)
by Marcelo FERNANDES & Eduardo F. MENDES & Olivier SCAILLET - Foreign Capital and Gender Differences in Promotions: Evidence From Large Brazilian Manufacturing Firms (RePEc:col:000425:010921)
by Danilo Coelho & Miguel N. Foguel & Marcelo Fernandes - A family of autoregressive conditional duration models (RePEc:cor:louvco:2001036)
by FERNANDES, Marcelo & GRAMMIG, Joachim - Using Common Features to Construct a Preference-Free Estimator of the Stochastic Discount Factor (RePEc:ecm:latm04:134)
by Fabio Araujo & Marcelo Fernandes e João Victor Issler - A dynamic Nelson–Siegel model with forward-looking macroeconomic factors for the yield curve in the US (RePEc:eee:dyncon:v:106:y:2019:i:c:4)
by Fernandes, Marcelo & Vieira, Fausto - Financial crashes as endogenous jumps: estimation, testing and forecasting (RePEc:eee:dyncon:v:30:y:2006:i:1:p:111-141)
by Fernandes, Marcelo - A multivariate conditional autoregressive range model (RePEc:eee:ecolet:v:86:y:2005:i:3:p:435-440)
by Fernandes, Marcelo & de Sa Mota, Bernardo & Rocha, Guilherme - Nonparametric specification tests for conditional duration models (RePEc:eee:econom:v:127:y:2005:i:1:p:35-68)
by Fernandes, Marcelo & Grammig, Joachim - A family of autoregressive conditional duration models (RePEc:eee:econom:v:130:y:2006:i:1:p:1-23)
by Fernandes, Marcelo & Grammig, Joachim - Semiparametric methods in econometrics (RePEc:eee:econom:v:141:y:2007:i:1:p:1-4)
by Fernandes, Marcelo & Linton, Oliver & Scaillet, Olivier - Testing the Markov property with high frequency data (RePEc:eee:econom:v:141:y:2007:i:1:p:44-64)
by Amaro de Matos, Joao & Fernandes, Marcelo - International market links and volatility transmission (RePEc:eee:econom:v:170:y:2012:i:1:p:117-141)
by Corradi, Valentina & Distaso, Walter & Fernandes, Marcelo - Anticipatory effects in the FTSE 100 index revisions (RePEc:eee:empfin:v:37:y:2016:i:c:p:79-90)
by Fernandes, Marcelo & Mergulhão, João - Forecasting the Brazilian yield curve using forward-looking variables (RePEc:eee:intfor:v:33:y:2017:i:1:p:121-131)
by Vieira, Fausto & Fernandes, Marcelo & Chague, Fernando - A panel-based proxy for gun prevalence in US and Mexico (RePEc:eee:irlaec:v:71:y:2022:i:c:s0144818822000369)
by Cerqueira, Daniel & Coelho, Danilo & Donohue, John J. & Fernandes, Marcelo & Junior, Jony Pinto - March madness in Wall Street: (What) does the market learn from stress tests? (RePEc:eee:jbfina:v:112:y:2020:i:c:s0378426617302753)
by Fernandes, Marcelo & Igan, Deniz & Pinheiro, Marcelo - Modeling and predicting the CBOE market volatility index (RePEc:eee:jbfina:v:40:y:2014:i:c:p:1-10)
by Fernandes, Marcelo & Medeiros, Marcelo C. & Scharth, Marcel - Bounds for the probability distribution function of the linear ACD process (RePEc:eee:stapro:v:68:y:2004:i:2:p:169-176)
by Fernandes, Marcelo - Economics and literature: an examination of Gulliver’s Travels (RePEc:eme:jespps:eum0000000005429)
by Marcelo Fernandes - Central Limit Theorem for Asymmetric Kernel Functionals (RePEc:eui:euiwps:eco2000/1)
by Fernandes, M. - Market Microstructure Models and the Markov Property (RePEc:eui:euiwps:eco2000/19)
by Amaro de Matos, J. & Fernandes, M. - Non-Parametric Specification Tests for Conditional Duration Models (RePEc:eui:euiwps:eco2000/4)
by Fernandes, M. & Grammig, J. - Conditional alphas and realized betas (RePEc:fgv:eesptd:341)
by Corradi, Valentina & Distaso, Walter & Fernandes, Marcelo - Modeling and predicting the CBOE market volatility index (RePEc:fgv:eesptd:342)
