Márcio Laurini

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Affiliations

• Universidade de São Paulo / Faculdade de Economia, Administração e Contabilidade de Ribeirão Preto
  • EDIRC entry
  • location:

Research profile

author of:

• Modelo Nelson-Siegel Com Condições De Não Arbitragem Para Previsão De Inflação A Partir Do Mercado De Títulos Brasileiro (RePEc:anp:en2014:120)
  by Lucas Argentieri Mariani & Marcio Poletti Laurini
• A Noisy Principal Component Analysis for Forward Rate Curves (RePEc:arx:papers:1408.6279)
  by Marcio Laurini & Alberto Ohashi
• Multivariate Stochastic Volatility-Double Jump Model: an application for oil assets (RePEc:bcb:wpaper:415)
  by Márcio Poletti Laurini & Roberto Baltieri Mauad & Fernando Antonio Lucena Aiube
• Spatial heterogeneities, institutions, and income: Evidence for Brazil (RePEc:bla:presci:v:101:y:2022:i:3:p:537-571)
  by William Y. N. Suzuki & Marcio P. Laurini & Luciano Nakabashi
• Poverty Elasticity: A Note on a New Empirical Approach (RePEc:bla:revinw:v:62:y:2016:i:2:p:394-401)
  by Erik Figueiredo & Márcio P. Laurini
• A Hybrid Data Cloning Maximum Likelihood Estimator for Stochastic Volatility Models (RePEc:bpj:jtsmet:v:5:y:2013:i:2:p:193-229:n:4)
  by Laurini Márcio Poletti
• Brazilian Review of Finance (RePEc:brf:journl)
  from Brazilian Society of Finance as editor
• Lista de Avaliadores - 2014 (RePEc:brf:journl:v:12:y:2014:i:4:p:643-643)
  by Marcio Poletti Laurini
• List of Reviewers - 2015 (RePEc:brf:journl:v:13:y:2015:i:4:p:732-732)
  by Marcio Poletti Laurini
• Brazilian Review of Finance 2015 Editorial Report (RePEc:brf:journl:v:14:y:2016:i:1:p:1-5)
  by Marcio Poletti Laurini
• Variance Swaps in BM&F: Pricing and Viability of Hedge (RePEc:brf:journl:v:8:y:2010:i:2:p:197-228)
  by Richard John Brostowicz Junior & Márcio Poletti Laurini
• A note on the use of quantile regression in beta convergence analysis (RePEc:ebl:ecbull:eb-07c50003)
  by Marcio Laurini
• Bayesian Factor Selection in Dynamic Term Structure Models (RePEc:ebl:ecbull:eb-11-00245)
  by Marcio Laurini
• The stochastic volatility model with random jumps and its application to BRL/USD exchange rate (RePEc:ebl:ecbull:eb-14-00201)
  by Márcio P. Laurini & Roberto B. Mauad
• Income Convergence Clubs for Brazilian Municipalities: a Non-Parametric Analysis (RePEc:ecm:latm04:51)
  by Márcio Laurini & Eduardo Andrade
• Exchange rate movements and monetary policy in Brazil: Econometric and simulation evidence (RePEc:eee:ecmode:v:27:y:2010:i:1:p:284-295)
  by Furlani, Luiz Gustavo Cassilatti & Portugal, Marcelo Savino & Laurini, Márcio Poletti
• Nonlinear dependence in cryptocurrency markets (RePEc:eee:ecofin:v:48:y:2019:i:c:p:32-47)
  by Chaim, Pedro & Laurini, Márcio P.
• Conditional stochastic kernel estimation by nonparametric methods (RePEc:eee:ecolet:v:105:y:2009:i:3:p:234-238)
  by Poletti Laurini, Márcio & Valls Pereira, Pedro L.
• New evidence on the role of cognitive skill in economic development (RePEc:eee:ecolet:v:117:y:2012:i:1:p:123-126)
  by Laurini, Márcio Poletti & de Carvalho Andrade, Eduardo
• Volatility and return jumps in bitcoin (RePEc:eee:ecolet:v:173:y:2018:i:c:p:158-163)
  by Chaim, Pedro & Laurini, Márcio P.
