Marcelo Fernandes
Marcelo Fernandes
Sao Paulo School of Economics, FGV
Verifierad e-postadress på fgv.br - Startsida
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A family of autoregressive conditional duration models
M Fernandes, J Grammig
Journal of Econometrics 130 (1), 1-23, 2006
2272006
Modeling and predicting the CBOE market volatility index
M Fernandes, MC Medeiros, M Scharth
Journal of Banking & Finance 40, 1-10, 2014
1512014
Nonparametric specification tests for conditional duration models
M Fernandes, J Grammig
Journal of Econometrics 127 (1), 35-68, 2005
1172005
Nonparametric entropy-based tests of independence between stochastic processes
M Fernandes, B Néri
Econometric Reviews 29 (3), 276-306, 2009
392009
International market links and volatility transmission
V Corradi, W Distaso, M Fernandes
Journal of Econometrics 170 (1), 117-141, 2012
362012
A multivariate conditional autoregressive range model
M Fernandes, B de Sá Mota, G Rocha
Economics Letters 86 (3), 435-440, 2005
342005
O mecanismo de transmissão monetária na economia brasileira pós-Plano Real
M Fernandes, J Toro
Revista Brasileira de Economia 59 (1), 5-32, 2005
32*2005
Desempenho de estimadores de volatilidade na Bolsa de Valores de Sao Paulo
BS Mota, M Fernandes
Revista Brasileira de Economia 58 (3), 429-448, 2004
282004
Financial crashes as endogenous jumps: estimation, testing and forecasting
M Fernandes
Journal of Economic Dynamics and Control 30 (1), 111-141, 2006
25*2006
Central limit theorem for asymmetric kernel functionals
M Fernandes, PK Monteiro
Annals of the Institute of Statistical Mathematics 57 (3), 425-442, 2005
222005
Statistics for business and economics
M Fernandes
Bookboon, 2008
202008
Non‐linearity and exchange rates
M Fernandes
Journal of Forecasting 17 (7), 497-514, 1998
181998
March madness in Wall Street:(What) does the market learn from stress tests?
M Fernandes, D Igan, M Pinheiro
Journal of Banking & Finance, 105250, 2017
172017
Testing the Markov property with high frequency data
J Amaro de Matos, M Fernandes
Journal of Econometrics 141 (1), 44-64, 2007
162007
Estimating the stochastic discount factor without a utility function
F Araujo, JV Issler, M Fernandes
Fundação Getulio Vargas, 2005
16*2005
Tests for conditional independence, Markovian dynamics, and noncausality
M Fernandes, RG Flores
Brown-Bag-Seminar Applied Economics and Econometrics, 2001
14*2001
A (semi) parametric functional coefficient logarithmic autoregressive conditional duration model
M Fernandes, MC Medeiros, A Veiga
Econometric Reviews 35 (7), 1221-1250, 2016
13*2016
Economics and literature: an examination of Gulliver’s Travels
M Fernandes
Journal of Economic Studies, 2001
132001
Tailing tail risk in the hedge fund industry
W Distaso, M Fernandes, F Zikes
Available at SSRN 2041525, 2012
122012
Regularized minimum-variance portfolios using asset group information
M Fernandes, G Rocha, T Souza
122012
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Artiklar 1–20