by Fernandes, Marcelo & Medeiros, Marcelo C. & Scharth, Marcel - A (semi-)parametric functional coefficient autoregressive conditional duration model (RePEc:fgv:eesptd:343)
by Fernandes, Marcelo & Medeiros, Marcelo C. & Veiga, Alvaro - Price discovery in dual-class shares across multiple markets (RePEc:fgv:eesptd:344)
by Fernandes, Marcelo & Scherrer, Cristina Mabel - Anticipatory effects in the FTSE 100 index revisions (RePEc:fgv:eesptd:345)
by Fernandes, Marcelo & Mergulhão, João de Mendonça - Profundidade de mercado na BM&FBovespa (RePEc:fgv:eesptd:359)
by Barros, Carlos Felipe & Fernandes, Marcelo - Negociação com informação diferenciada em ADRs da América Latina (RePEc:fgv:eesptd:360)
by Bopp, Eduardo & Fernandes, Marcelo - The finite-sample size of the BDS test for GARCH standardized residuals (RePEc:fgv:eesptd:361)
by Fernandes, Marcelo & Preumont, Pierre-Yves - Prêmio por controle no mercado brasileiro (RePEc:fgv:eesptd:362)
by Souza, Vitor Frango de & Fernandes, Marcelo - Títulos de dívida corporativa de empresas brasileiras: investir em emissões do mercado interno ou externo? (RePEc:fgv:eesptd:363)
by Nunes, Ricardo Machado & Fernandes, Marcelo - Os determinantes macroeconômicos da estrutura a termo das expectativas de inflação no Brasil (RePEc:fgv:eesptd:364)
by Thiele, Eduardo & Fernandes, Marcelo - Disentangling the effect of private and public cash flows on firm value (RePEc:fgv:eesptd:443)
by Scherrer, Cristina Mabel & Fernandes, Marcelo - Improving on daily measures of price discovery (RePEc:fgv:eesptd:444)
by Dias, Gustavo Fruet & Fernandes, Marcelo & Scherrer, Cristina Mabel - A dynamic Nelson-Siegel model with forward-looking indicators for the yield curve in the US (RePEc:fgv:eesptd:445)
by Vieira, Fausto José Araújo & Chague, Fernando Daniel & Fernandes, Marcelo - Disagreement in inflation forecasts and inflation risk premia in Brazil (RePEc:fgv:eesptd:453)
by Doi, Jonas Takayuki & Fernandes, Marcelo & Nunes, Clemens V. de Azevedo - Smoothing quantile regressions (RePEc:fgv:eesptd:457)
by Fernandes, Marcelo & Guerre, Emmanuel & Horta, Eduardo - The government as a large shareholder: impact on corporate governance (RePEc:fgv:eesptd:458)
by Fernandes, Marcelo & Novaes, Walter - Nonparametric entropy-based tests of independence between stochastic processes (RePEc:fgv:epgewp:413)
by Fernandes, Marcelo - Testing the Markov property with ultra high frequency financial data (RePEc:fgv:epgewp:414)
by Matos, João Manuel Gonçalves Amaro de & Fernandes, Marcelo - A family of autoregressive conditional duration models (RePEc:fgv:epgewp:440)
by Fernandes, Marcelo & Grammig, Joachim - O mecanismo monetário de transmissão na economia brasileira pós-Plano Real (RePEc:fgv:epgewp:443)
by Fernandes, Marcelo & Toro, Juan - Desempenho de estimadores de volatilidade na Bolsa de Valores de São Paulo (RePEc:fgv:epgewp:458)
by Fernandes, Marcelo & Mota, Bernardo de Sá - Bounds for the probability distribution function of the linear ACD process (RePEc:fgv:epgewp:488)
by Fernandes, Marcelo - A family of autoregressive conditional duration models (RePEc:fgv:epgewp:501)
by Fernandes, Marcelo & Grammig, Joachim - Nonparametric specification tests for conditional duration models (RePEc:fgv:epgewp:502)
by Fernandes, Marcelo & Grammig, Joachim - Central limit theorem for asymmetric kernel functionals (RePEc:fgv:epgewp:522)
by Fernandes, Marcelo & Monteiro, Paulo Klinger - Estimating the stochastic discount factor without a utility function (RePEc:fgv:epgewp:583)
by Araújo, Fabio & Issler, João Victor & Fernandes, Marcelo - A stochastic discount factor approach to asset pricing using panel data (RePEc:fgv:epgewp:628)
