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Márcio Laurini

Personal Details

First Name:Márcio
Middle Name:
Last Name:Laurini
Suffix:
RePEc Short-ID:pla86
http://fearp.usp.br/pt-br/institucional/docentes/economia/item/150-marcio-poletti-laurini.html
Terminal Degree:2009 (from RePEc Genealogy)

Affiliation

Faculdade de Economia, Administração e Contabilidade de Ribeirão Preto
Universidade de São Paulo

Ribeirão Preto, Brazil
http://www.usp.br/fearp/

: (016) 633-5617
(016) 633-6133
Avenida dos Bandeirantes, 3900 Ribeirão Preto - SP
RePEc:edi:fruspbr (more details at EDIRC)

Research output

as
Jump to: Working papers Articles Editorship

Working papers

  1. Márcio Poletti Laurini & Roberto Baltieri Mauad & Fernando Antonio Lucena Aiube, 2016. "Multivariate Stochastic Volatility-Double Jump Model: an application for oil assets," Working Papers Series 415, Central Bank of Brazil, Research Department.
  2. Lucas Argentieri Mariani & Marcio Poletti Laurini, 2016. "Modelo Nelson-Siegel Com Condições De Não Arbitragem Para Previsão De Inflação A Partir Do Mercado De Títulos Brasileiro," Anais do XLII Encontro Nacional de Economia [Proceedings of the 42nd Brazilian Economics Meeting] 120, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
  3. Marcio Laurini & Alberto Ohashi, 2014. "A Noisy Principal Component Analysis for Forward Rate Curves," Papers 1408.6279, arXiv.org.
  4. 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.
  5. 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.
  6. 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.
  7. 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.
  8. 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.
  9. 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.
  10. 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.
  11. 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.
  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. 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.
  14. 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.
  15. 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.
  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. 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.
  18. 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.
  19. 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.
  20. 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.
  21. 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.
  22. 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.
  23. 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.
  24. 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.
  25. 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.
  26. 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.
  27. 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.
  28. 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.
  29. 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.
  30. 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.
  31. 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.
  32. Márcio Laurini & Eduardo Andrade, 2004. "Income Convergence Clubs for Brazilian Municipalities: a Non-Parametric Analysis," Econometric Society 2004 Latin American Meetings 51, Econometric Society.
  33. 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.
  34. 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.
  35. 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.
  36. 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.
  37. 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.
  38. 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.

Articles

  1. Márcio Poletti Laurini, 2017. "A spatial error model with continuous random effects and an application to growth convergence," Journal of Geographical Systems, Springer, vol. 19(4), pages 371-398, October.
  2. Laurini, Márcio Poletti, 2017. "The spatio-temporal dynamics of ethanol/gasoline price ratio in Brazil," Renewable and Sustainable Energy Reviews, Elsevier, vol. 70(C), pages 1-12.
  3. Márcio Poletti Laurini, 2017. "A continuous spatio-temporal model for house prices in the USA," The Annals of Regional Science, Springer;Western Regional Science Association, vol. 58(1), pages 235-269, January.
  4. Lucas Argentieri Mariani & Márcio Poletti Laurini, 2017. "Implicit Inflation and Risk Premiums in the Brazilian Fixed Income Market," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 53(8), pages 1836-1853, August.
  5. Laurini, Márcio P. & Caldeira, João F., 2016. "A macro-finance term structure model with multivariate stochastic volatility," International Review of Economics & Finance, Elsevier, vol. 44(C), pages 68-90.
  6. Márcio Poletti Laurini & Luiz Koodi Hotta, 2016. "Generalized moment estimation of stochastic differential equations," Computational Statistics, Springer, vol. 31(3), pages 1169-1202, September.
  7. Erik Figueiredo & Márcio P. Laurini, 2016. "Poverty Elasticity: A Note on a New Empirical Approach," Review of Income and Wealth, International Association for Research in Income and Wealth, vol. 62(2), pages 394-401, June.
  8. Marcio Poletti Laurini, 2016. "Brazilian Review of Finance 2015 Editorial Report," Brazilian Review of Finance, Brazilian Society of Finance, vol. 14(1), pages 1-5.
  9. Marcio Poletti Laurini, 2015. "List of Reviewers - 2015," Brazilian Review of Finance, Brazilian Society of Finance, vol. 13(4), pages 732-732.
  10. Laurini, Márcio Poletti & Ohashi, Alberto, 2015. "A noisy principal component analysis for forward rate curves," European Journal of Operational Research, Elsevier, vol. 246(1), pages 140-153.
  11. Laurini, Márcio Poletti & Mauad, Roberto Baltieri, 2015. "A common jump factor stochastic volatility model," Finance Research Letters, Elsevier, vol. 12(C), pages 2-10.
  12. Márcio Poletti Laurini & Armênio Westin Neto, 2014. "Arbitrage in the Term Structure of Interest Rates: a Bayesian Approach," International Econometric Review (IER), Econometric Research Association, vol. 6(2), pages 77-99, September.
  13. 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, April.
  14. Marcio Poletti Laurini, 2014. "Lista de Avaliadores - 2014," Brazilian Review of Finance, Brazilian Society of Finance, vol. 12(4), pages 643-643.
  15. 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.
  16. 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.
  17. 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.
  18. Márcio Laurini, 2013. "A Dynamic Econometric Model for Inflationary Inertia In Brazil," Journal of Statistical and Econometric Methods, SCIENPRESS Ltd, vol. 2(2), pages 1-6.
  19. 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.
  20. 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.
  21. Laurini, Márcio Poletti & Mauad, Roberto Baltieri, 2012. "Non-Parametric Pricing of Interest Rates Options," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 32(2), April.
  22. Laurini, Márcio Poletti & Sanvicente, Antônio Zoratto & Monteiro, Rogério da Costa, 2011. "Generalized Tests of Investment Fund Performance," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 31(2), December.
  23. Marcio Laurini, 2011. "Bayesian Factor Selection in Dynamic Term Structure Models," Economics Bulletin, AccessEcon, vol. 31(3), pages 2167-2176.
  24. 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.
  25. Caldeira, João F. & Laurini, Márcio P. & Portugal, Marcelo S., 2010. "Bayesian Inference Applied to Dynamic Nelson-Siegel Model with Stochastic Volatility," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 30(1), October.
  26. 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.
  27. Richard John Brostowicz Junior & Márcio Poletti Laurini, 2010. "Variance Swaps in BM&F: Pricing and Viability of Hedge," Brazilian Review of Finance, Brazilian Society of Finance, vol. 8(2), pages 197-228.
  28. Chihmao Hsieh & Sérgio Giovanetti Lazzarini & Jackson A. Nickerson & Marcio Laurini, 2010. "Does Ownership Affect the Variability of the Production Process? Evidence from International Courier Services," Organization Science, INFORMS, vol. 21(4), pages 892-912, August.
  29. 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.
  30. 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.
  31. 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.
  32. Marcio Laurini, 2007. "A note on the use of quantile regression in beta convergence analysis," Economics Bulletin, AccessEcon, vol. 3(52), pages 1-8.
  33. 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.
  34. Laurini, Márcio Poletti & Portugal, Marcelo Savino, 2004. "Long memory in the R$ / US$ exchange rate: A robust analysis," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 24(1), May.
  35. 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.

