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Márcio Laurini

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Personal Details

First Name:Márcio
Middle Name:
Last Name:Laurini
Suffix:
RePEc Short-ID:pla86
Email:
Homepage:http://professores.ibmecrj.br/erg/people/marciopl.htm
Postal Address:
Phone:
Location: Ribeirão Preto, Brazil
Homepage: http://www.usp.br/fearp/
Email:
Phone: (016) 633-5617
Fax: (016) 633-6133
Postal: Avenida dos Bandeirantes, 3900 Ribeirão Preto - SP
Handle: RePEc:edi:fruspbr (more details at EDIRC)
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  1. Marcio Laurini & Alberto Ohashi, 2014. "A Noisy Principal Component Analysis for Forward Rate Curves," Papers 1408.6279, arXiv.org.
  2. Márcio Laurini & Márcio Alves Diniz, 2012. "Bayesian Unit Root Testing in Stochastic Volatility Models Using INLA," IBMEC RJ Economics Discussion Papers 2012-05, Economics Research Group, IBMEC Business School - Rio de Janeiro.
  3. Márcio Laurini & João Frois Caldeira, 2012. "Some Comments on a Macro-Finance Model with Stochastic Volatility," IBMEC RJ Economics Discussion Papers 2012-04, Economics Research Group, IBMEC Business School - Rio de Janeiro.
  4. Márcio Laurini, 2012. "A Hybrid Data Cloning Maximum Likelihood Estimator for Stochastic Volatility Models," IBMEC RJ Economics Discussion Papers 2012-02, Economics Research Group, IBMEC Business School - Rio de Janeiro.
  5. Márcio Laurini, 2012. "Generalized Tests of Investment Fund Performance," IBMEC RJ Economics Discussion Papers 2012-03, Economics Research Group, IBMEC Business School - Rio de Janeiro.
  6. Márcio Laurini, 2012. "Dynamic Functional Data Analysis with Nonparametric State Space Models," IBMEC RJ Economics Discussion Papers 2012-01, Economics Research Group, IBMEC Business School - Rio de Janeiro.
  7. Erik Alencar de Figueiredo & Márcio P. Laurini, 2012. "Poverty Elasticity- a New Empirical Approach," Série Textos para Discussão (Working Papers) 10, Programa de Pós-Graduação em Economia - PPGE, Universidade Federal da Paraíba.
  8. Márcio Laurini & Luiz Koodi Hotta, 2011. "Forecasting the Term Structure of Interest Rates Using Integrated Nested Laplace Approximations," IBMEC RJ Economics Discussion Papers 2011-01, Economics Research Group, IBMEC Business School - Rio de Janeiro.
  9. Márcio Laurini, 2011. "Bayesian Factor Selection in Dynamic Term Structure Models," IBMEC RJ Economics Discussion Papers 2011-02, Economics Research Group, IBMEC Business School - Rio de Janeiro.
  10. Eduardo de Carvalho Andrade & Márcio Laurini, 2010. "New Evidence on the Role of Cognitive Skill in Economic Development," IBMEC RJ Economics Discussion Papers 2010-01, Economics Research Group, IBMEC Business School - Rio de Janeiro.
  11. Caldeira, João F. & Laurini, Márcio P. & Portugal, Marcelo S., 2010. "Inferência Bayesiana Aplicada ao Modelo Dinâmico de Nelson-Siegel com Volatilidade Estocástica nos Fatores," Insper Working Papers wpe_205, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
  12. Laurini, Márcio Poletti & Westin, Armênio Dias Neto, 2010. "Arbitragem na Estrutura a Termo das Taxas de Juros: Uma Abordagem Bayesiana," Insper Working Papers wpe_201, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
  13. Richard John Brostowicz Junior & Laurini, Márcio P., 2009. "Futuros de Swap de Variância e Volatilidade Na BM&F - Apreçamento e Viabilidade de Hedge," Insper Working Papers wpe_181, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
  14. Coelho, Gustavo T. & Minardi, Andrea Maria A. F. & Laurini, Márcio P., 2009. "Uma investigação sobre os Estilos Gerenciais e Riscos de Mercado de Fundos Multimercados Brasileiros," Insper Working Papers wpe_180, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
  15. Lima, Ronaldo G. D. & Laurini, Márcio P. & Minardi, Andrea Maria A. F., 2009. "Teste de estabilidades dos coeficientes betas do mercado acionário brasileiro," Insper Working Papers wpe_183, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
  16. Laurini, Márcio Poletti & Hotta, Luiz Koodi, 2009. "Modelos de Fatores Latentes Generalizados para Curvas de Juros em Múltiplos Mercados," Insper Working Papers wpe_161, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
  17. Laurini, Márcio Poletti, 2009. "Estimação de modelos de volatilidade estocástica usando métodos de verossimilhança empírica/mínimo constraste generalizados," Insper Working Papers wpe_192, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
  18. Laurini, Márcio P. & Hotta, Luiz K., 2009. "Estimação de Equações Diferenciais Estocásticas Usando Verossimilhança Empírica e Mínimo Contraste Generalizado," Insper Working Papers wpe_173, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
  19. Assis, Rodrigo M. de & Laurini, Márcio P., 2008. "Funções de Cópula na Precificação de Opções," Insper Working Papers wpe_150, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