• Convergence clubs among Brazilian municipalities (RePEc:eee:ecolet:v:83:y:2004:i:2:p:179-184)
  by Andrade, Eduardo & Laurini, Marcio & Madalozzo, Regina & Valls Pereira, Pedro L.
• A noisy principal component analysis for forward rate curves (RePEc:eee:ejores:v:246:y:2015:i:1:p:140-153)
  by Laurini, Márcio Poletti & Ohashi, Alberto
• Empirical market microstructure: An analysis of the BRL/US$ exchange rate market (RePEc:eee:ememar:v:9:y:2008:i:4:p:247-265)
  by Laurini, Márcio Poletti & Furlani, Luiz Gustavo Cassilatti & Portugal, Marcelo Savino
• Bayesian extensions to Diebold-Li term structure model (RePEc:eee:finana:v:19:y:2010:i:5:p:342-350)
  by Laurini, Márcio Poletti & Hotta, Luiz Koodi
• A common jump factor stochastic volatility model (RePEc:eee:finlet:v:12:y:2015:i:c:p:2-10)
  by Laurini, Márcio Poletti & Mauad, Roberto Baltieri
• Constrained smoothing B-splines for the term structure of interest rates (RePEc:eee:insuma:v:46:y:2010:i:2:p:339-350)
  by Poletti Laurini, Márcio & Moura, Marcelo
• Indirect Inference in fractional short-term interest rate diffusions (RePEc:eee:matcom:v:94:y:2013:i:c:p:109-126)
  by Laurini, Márcio Poletti & Hotta, Luiz Koodi
• Is Bitcoin a bubble? (RePEc:eee:phsmap:v:517:y:2019:i:c:p:222-232)
  by Chaim, Pedro & Laurini, Márcio P.
• The spatio-temporal dynamics of ethanol/gasoline price ratio in Brazil (RePEc:eee:rensus:v:70:y:2017:i:c:p:1-12)
  by Laurini, Márcio Poletti
• A macro-finance term structure model with multivariate stochastic volatility (RePEc:eee:reveco:v:44:y:2016:i:c:p:68-90)
  by Laurini, Márcio P. & Caldeira, João F.
• The impact of co-jumps in the oil sector (RePEc:eee:riibaf:v:52:y:2020:i:c:s0275531919301758)
  by Laurini, Márcio Poletti & Mauad, Roberto Baltieri & Aiube, Fernando Antônio Lucena
• Lottery stocks in Brazil: investigating risk premium and investor behavior (RePEc:eme:rbfpps:rbf-09-2023-0249)
  by Gabriel Sifuentes Rocha & Márcio Poletti Laurini
• Arbitrage in the Term Structure of Interest Rates: a Bayesian Approach (RePEc:erh:journl:v:6:y:2014:i:2:p:77-99)
  by Márcio Poletti Laurini & Armênio Westin Neto
• Modelos de fatores latentes generalizados para curvas de juros em múltiplos mercados (RePEc:fea:wpaper:09_03)
  by Márcio Laurini & Luiz Hotta
• Multivariate Stochastic Volatility Modeling via Integrated Nested Laplace Approximations: A Multifactor Extension (RePEc:gam:jecnmx:v:12:y:2024:i:1:p:5-:d:1341433)
  by João Pedro Coli de Souza Monteneri Nacinben & Márcio Laurini
• Bayesian Inference for Long Memory Stochastic Volatility Models (RePEc:gam:jecnmx:v:12:y:2024:i:4:p:35-:d:1530826)
  by Pedro Chaim & Márcio Poletti Laurini
• Tornado Occurrences in the United States: A Spatio-Temporal Point Process Approach (RePEc:gam:jecnmx:v:8:y:2020:i:2:p:25-:d:369918)
  by Fernanda Valente & Márcio Laurini
• Factor Sufficiency in Asset Pricing: An Application for the Brazilian Market (RePEc:gam:jijfss:v:11:y:2023:i:4:p:144-:d:1296712)
  by Rafaela Dezidério dos Santos Rocha & Márcio Laurini
• Yield Curve Models with Regime Changes: An Analysis for the Brazilian Interest Rate Market (RePEc:gam:jmathe:v:11:y:2023:i:11:p:2549-:d:1162014)
  by Renata Tavanielli & Márcio Laurini
• Estimating the Capital Asset Pricing Model with Many Instruments: A Bayesian Shrinkage Approach (RePEc:gam:jmathe:v:11:y:2023:i:17:p:3776-:d:1231782)
  by Cássio Roberto de Andrade Alves & Márcio Laurini
• Foreign Exchange Expectation Errors and Filtration Enlargements (RePEc:gam:jstats:v:2:y:2019:i:2:p:16-227:d:221321)
  by Pedro L. P. Chaim & Márcio P. Laurini
• Data Cloning Estimation and Identification of a Medium-Scale DSGE Model (RePEc:gam:jstats:v:6:y:2022:i:1:p:2-29:d:1013558)
  by Pedro Chaim & Márcio Poletti Laurini
• Long Memory int the R$/US$ Exchange Rate: A Robust Analysis (RePEc:ibm:finlab:flwp_50)
  by Laurini, M. P. & Portugal, M. S.
