This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

Information about:
Marcelo Fernandes

Personal Details | Affiliation | Works
This is information that was supplied by Marcelo Fernandes in registering through RePEc. If you are Marcelo Fernandes , you may change this information at RePEc. Or if you are not registered and would like to be listed as well, register at RePEc. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

Other registered authors

Personal Details

First Name: Marcelo
Middle Name:
Last Name: Fernandes
Suffix:

RePEc Short-ID: pfe19

Email:
Homepage: http://webspace.qmul.ac.uk/mfernandes/
Postal Address: Queen Mary, University of London Mile End Road, London, E1 4NS, UK
Phone: 44 (0)207 882 5082

Affiliation

(in no particular order)

Works

| Working papers | Articles | Access and download statistics | Citations (if any)| NEP Fields |
Download all references for this author: available formats: HTML (with abstracts), plain text (with abstracts), BibTeX, RIS (EndNote), ReDIF

Working papers

  1. Danilo Coelho & Marcelo Fernandes & Miguel Nathan Foguel, 2007. "Foreign Capital And Gender Differences In Promotions: Evidence From The Brazilian Transformation Industry," Anais do XXXV Encontro Nacional de Economia [Proceedings of the 35th Brazilian Economics Meeting] 167, ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics]. [Downloadable!]

  2. Marcelo Fernandes & Marcelo Cunha Medeiros & MArcelo Scharth, 2007. "Modeling and predicting the CBOE market volatility index," Textos para discussão 548, Department of Economics PUC-Rio (Brazil). [Downloadable!]

  3. Araújo, Fabio & Issler, João Victor & Fernandes, Marcelo, 2006. "A Stochastic Discount Factor Approach to Asset Pricing Using Panel Data," Economics Working Papers (Ensaios Economicos da EPGE) 628, Graduate School of Economics, Getulio Vargas Foundation (Brazil). [Downloadable!]

  4. Fernandes, Marcelo & Rocha, Marco Aurélio dos Santos, 2006. "Are price limits on futures markets that cool? Evidence from the Brazilian Mercantile and Futures Exchange," Economics Working Papers (Ensaios Economicos da EPGE) 630, Graduate School of Economics, Getulio Vargas Foundation (Brazil). [Downloadable!]
    Other versions:

  5. Marcelo Fernandes & Marcelo Cunha Medeiros & Alvaro Veiga, 2006. "A (semi-)parametric functional coefficient autoregressive conditional duration model," Textos para discussão 535, Department of Economics PUC-Rio (Brazil). [Downloadable!]

  6. Araújo, Fabio & Issler, João Victor & Fernandes, Marcelo, 2005. "Estimating the Stochastic Discount Factor without a Utility Function," Economics Working Papers (Ensaios Economicos da EPGE) 583, Graduate School of Economics, Getulio Vargas Foundation (Brazil). [Downloadable!]
    Other versions:

  7. Fernandes, Marcelo & Monteiro, Paulo Klinger, 2004. "Central limit theorem for asymmetric kernel functionals," Economics Working Papers (Ensaios Economicos da EPGE) 522, Graduate School of Economics, Getulio Vargas Foundation (Brazil). [Downloadable!]
    Other versions:
    Published as:

  8. Fabio Araujo & Marcelo Fernandes e João Victor Issler, 2004. "Using Common Features to Construct a Preference-Free Estimator of the Stochastic Discount Factor," Econometric Society 2004 Latin American Meetings 134, Econometric Society. [Downloadable!]

  9. Fernandes, Marcelo & Grammig, Joachim, 2003. "Nonparametric specification tests for conditional duration models," Economics Working Papers (Ensaios Economicos da EPGE) 502, Graduate School of Economics, Getulio Vargas Foundation (Brazil). [Downloadable!]
    Other versions:
    Published as:

  10. Fernandes, Marcelo, 2003. "Bounds for the probability distribution function of the linear ACD process," Economics Working Papers (Ensaios Economicos da EPGE) 488, Graduate School of Economics, Getulio Vargas Foundation (Brazil). [Downloadable!]
    Published as:

  11. Fernandes, Marcelo & Grammig, Joachim, 2003. "A family of autoregressive conditional duration models," Economics Working Papers (Ensaios Economicos da EPGE) 501, Graduate School of Economics, Getulio Vargas Foundation (Brazil). [Downloadable!]
    Other versions:
    Published as:

  12. Fernandes, Marcelo & Mota, Bernardo de Sá, 2002. "Desempenho de Estimadores de Volatilidade na Bolsa de Valores de São Paulo," Economics Working Papers (Ensaios Economicos da EPGE) 458, Graduate School of Economics, Getulio Vargas Foundation (Brazil). [Downloadable!]
    Published as:

  13. Fernandes, Marcelo & Toro, Juan, 2002. "O mecanismo monetário de transmissão na economia brasileira pós-Plano Real," Economics Working Papers (Ensaios Economicos da EPGE) 443, Graduate School of Economics, Getulio Vargas Foundation (Brazil). [Downloadable!]

