IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Log in (now much improved!) to follow this author

Marcelo Fernandes

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

Personal Details

First Name:Marcelo
Middle Name:
Last Name:Fernandes
Suffix:
RePEc Short-ID:pfe19
[This author has chosen not to make the email address public]
São Paulo, Brazil
http://economics-sp.fgv.br/

: 55 (011) 3799-3350
55 (011) 3799-3357
Rua Itapeva, 474, 13o andar, CEP 01332-000, São Paulo - SP
RePEc:edi:eegvfbr (more details at EDIRC)
London, United Kingdom
http://www.econ.qmul.ac.uk/

: +44 (0) 20 7882 5096
+44 (0) 20 8983 3580
London E1 4NS
RePEc:edi:deqmwuk (more details at EDIRC)
in new window
  1. Marcelo Fernandes & Walter Novaes, 2015. "The Government as a Large Shareholder: Impact on Firm Value and Corporate Governance," Working Papers 772, Queen Mary University of London, School of Economics and Finance.
  2. Marcelo Fernandes & Deniz Igan & Marcelo Pinheiro, 2015. "March Madness in Wall Street: (What) Does the Market Learn from Stress Tests?," Working Papers 771, Queen Mary University of London, School of Economics and Finance.
  3. Marcelo Fernandes & João Mergulhão, 2015. "Anticipatory Effects in the FTSE 100 Index Revisions," Working Papers 773, Queen Mary University of London, School of Economics and Finance.
  4. Nunes, Ricardo Machado & Fernandes, Marcelo, 2014. "Títulos de dívida corporativa de empresas brasileiras: investir em emissões do mercado interno ou externo?," Textos para discussão 363, Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil).
  5. Fernandes, Marcelo & Preumont, Pierre-Yves, 2014. "The finite-sample size of the BDS test for GARCH standardized residuals," Textos para discussão 361, Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil).
  6. Souza, Vitor Frango de & Fernandes, Marcelo, 2014. "Prêmio por controle no mercado brasileiro," Textos para discussão 362, Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil).
  7. Bopp, Eduardo & Fernandes, Marcelo, 2014. "Negociação com informação diferenciada em ADRs da América Latina," Textos para discussão 360, Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil).
  8. Barros, Carlos Felipe & Fernandes, Marcelo, 2014. "Profundidade de mercado na BM&FBovespa," Textos para discussão 359, Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil).
  9. Thiele, Eduardo & Fernandes, Marcelo, 2014. "Os determinantes macroeconômicos da estrutura a termo das expectativas de inflação no Brasil," Textos para discussão 364, Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil).
  10. Fernandes, Marcelo & Scherrer, Cristina M., 2013. "Price discovery in dual-class shares across multiple markets," Textos para discussão 344, Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil).
  11. Corradi, Valentina & Distaso, Walter & Fernandes, Marcelo, 2013. "Conditional alphas and realized betas," Textos para discussão 341, Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil).
  12. 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.
  13. 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).
  14. 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].
  15. 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).
  16. 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).
  17. 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).
  18. 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).
  19. Fernandes, Marcelo & Monteiro, P. K., 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).
  20. 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.
  21. 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).
  22. 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).
  23. 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).
  24. 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).
  25. 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).
  26. 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).
  27. 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).
  28. 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.
  29. Amaro de Matos, J. & Fernandes, M., 2000. "Market Microstructure Models and the Markov Property," Economics Working Papers eco2000/19, European University Institute.
  30. 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.
  1. Marcelo Fernandes & Eduardo Mendes & Olivier Scaillet, 2015. "Testing for symmetry and conditional symmetry using asymmetric kernels," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 67(4), pages 649-671, August.