• Markov Switching Based Nonlinear Tests for Market Efficiency Using the R$/US$ Exchange Rate (RePEc:ibm:finlab:flwp_51)
  by Laurini, M. P. & Portugal, M. S.
• Constrained Smoothing Splines for the Term Structure of Interest Rates (RePEc:ibm:ibmecp:wpe_100)
  by Laurini, Márcio P. & Moura, Marcelo
• Empirical Market Microstructure: An Analysis Of The Brl/Us$ Exchange Rate Market Using High-Frequency Data (RePEc:ibm:ibmecp:wpe_103)
  by Laurini, Márcio P. & Furlani, Luiz G. C. & Portugual, Marcelo S.
• Inferência indireta em modelos fracionários de taxas de juros de curto prazo (RePEc:ibm:ibmecp:wpe_121)
  by Laurini, Márcio P. & Hotta, Luiz K.
• Bayesian extensions to diebold-li term structure model (RePEc:ibm:ibmecp:wpe_122)
  by Laurini, Márcio P. & Hotta, Luiz K.
• Exchange Rate Movements and Monetary Policy In Brazil: Econometric and Simulation Evidence (RePEc:ibm:ibmecp:wpe_124)
  by Furlani, Luiz G. C. & Portugal, Marcelo S. & Laurini, Márcio P.
• Funções de Cópula na Precificação de Opções (RePEc:ibm:ibmecp:wpe_150)
  by Assis, Rodrigo M. de & Laurini, Márcio P.
• Modelos de Fatores Latentes Generalizados para Curvas de Juros em Múltiplos Mercados (RePEc:ibm:ibmecp:wpe_161)
  by Laurini, Márcio Poletti & Hotta, Luiz Koodi
• Modelos de Fatores Latentes Generalizados para Curvas de Juros em Múltiplos Mercados (RePEc:ibm:ibmecp:wpe_169)
  by Laurini, Márcio Poletti L. & Hotta, Luiz K.
• Estimação de Equações Diferenciais Estocásticas Usando Verossimilhança Empírica e Mínimo Contraste Generalizado (RePEc:ibm:ibmecp:wpe_173)
  by Laurini, Márcio P. & Hotta, Luiz K.
• Uma investigação sobre os Estilos Gerenciais e Riscos de Mercado de Fundos Multimercados Brasileiros (RePEc:ibm:ibmecp:wpe_180)
  by Coelho, Gustavo T. & Minardi, Andrea Maria A. F. & Laurini, Márcio P.
• Futuros de Swap de Variância e Volatilidade Na BM&F - Apreçamento e Viabilidade de Hedge (RePEc:ibm:ibmecp:wpe_181)
  by Richard John Brostowicz Junior & Laurini, Márcio P.
• Teste de estabilidades dos coeficientes betas do mercado acionário brasileiro (RePEc:ibm:ibmecp:wpe_183)
  by Lima, Ronaldo G. D. & Laurini, Márcio P. & Minardi, Andrea Maria A. F.
