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Marcelo Fernandes

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Personal Details

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

RePEc Short-ID: pfe19

Email: [This author has chosen not to make the email address public]
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Affiliation

(99%) Escola de Economia de São Paulo (EESP)
Fundação Getulio Vargas
Location: São Paulo, Brazil
Homepage: http://www.eesp.fgv.br/
Email:
Phone: 55 (011) 3799-3350
Fax: 55 (011) 3799-3357
Postal: Rua Itapeva, 474, 13o andar, CEP 01332-000, São Paulo - SP
Handle: RePEc:edi:eegvfbr (more details at EDIRC)
(1%) School of Economics and Finance
Queen Mary
Location: London, United Kingdom
Homepage: http://www.econ.qmul.ac.uk/
Email:
Phone: +44 (0) 20 7882 5096
Fax: +44 (0) 20 8983 3580
Postal: London E1 4NS
Handle: RePEc:edi:deqmwuk (more details at EDIRC)

Works

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Working papers

  1. Danilo Coelho & Marcelo Fernandes e Miguel N. Foguel, 2009. "Capital Estrangeiro e Diferenciais de Gênero nas Promoções: Evidências da Indústria de Transformação Brasileira," Discussion Papers 1447, Instituto de Pesquisa Econômica Aplicada - IPEA.
  2. 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].
  3. 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).
  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, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
  5. 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, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
  6. 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).
  7. 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, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
  8. Fernandes, Marcelo & Monteiro, Paulo Klinger, 2004. "Central limit theorem for asymmetric kernel functionals," Economics Working Papers (Ensaios Economicos da EPGE) 522, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
  9. 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.
  10. Fernandes, Marcelo, 2003. "Bounds for the probability distribution function of the linear ACD process," Economics Working Papers (Ensaios Economicos da EPGE) 488, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
  11. Fernandes, Marcelo & Grammig, Joachim, 2003. "A family of autoregressive conditional duration models," Economics Working Papers (Ensaios Economicos da EPGE) 501, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
  12. Fernandes, Marcelo & Grammig, Joachim, 2003. "Nonparametric specification tests for conditional duration models," Economics Working Papers (Ensaios Economicos da EPGE) 502, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
  13. 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, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
  14. Fernandes, Marcelo & Toro, Juan, 2002. "O mecanismo monetário de transmissão na economia brasileira pós-Plano Real," Economics Working Papers (Ensaios Economicos da EPGE) 443, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
  15. Fernandes, Marcelo, 2001. "Nonparametric Entropy-Based Tests of Independence Between Stochastic Processes," Economics Working Papers (Ensaios Economicos da EPGE) 413, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
  16. 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, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
  17. Matos, J. A. & Fernandes, M., 2000. "Market Microstructure Models and Markov Property," Finance Lab Working Papers flwp_29, Finance Lab, Insper Instituto de Ensino e Pesquisa.
  18. Amaro de Matos, J. & Fernandes, M., 2000. "Market Microstructure Models and the Markov Property," Economics Working Papers eco2000/19, European University Institute.
  19. Marcelo FERNANDES & Eduardo F. MENDES & Olivier SCAILLET, . "Testing for Symmetry and Conditional Symmetry Using Asymmetric Kernels," Swiss Finance Institute Research Paper Series 11-32, Swiss Finance Institute.

Articles

  1. Marcelo Fernandes & Breno Neri, 2010. "Nonparametric Entropy-Based Tests of Independence Between Stochastic Processes," Econometric Reviews, Taylor & Francis Journals, vol. 29(3), pages 276-306.
  2. Fernandes, Marcelo & Linton, Oliver & Scaillet, Olivier, 2007. "Semiparametric methods in econometrics," Journal of Econometrics, Elsevier, vol. 141(1), pages 1-4, November.
  3. 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.
  4. Fernandes, Marcelo & Grammig, Joachim, 2006. "A family of autoregressive conditional duration models," Journal of Econometrics, Elsevier, vol. 130(1), pages 1-23, January.
  5. 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.
  6. Marcelo Fernandes & Juan Toro, 2005. "O Mecanismo de Transmissão Monetária na Economia Brasileira Pós-Plano Real," Revista Brasileira de Economia, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil), vol. 59(1), pages 5-32, January.
  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.
  8. 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.
  9. Fernandes, Marcelo & Grammig, Joachim, 2005. "Nonparametric specification tests for conditional duration models," Journal of Econometrics, Elsevier, vol. 127(1), pages 35-68, July.
  10. Bernardo de Sá Mota & Marcelo Fernandes, 2004. "Desempenho de Estimadores de Volatilidade na Bolsa de Valores de São Paulo," Revista Brasileira de Economia, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil), vol. 58(3), pages 429-448, July.
  11. 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.
  12. 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.
  13. Marcelo Fernandes & Ilan Gleiser, 1994. "A questão da dinâmica de preços de ativos financeiros," Revista Brasileira de Economia, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil), vol. 48(2), pages 235-243, April.

NEP Fields

13 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

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