  20. Laurini, Márcio P. & Hotta, Luiz K., 2008. "Bayesian extensions to diebold-li term structure model," Insper Working Papers wpe_122, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
  21. Laurini, Márcio P. & Hotta, Luiz K., 2008. "Inferência indireta em modelos fracionários de taxas de juros de curto prazo," Insper Working Papers wpe_121, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
  22. Furlani, Luiz G. C. & Portugal, Marcelo S. & Laurini, Márcio P., 2008. "Exchange Rate Movements and Monetary Policy In Brazil: Econometric and Simulation Evidence," Insper Working Papers wpe_124, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
  23. Laurini, Márcio P. & Furlani, Luiz G. C. & Portugual, Marcelo S., 2008. "Empirical Market Microstructure: An Analysis Of The Brl/Us$ Exchange Rate Market Using High-Frequency Data," Insper Working Papers wpe_103, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
  24. Laurini, Márcio P. & Hotta, Luiz K., 2007. "Extensões Bayesianas do Modelo de Estrutura a Termo de Diebold-Li," Insper Working Papers wpe_88, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
  25. Laurini, Márcio P., 2007. "Imposing No-Arbitrage Conditions In Implied Volatility Surfaces Using Constrained Smoothing Splines," Insper Working Papers wpe_89, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
  26. Laurini, Márcio P. & Moura, Marcelo, 2007. "Constrained Smoothing Splines for the Term Structure of Interest Rates," Insper Working Papers wpe_100, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
  27. Laurini, Márcio P. & Valls Pereira, Pedro L., 2007. "Conditional Stochastic Kernel Estimation by Nonparametric Methods," Insper Working Papers wpe_90, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
  28. Laurini, Márcio P., 2007. "A note on the use of quantile regression in beta convergence analysis," Insper Working Papers wpe_95, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
  29. Laurini, Márcio P. & Furlani, Luiz Gustavo C. & Portugal, Marcelo S., 2007. "Microestrutura Empírica e Mercado - Uma Análise para a Taxa de Câmbio Brl/Us$ Usando Dados de Alta Freqüência," Insper Working Papers wpe_91, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
  30. Laurini, M. & Andrade, E & Pedro L. Valls Pereira, 2004. "Income Convergence Clubs for Brazilian Municipalities: A Non-Parametric Analysis (english version of WPE-6/2003)," Insper Working Papers wpe_43, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
  31. Márcio Laurini & Eduardo Andrade, 2004. "Income Convergence Clubs for Brazilian Municipalities: a Non-Parametric Analysis," Econometric Society 2004 Latin American Meetings 51, Econometric Society.
  32. Laurini, M. P. & Portugal, M. S., 2003. "Markov Switching Based Nonlinear Tests for Market Efficiency Using the R$/US$ Exchange Rate," Finance Lab Working Papers flwp_51, Finance Lab, Insper Instituto de Ensino e Pesquisa.
  33. Andrade, Eduardo. & Laurini, Márcio & Pedro L. Valls Pereira & Madalozzo, Regina., 2003. "Convergence Clubs Among Brazilian Municipalities," Insper Working Papers wpe_36, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
  34. Laurini, Márcio & Andrade, Eduardo & Pedro L. Valls Pereira, 2003. "Clubes de Convergência de Renda para os Municípios Brasileiros: Uma Análise Não-Paramétrica," Insper Working Papers wpe_41, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
  35. Laurini, M. P. & Portugal, M. S., 2003. "Long Memory int the R$/US$ Exchange Rate: A Robust Analysis," Finance Lab Working Papers flwp_50, Finance Lab, Insper Instituto de Ensino e Pesquisa.
  36. Andrade, Eduardo & Laurini, Márcio & Madalozzo, Regina & Pedro L. Valls Pereira, 2002. "Testing Convergence Across Municipalities in Brazil Using Quantile Regression," Insper Working Papers wpe_25, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
  1. Laurini, Márcio Poletti & Mauad, Roberto Baltieri, 2015. "A common jump factor stochastic volatility model," Finance Research Letters, Elsevier, vol. 12(C), pages 2-10.
  2. MÁrcio Poletti Laurini & Luiz Koodi Hotta, 2014. "Forecasting the Term Structure of Interest Rates Using Integrated Nested Laplace Approximations," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 33(3), pages 214-230, 04.
  3. Márcio Poletti Laurini, 2014. "Dynamic functional data analysis with non-parametric state space models," Journal of Applied Statistics, Taylor & Francis Journals, vol. 41(1), pages 142-163, January.
  4. Márcio P. Laurini & Roberto B. Mauad, 2014. "The stochastic volatility model with random jumps and its application to BRL/USD exchange rate," Economics Bulletin, AccessEcon, vol. 34(2), pages 1002-1011.
  5. Laurini, Márcio Poletti & Hotta, Luiz Koodi, 2013. "Indirect Inference in fractional short-term interest rate diffusions," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 94(C), pages 109-126.