• Estimação de modelos de volatilidade estocástica usando métodos de verossimilhança empírica/mínimo constraste generalizados (RePEc:ibm:ibmecp:wpe_192)
  by Laurini, Márcio Poletti
• Arbitragem na Estrutura a Termo das Taxas de Juros: Uma Abordagem Bayesiana (RePEc:ibm:ibmecp:wpe_201)
  by Laurini, Márcio Poletti & Westin, Armênio Dias Neto
• Inferência Bayesiana Aplicada ao Modelo Dinâmico de Nelson-Siegel com Volatilidade Estocástica nos Fatores (RePEc:ibm:ibmecp:wpe_205)
  by Caldeira, João F. & Laurini, Márcio P. & Portugal, Marcelo S.
• Testing Convergence Across Municipalities in Brazil Using Quantile Regression (RePEc:ibm:ibmecp:wpe_25)
  by Andrade, Eduardo & Laurini, Márcio & Madalozzo, Regina & Pedro L. Valls Pereira
• Convergence Clubs Among Brazilian Municipalities (RePEc:ibm:ibmecp:wpe_36)
  by Andrade, Eduardo. & Laurini, Márcio & Pedro L. Valls Pereira & Madalozzo, Regina.
• Clubes de Convergência de Renda para os Municípios Brasileiros: Uma Análise Não-Paramétrica (RePEc:ibm:ibmecp:wpe_41)
  by Laurini, Márcio & Andrade, Eduardo & Pedro L. Valls Pereira
• Income Convergence Clubs for Brazilian Municipalities: A Non-Parametric Analysis (english version of WPE-6/2003) (RePEc:ibm:ibmecp:wpe_43)
  by Laurini, M. & Andrade, E & Pedro L. Valls Pereira
• Extensões Bayesianas do Modelo de Estrutura a Termo de Diebold-Li (RePEc:ibm:ibmecp:wpe_88)
  by Laurini, Márcio P. & Hotta, Luiz K.
• Imposing No-Arbitrage Conditions In Implied Volatility Surfaces Using Constrained Smoothing Splines (RePEc:ibm:ibmecp:wpe_89)
  by Laurini, Márcio P.
• Conditional Stochastic Kernel Estimation by Nonparametric Methods (RePEc:ibm:ibmecp:wpe_90)
  by Laurini, Márcio P. & Valls Pereira, Pedro L.
• Microestrutura Empírica e Mercado - Uma Análise para a Taxa de Câmbio Brl/Us$ Usando Dados de Alta Freqüência (RePEc:ibm:ibmecp:wpe_91)
  by Laurini, Márcio P. & Furlani, Luiz Gustavo C. & Portugal, Marcelo S.
• A note on the use of quantile regression in beta convergence analysis (RePEc:ibm:ibmecp:wpe_95)
  by Laurini, Márcio P.
• New Evidence on the Role of Cognitive Skill in Economic Development (RePEc:ibr:dpaper:2010-01)
  by Eduardo de Carvalho Andrade & Márcio Laurini
• Forecasting the Term Structure of Interest Rates Using Integrated Nested Laplace Approximations (RePEc:ibr:dpaper:2011-01)
  by Márcio Laurini & Luiz Koodi Hotta
• Bayesian Factor Selection in Dynamic Term Structure Models (RePEc:ibr:dpaper:2011-02)
  by Márcio Laurini
• Dynamic Functional Data Analysis with Nonparametric State Space Models (RePEc:ibr:dpaper:2012-01)
  by Márcio Laurini
• A Hybrid Data Cloning Maximum Likelihood Estimator for Stochastic Volatility Models (RePEc:ibr:dpaper:2012-02)
  by Márcio Laurini
• Generalized Tests of Investment Fund Performance (RePEc:ibr:dpaper:2012-03)
  by Márcio Laurini
• Some Comments on a Macro-Finance Model with Stochastic Volatility (RePEc:ibr:dpaper:2012-04)
  by Márcio Laurini & João Frois Caldeira
• Bayesian Unit Root Testing in Stochastic Volatility Models Using INLA (RePEc:ibr:dpaper:2012-05)
  by Márcio Laurini & Márcio Alves Diniz
• Does Ownership Affect the Variability of the Production Process? Evidence from International Courier Services (RePEc:inm:ororsc:v:21:y:2010:i:4:p:892-912)
  by Chihmao Hsieh & Sérgio Giovanetti Lazzarini & Jackson A. Nickerson & Marcio Laurini
• Portfolio Efficiency Tests with Conditioning Information - Comparing GMM and GEL Estimators (RePEc:kan:wpaper:202014)
  by Caio Vigo Pereira & Marcio Laurini
• A spatial error model with continuous random effects and an application to growth convergence (RePEc:kap:jgeosy:v:19:y:2017:i:4:d:10.1007_s10109-017-0256-z)
  by Márcio Poletti Laurini
• Implicit Inflation and Risk Premiums in the Brazilian Fixed Income Market (RePEc:mes:emfitr:v:53:y:2017:i:8:p:1836-1853)
  by Lucas Argentieri Mariani & Márcio Poletti Laurini
• Poverty Elasticity- a New Empirical Approach (RePEc:ppg:ppgewp:10)
  by Erik Alencar de Figueiredo & Márcio P. Laurini
• Long memory in the R$ / US$ exchange rate: A robust analysis (RePEc:sbe:breart:v:24:y:2004:i:1:a:2705)
  by Laurini, Márcio Poletti & Portugal, Marcelo Savino
• Bayesian Inference Applied to Dynamic Nelson-Siegel Model with Stochastic Volatility (RePEc:sbe:breart:v:30:y:2010:i:1:a:3502)
  by Caldeira, João F. & Laurini, Márcio P. & Portugal, Marcelo S.