  14. Matos, João Manuel Gonçalves Amaro de & Fernandes, Marcelo, 2001. "Testing The Markov Property with Ultra High Frequency Financial Data," Economics Working Papers (Ensaios Economicos da EPGE) 414, Graduate School of Economics, Getulio Vargas Foundation (Brazil). [Downloadable!]
    Other versions:

  15. Fernandes, Marcelo, 2001. "Nonparametric Entropy-Based Tests of Independence Between Stochastic Processes," Economics Working Papers (Ensaios Economicos da EPGE) 413, Graduate School of Economics, Getulio Vargas Foundation (Brazil). [Downloadable!]

  16. Amaro de Matos, J. & Fernandes, M., 2000. "Market Microstructure Models and the Markov Property," Economics Working Papers eco2000/19, European University Institute.

  17. Matos, J. A. & Fernandes, M., 2000. "Market Microstructure Models and Markov Property," Finance Lab Working Papers flwp_29, Finance Lab, Ibmec São Paulo. [Downloadable!]

Articles

  1. Amaro de Matos, Joao & Fernandes, Marcelo, 2007. "Testing the Markov property with high frequency data," Journal of Econometrics, Elsevier, vol. 141(1), pages 44-64, November. [Downloadable!] (restricted)

  2. Fernandes, Marcelo & Linton, Oliver & Scaillet, Olivier, 2007. "Semiparametric methods in econometrics," Journal of Econometrics, Elsevier, vol. 141(1), pages 1-4, November. [Downloadable!] (restricted)

  3. Fernandes, Marcelo & Grammig, Joachim, 2006. "A family of autoregressive conditional duration models," Journal of Econometrics, Elsevier, vol. 130(1), pages 1-23, January. [Downloadable!] (restricted)
    Other versions:

  4. Fernandes, Marcelo, 2006. "Financial crashes as endogenous jumps: estimation, testing and forecasting," Journal of Economic Dynamics and Control, Elsevier, vol. 30(1), pages 111-141, January. [Downloadable!] (restricted)

  5. Marcelo Fernandes & Juan Toro, 2005. "O Mecanismo de Transmissão Monetária na Economia Brasileira Pós-Plano Real," Revista Brasileira de Economia, Graduate School of Economics, Getulio Vargas Foundation (Brazil), vol. 59(1), April.

  6. Marcelo Fernandes & Paulo Monteiro, 2005. "Central limit theorem for asymmetric kernel functionals," Annals of the Institute of Statistical Mathematics, Springer, vol. 57(3), pages 425-442, September. [Downloadable!] (restricted)
    Other versions:

  7. Fernandes, Marcelo & de Sa Mota, Bernardo & Rocha, Guilherme, 2005. "A multivariate conditional autoregressive range model," Economics Letters, Elsevier, vol. 86(3), pages 435-440, March. [Downloadable!] (restricted)

  8. Fernandes, Marcelo & Grammig, Joachim, 2005. "Nonparametric specification tests for conditional duration models," Journal of Econometrics, Elsevier, vol. 127(1), pages 35-68, July. [Downloadable!] (restricted)
    Other versions:

  9. Fernandes, Marcelo, 2004. "Bounds for the probability distribution function of the linear ACD process," Statistics & Probability Letters, Elsevier, vol. 68(2), pages 169-176, June. [Downloadable!] (restricted)
    Other versions:

  10. Bernardo de Sá Mota & Marcelo Fernandes, 2004. "Desempenho de Estimadores de Volatilidade na Bolsa de Valores de São Paulo," Revista Brasileira de Economia, Graduate School of Economics, Getulio Vargas Foundation (Brazil), vol. 58(3), April. [Downloadable!]
    Other versions:

  11. Marcelo Fernandes, 2001. "Economics and literature: an examination of Gulliver’s Travels," Journal of Economic Studies, Emerald Group Publishing, vol. 28(2), pages 92-105, January. [Downloadable!] (restricted)

  12. Marcelo Fernandes & Ilan Gleiser, 1994. "A questão da dinâmica de preços de ativos financeiros," Revista Brasileira de Economia, Graduate School of Economics, Getulio Vargas Foundation (Brazil), vol. 48(2), April.

NEP Fields

12 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-CFN: Corporate Finance (2) 2005-12-20 2007-08-27
  2. NEP-DGE: Dynamic General Equilibrium (1) 2005-04-03
  3. NEP-ECM: Econometrics (8) 2004-06-09 2004-06-09 2004-06-09 2004-06-09 2004-10-30 2005-04-03 2005-12-20 2007-04-09 Author is listed
  4. NEP-ETS: Econometric Time Series (6) 2004-06-02 2004-06-02 2004-06-02 2004-06-02 2005-12-20 2007-04-09 Author is listed
  5. NEP-FIN: Finance (5) 2004-06-02 2004-06-02 2004-06-02 2005-04-03 2005-12-20 Author is listed
  6. NEP-FMK: Financial Markets (1) 2005-12-20
  7. NEP-FOR: Forecasting (1) 2007-08-27
  8. NEP-LAM: Central & South America (1) 2006-12-01
  9. NEP-MAC: Macroeconomics (1) 2007-08-27
  10. NEP-RMG: Risk Management (1) 2007-08-27
Did you know? There are NEP reports in over 80 fields that deliver new research to your email.

This page was last updated on 2009-11-15.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.