by Araújo, Fabio & Issler, João Victor & Fernandes, Marcelo - Are price limits on futures markets that cool?: evidence from the Brazilian Mercantile and Futures Exchange (RePEc:fgv:epgewp:630)
by Fernandes, Marcelo & Rocha, Marco Aurélio dos Santos - A questão da dinâmica de preços de ativos financeiros (RePEc:fgv:epgrbe:v:48:y:1994:i:2:a:601)
by Fernandes, Marcelo & Gleiser, Ilan - Desempenho de Estimadores de Volatilidade na Bolsa de Valores de São Paulo (RePEc:fgv:epgrbe:v:58:y:2004:i:3:a:884)
by Mota, Bernardo de Sá & Fernandes, Marcelo - O Mecanismo de Transmissão Monetária na Economia Brasileira Pós-Plano Real (RePEc:fgv:epgrbe:v:59:y:2005:i:1:a:891)
by Fernandes, Marcelo & Toro, Juan - Market Microstructure Models and Markov Property (RePEc:ibm:finlab:flwp_29)
by Matos, J. A. & Fernandes, M. - March Madness in Wall Street: (What) Does the Market Learn from Stress Tests? (RePEc:imf:imfwpa:2015/271)
by Marcelo Fernandes & Ms. Deniz O Igan & Marcelo Pinheiro - Capital Estrangeiro e Diferenciais de Gênero nas Promoções: Evidências da Indústria de Transformação Brasileira (RePEc:ipe:ipetds:1447)
by Danilo Coelho & Marcelo Fernandes e Miguel N. Foguel - Armas de Fogo e Suicídios (RePEc:ipe:ipetds:2254)
by Daniel Cerqueira & Danilo Santa Cruz Coelho & Marcelo Fernandes & Jony Pinto Junior - A Panel-based Proxy for Gun Prevalence in the US (RePEc:nbr:nberwo:25530)
by Daniel Cerqueira & Danilo Santa Cruz Coelho & John J. Donohue & Marcelo Fernandes & Jony Arrais Pinto Jr. - Price Discovery in a Continuous-Time Setting
[Price Discovery and Common Factor Models] (RePEc:oup:jfinec:v:19:y:2021:i:5:p:985-1008.)
by Gustavo F. Dias & Marcelo Fernandes & Cristina M. Scherrer - Are price limits on futures markets that cool? Evidence from the Brazilian Mercantile and Futures Exchange (RePEc:oup:jfinec:v:5:y::i:2:p:219-242)
by Marcelo Fernandes & Marco Aurélio Dos Santos Rocha - Are Price Limits on Futures Markets That Cool? Evidence from the Brazilian Mercantile and Futures Exchange (RePEc:qmw:qmwecw:579)
by Marcelo Fernandes & Marco Aurélio dos Santos Rocha - March Madness in Wall Street: (What) Does the Market Learn from Stress Tests? (RePEc:qmw:qmwecw:771)
by Marcelo Fernandes & Deniz Igan & Marcelo Pinheiro - The Government as a Large Shareholder: Impact on Firm Value and Corporate Governance (RePEc:qmw:qmwecw:772)
by Marcelo Fernandes & Walter Novaes - Anticipatory Effects in the FTSE 100 Index Revisions (RePEc:qmw:qmwecw:773)
by Marcelo Fernandes & João Mergulhão - Forecasting the Brazilian Yield Curve Using Forward-Looking Variables (RePEc:qmw:qmwecw:799)
by Fausto Vieira & Fernando Chague & Marcelo Fernandes - Disentangling the Effect of Private and Public Cash Flows on Firm Value (RePEc:qmw:qmwecw:800)
by Cristina Mabel Scherrer & Marcelo Fernandes - Unknown item RePEc:qmw:qmwecw:wp579 (paper)
- Unknown item RePEc:qmw:qmwecw:wp771 (paper)
- Unknown item RePEc:qmw:qmwecw:wp772 (paper)
- Unknown item RePEc:qmw:qmwecw:wp773 (paper)
- Unknown item RePEc:qmw:qmwecw:wp799 (paper)
- Unknown item RePEc:qmw:qmwecw:wp800 (paper)
- A (semi-)parametric functional coefficient autoregressive conditional duration model (RePEc:rio:texdis:535)
by Marcelo Fernandes & Marcelo Cunha Medeiros & Alvaro Veiga - Modeling and predicting the CBOE market volatility index (RePEc:rio:texdis:548)
by Marcelo Fernandes & Marcelo Cunha Medeiros & MArcelo Scharth - Um Procedimento Para Análise De Persistência Na Volatilidade (RePEc:sbe:breart:v:17:y:1997:i:1:a:2869)