• Generalized Tests of Investment Fund Performance (RePEc:sbe:breart:v:31:y:2011:i:2:a:7173)
  by Laurini, Márcio Poletti & Sanvicente, Antônio Zoratto & Monteiro, Rogério da Costa
• Non-Parametric Pricing of Interest Rates Options (RePEc:sbe:breart:v:32:y:2012:i:2:a:13534)
  by Laurini, Márcio Poletti & Mauad, Roberto Baltieri
• A continuous spatio-temporal model for house prices in the USA (RePEc:spr:anresc:v:58:y:2017:i:1:d:10.1007_s00168-016-0801-6)
  by Márcio Poletti Laurini
• Time-varying higher moments in Bitcoin (RePEc:spr:digfin:v:5:y:2023:i:2:d:10.1007_s42521-022-00072-8)
  by Leonardo Ieracitano Vieira & Márcio Poletti Laurini
• Bayesian spatio-temporal modeling of real estate launch prices (RePEc:spr:jospat:v:4:y:2023:i:1:d:10.1007_s43071-023-00044-z)
  by Vitor Dias Rocio & Márcio Poletti Laurini
• Brazilian stock market bubble in the 2010s (RePEc:spr:snbeco:v:1:y:2021:i:1:d:10.1007_s43546-020-00005-w)
  by Márcio P. Laurini & Pedro Chaim
• A Dynamic Econometric Model for Inflationary Inertia In Brazil (RePEc:spt:stecon:v:2:y:2013:i:2:f:2_2_6)
  by Márcio Laurini
• Income convergence clubs for Brazilian Municipalities: a non-parametric analysis (RePEc:taf:applec:v:37:y:2005:i:18:p:2099-2118)
  by Marcio Laurini & Eduardo Andrade & Pedro L. Valls Pereira
• Dynamic functional data analysis with non-parametric state space models (RePEc:taf:japsta:v:41:y:2014:i:1:p:142-163)
  by M�rcio Poletti Laurini
• Imposing no‐arbitrage conditions in implied volatilities using constrained smoothing splines (RePEc:wly:apsmbi:v:27:y:2011:i:6:p:649-659)
  by Márcio Poletti Laurini
• A spatio‐temporal approach to estimate patterns of climate change (RePEc:wly:envmet:v:30:y:2019:i:1:n:e2542)
  by M. P. Laurini
• Spillovers and jumps in global markets: A comparative analysis (RePEc:wly:ijfiec:v:26:y:2021:i:4:p:5997-6013)
  by Rodolfo C. Moura & Márcio P. Laurini
• Forecasting the Term Structure of Interest Rates Using Integrated Nested Laplace Approximations (RePEc:wly:jforec:v:33:y:2014:i:3:p:214-230)
  by MÁrcio Poletti Laurini & Luiz Koodi Hotta
• Interest Rate Forecasting with Principal Component Analysis Based on Long-Run Covariance Matrix (RePEc:wsi:afexxx:v:19:y:2024:i:02:n:s2010495224500052)
  by Hugo Hissinaga & Márcio Laurini