  2. Fernandes, Marcelo & Medeiros, Marcelo C. & Scharth, Marcel, 2014. "Modeling and predicting the CBOE market volatility index," Journal of Banking & Finance, Elsevier, vol. 40(C), pages 1-10.
  3. Danilo Coelho & Miguel N. Foguel & Marcelo Fernandes, 2014. "Foreign Capital and Gender Differences in Promotions: Evidence From Large Brazilian Manufacturing Firms," ECONOMIA JOURNAL OF THE LATIN AMERICAN AND CARIBBEAN ECONOMIC ASSOCIATION, ECONOMIA JOURNAL OF THE LATIN AMERICAN AND CARIBBEAN ECONOMIC ASSOCIATION, vol. 0(Spring 20), pages 55-89, January.
  4. Corradi, Valentina & Distaso, Walter & Fernandes, Marcelo, 2012. "International market links and volatility transmission," Journal of Econometrics, Elsevier, vol. 170(1), pages 117-141.
  5. 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.
  6. Fernandes, Marcelo & Linton, Oliver & Scaillet, Olivier, 2007. "Semiparametric methods in econometrics," Journal of Econometrics, Elsevier, vol. 141(1), pages 1-4, November.
  7. 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.
  8. 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.
  9. Fernandes, Marcelo & Grammig, Joachim, 2006. "A family of autoregressive conditional duration models," Journal of Econometrics, Elsevier, vol. 130(1), pages 1-23, January.
  10. Fernandes, Marcelo & Grammig, Joachim, 2005. "Nonparametric specification tests for conditional duration models," Journal of Econometrics, Elsevier, vol. 127(1), pages 35-68, July.
  11. Fernandes, Marcelo & Toro, Juan, 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), January.
  12. Marcelo Fernandes & Paulo Monteiro, 2005. "Central limit theorem for asymmetric kernel functionals," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 57(3), pages 425-442, September.
  13. 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.
  14. 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.
  15. Mota, Bernardo de Sá & Fernandes, Marcelo, 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), September.
  16. 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.
  17. Fernandes, Marcelo & Gleiser, Ilan, 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), April.
  18. Marcelo Fernandes & Marco Aurélio Dos Santos Rocha, 0. "Are price limits on futures markets that cool? Evidence from the Brazilian Mercantile and Futures Exchange," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 5(2), pages 219-242.
NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 28 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-ECM: Econometrics (9) 2004-06-09 2004-06-09 2004-06-09 2004-06-09 2004-10-30 2005-04-03 2005-12-20 2007-04-09 2014-05-17. Author is listed
  2. NEP-ETS: Econometric Time Series (8) 2004-06-02 2004-06-02 2004-06-02 2004-06-02 2005-12-20 2007-04-09 2013-12-29 2014-05-17. Author is listed
  3. NEP-FIN: Finance (5) 2004-06-02 2004-06-02 2004-06-02 2005-04-03 2005-12-20. Author is listed
  4. NEP-CFN: Corporate Finance (4) 2005-12-20 2007-08-27 2015-12-28 2015-12-28
  5. NEP-FMK: Financial Markets (4) 2005-12-20 2013-12-29 2013-12-29 2015-12-28
  6. NEP-FOR: Forecasting (2) 2007-08-27 2013-12-29
  7. NEP-BEC: Business Economics (1) 2015-12-28
  8. NEP-DGE: Dynamic General Equilibrium (1) 2005-04-03
  9. NEP-LAM: Central & South America (1) 2006-12-01
  10. NEP-MAC: Macroeconomics (1) 2007-08-27
  11. NEP-RMG: Risk Management (1) 2007-08-27

Most cited item

Most downloaded item (past 12 months)

Access and download statistics for all items

Co-authorship network on CollEc

For general information on how to correct material on RePEc, see these instructions.

To update listings or check citations waiting for approval, Marcelo Fernandes should log into the RePEc Author Service

To make corrections to the bibliographic information of a particular item, find the technical contact on the abstract page of that item. There, details are also given on how to add or correct references and citations.

To link different versions of the same work, where versions have a different title, use this form. Note that if the versions have a very similar title and are in the author's profile, the links will usually be created automatically.

Please note that most corrections can take a couple of weeks to filter through the various RePEc services.

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.