  6. Laurini Márcio Poletti, 2013. "A Hybrid Data Cloning Maximum Likelihood Estimator for Stochastic Volatility Models," Journal of Time Series Econometrics, De Gruyter, vol. 5(2), pages 193-229, May.
  7. Laurini, Márcio Poletti & de Carvalho Andrade, Eduardo, 2012. "New evidence on the role of cognitive skill in economic development," Economics Letters, Elsevier, vol. 117(1), pages 123-126.
  8. Marcio Laurini, 2011. "Bayesian Factor Selection in Dynamic Term Structure Models," Economics Bulletin, AccessEcon, vol. 31(3), pages 2167-2176.
  9. Poletti Laurini, Márcio & Moura, Marcelo, 2010. "Constrained smoothing B-splines for the term structure of interest rates," Insurance: Mathematics and Economics, Elsevier, vol. 46(2), pages 339-350, April.
  10. Furlani, Luiz Gustavo Cassilatti & Portugal, Marcelo Savino & Laurini, Márcio Poletti, 2010. "Exchange rate movements and monetary policy in Brazil: Econometric and simulation evidence," Economic Modelling, Elsevier, vol. 27(1), pages 284-295, January.
  11. Laurini, Márcio Poletti & Hotta, Luiz Koodi, 2010. "Bayesian extensions to Diebold-Li term structure model," International Review of Financial Analysis, Elsevier, vol. 19(5), pages 342-350, December.
  12. Poletti Laurini, Márcio & Valls Pereira, Pedro L., 2009. "Conditional stochastic kernel estimation by nonparametric methods," Economics Letters, Elsevier, vol. 105(3), pages 234-238, December.
  13. Laurini, Márcio Poletti & Furlani, Luiz Gustavo Cassilatti & Portugal, Marcelo Savino, 2008. "Empirical market microstructure: An analysis of the BRL/US$ exchange rate market," Emerging Markets Review, Elsevier, vol. 9(4), pages 247-265, December.
  14. Marcio Laurini, 2007. "A note on the use of quantile regression in beta convergence analysis," Economics Bulletin, AccessEcon, vol. 3(52), pages 1-8.
  15. Marcio Laurini & Eduardo Andrade & Pedro L. Valls Pereira, 2005. "Income convergence clubs for Brazilian Municipalities: a non-parametric analysis," Applied Economics, Taylor & Francis Journals, vol. 37(18), pages 2099-2118.
  16. Andrade, Eduardo & Laurini, Marcio & Madalozzo, Regina & Valls Pereira, Pedro L., 2004. "Convergence clubs among Brazilian municipalities," Economics Letters, Elsevier, vol. 83(2), pages 179-184, May.

    RePEc:erh:journl:v:6:y:2014:i:2:p:78-100 is not listed on IDEAS
33 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-CBA: Central Banking (1) 2008-08-21
  2. NEP-CDM: Collective Decision-Making (2) 2008-05-17 2010-07-10
  3. NEP-CFN: Corporate Finance (1) 2012-04-03
  4. NEP-CMP: Computational Economics (1) 2011-04-30
  5. NEP-DEV: Development (2) 2008-12-07 2010-09-11
  6. NEP-ECM: Econometrics (8) 2007-05-26 2011-03-26 2011-04-30 2012-03-28 2012-03-28 2012-04-03 2012-04-17 2014-09-05. Author is listed
  7. NEP-EDU: Education (2) 2008-05-17 2009-07-28
  8. NEP-ETS: Econometric Time Series (5) 2003-03-03 2003-03-03 2012-03-28 2012-03-28 2012-04-17. Author is listed
  9. NEP-FIN: Finance (2) 2003-03-03 2003-03-03
  10. NEP-FMK: Financial Markets (1) 2012-04-03
  11. NEP-FOR: Forecasting (1) 2011-03-26
  12. NEP-GEO: Economic Geography (2) 2004-08-16 2007-07-13
  13. NEP-HRM: Human Capital & Human Resource Management (2) 2008-05-17 2010-09-11
  14. NEP-IAS: Insurance Economics (1) 2009-07-28
  15. NEP-IFN: International Finance (3) 2003-03-03 2003-03-03 2008-08-06
  16. NEP-IPR: Intellectual Property Rights (1) 2008-05-17
  17. NEP-LAB: Labour Economics (2) 2008-12-07 2009-07-28
  18. NEP-LAM: Central & South America (3) 2003-04-21 2007-07-13 2008-12-07
  19. NEP-MAC: Macroeconomics (3) 2003-04-21 2008-08-06 2008-08-21
  20. NEP-MIC: Microeconomics (1) 2009-07-28
  21. NEP-MON: Monetary Economics (2) 2008-08-06 2008-08-21
  22. NEP-NEU: Neuroeconomics (1) 2010-09-11
  23. NEP-ORE: Operations Research (4) 2011-04-30 2012-03-28 2012-03-28 2012-04-17
  24. NEP-POL: Positive Political Economics (3) 2008-05-17 2008-12-07 2010-07-10
  25. NEP-URE: Urban & Real Estate Economics (1) 2004-02-01

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