by Fernandes, Marcelo & Monteiro, Marcos de Bustamante - The Finite-Sample Size of the BDS Test for GARCH Standardized Residuals (RePEc:sbe:breart:v:32:y:2012:i:2:a:18608)
by Fernandes, Marcelo & Preumont, Pierre-Yves - Market Depth at the BM&FBovespa (RePEc:sbe:breart:v:34:y:2014:i:1:a:17457)
by Fernandes, Marcelo & Barros, Carlos Felipe - Voting Premium in the Brazilian Equity Market (RePEc:sbe:breart:v:34:y:2014:i:1:a:18106)
by Fernandes, Marcelo & Frango de Souza, Vitor - Brazilian Corporate Debt Issuance: Should You Invest in Local or International Bonds? (RePEc:sbe:breart:v:34:y:2014:i:2:a:17511)
by Fernandes, Marcelo & Nunes, Ricardo - The Macroeconomic Determinants of the Term Structure of Inflation Expectations in Brazil (RePEc:sbe:breart:v:35:y:2015:i:1:a:17002)
by Fernandes, Marcelo & Thiele, Eduardo - Disagreement in Inflation Forecasts and Inflation Risk Premia in Brazil (RePEc:sbe:breart:v:37:y:2017:i:1:a:57700)
by Nunes, Clemens Vinicius & Doi, Jonas & Fernandes, Marcelo - The efficiency of risk sharing between UK and US: Robust estimation and calibration under market incompleteness (RePEc:sbe:breart:v:39:y:2020:i:2:a:79007)
by Fernandes, Marcelo & Vieira Filho, Jose Gil - What Drives the Nominal Yield Curve in Brazil? (RePEc:sbe:breart:v:40:y:2021:i:2:a:79438)
by Fernandes, Marcelo & Nunes, Clemens & Reis, Yuri - Tail risk exposures of hedge funds: Evidence from unique Brazilian data (RePEc:sbe:breart:v:41:y:2022:i:1:a:84411)
by Almeida, Caio & Fernandes, Marcelo & Valente, Joao Paulo - Non-Parametric Specification Tests For Conditional Duration Models (RePEc:sce:scecf0:40)
by Marcelo Fernandes & Joachim Grammig - A dynamic Nelson-Siegel model with forward-looking indicators for the yield curve in the US (RePEc:spa:wpaper:2016wpecon31)
by Fausto Vieira & Fernando Chague, Marcelo Fernandes - Central limit theorem for asymmetric kernel functionals (RePEc:spr:aistmt:v:57:y:2005:i:3:p:425-442)
by Marcelo Fernandes & Paulo Monteiro - Testing for symmetry and conditional symmetry using asymmetric kernels (RePEc:spr:aistmt:v:67:y:2015:i:4:p:649-671)
by Marcelo Fernandes & Eduardo Mendes & Olivier Scaillet - Guns and Suicides (RePEc:taf:amstat:v:72:y:2018:i:3:p:289-294)
by Daniel Cerqueira & Danilo Coelho & Marcelo Fernandes & Jony Pinto Junior - Nonparametric Entropy-Based Tests of Independence Between Stochastic Processes (RePEc:taf:emetrv:v:29:y:2010:i:3:p:276-306)
by Marcelo Fernandes & Breno Neri - A (Semi)Parametric Functional Coefficient Logarithmic Autoregressive Conditional Duration Model (RePEc:taf:emetrv:v:35:y:2016:i:7:p:1221-1250)
by Marcelo Fernandes & Marcelo C. Medeiros & Alvaro Veiga - Testing for a flexible non-linear link between short-term Eurorates and spreads (RePEc:taf:eurjfi:v:9:y:2003:i:2:p:125-145)
by Marcelo Fernandes - Testing for Jump Spillovers Without Testing for Jumps (RePEc:taf:jnlasa:v:115:y:2020:i:531:p:1214-1226)
by Valentina Corradi & Walter Distaso & Marcelo Fernandes - Smoothing Quantile Regressions (RePEc:taf:jnlbes:v:39:y:2021:i:1:p:338-357)
by Marcelo Fernandes & Emmanuel Guerre & Eduardo Horta - Price discovery in a continuous-time setting (RePEc:uea:ueaeco:2019_02)
by Gustavo Fruet Dias & Marcelo Fernandes & Cristina Mabel Scherrer - Testing the Markov property with ultra-high frequency financial data (RePEc:unl:unlfep:wp462)
by Joao Amaro de Matos & Marcelo Fernandes - Price discovery in dual‐class shares across multiple markets (RePEc:wly:jfutmk:v:38:y:2018:i:1:p:129-155)
by Marcelo Fernandes & Cristina M. Scherrer