Editorship

  1. Brazilian Review of Finance, Brazilian Society of Finance.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Marcio Laurini & Alberto Ohashi, 2014. "A Noisy Principal Component Analysis for Forward Rate Curves," Papers 1408.6279, arXiv.org.

    Cited by:

    1. Blomvall, Jörgen, 2017. "Measurement of interest rates using a convex optimization model," European Journal of Operational Research, Elsevier, vol. 256(1), pages 308-316.
    2. Cousin, Areski & Maatouk, Hassan & Rullière, Didier, 2016. "Kriging of financial term-structures," European Journal of Operational Research, Elsevier, vol. 255(2), pages 631-648.
    3. Laurini, Márcio Poletti & Mauad, Roberto Baltieri, 2012. "Non-Parametric Pricing of Interest Rates Options," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 32(2), April.
    4. Caldana, Ruggero & Fusai, Gianluca & Roncoroni, Andrea, 2017. "Electricity forward curves with thin granularity: Theory and empirical evidence in the hourly EPEXspot market," European Journal of Operational Research, Elsevier, vol. 261(2), pages 715-734.

  2. 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.

    Cited by:

    1. Márcio Poletti Laurini & Armênio Westin Neto, 2014. "Arbitrage in the Term Structure of Interest Rates: a Bayesian Approach," International Econometric Review (IER), Econometric Research Association, vol. 6(2), pages 77-99, September.
    2. Márcio Poletti Laurini, 2017. "A continuous spatio-temporal model for house prices in the USA," The Annals of Regional Science, Springer;Western Regional Science Association, vol. 58(1), pages 235-269, January.

  3. 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.

    Cited by:

    1. Caldeira, João F. & Laurini, Márcio P. & Portugal, Marcelo S., 2010. "Bayesian Inference Applied to Dynamic Nelson-Siegel Model with Stochastic Volatility," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 30(1), October.

  4. 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.

    Cited by:

    1. Evans,David-000213993 & Popova,Anna, 2015. "What really works to improve learning in developing countries ? an analysis of divergent findings in systematic reviews," Policy Research Working Paper Series 7203, The World Bank.
    2. Masino, Serena & Niño-Zarazúa, Miguel, 2016. "What works to improve the quality of student learning in developing countries?," International Journal of Educational Development, Elsevier, vol. 48(C), pages 53-65.

  5. 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.

    Cited by:

    1. Marco Airaudo & Edward F Buffie & Luis-Felipe Zanna, 2016. "Inflation Targeting and Exchange Rate Management In Less Developed Countries," IMF Working Papers 16/55, International Monetary Fund.
    2. Luis Catão & Adrian Pagan, 2010. "The Credit Channel and Monetary Transmission in Brazil and Chile: A Structured VAR Approach," NCER Working Paper Series 53, National Centre for Econometric Research.
    3. Cortes, Gustavo S. & Paiva, Claudio A.C., 2017. "Deconstructing credibility: The breaking of monetary policy rules in Brazil," Journal of International Money and Finance, Elsevier, vol. 74(C), pages 31-52.
    4. Gabriela Bezerra Medeiros & Marcelo Savino Portugal & Edilean Kleber da Silva Bejarano Aragón, 2017. "Endogeneity and nonlinearities in Central Bank of Brazil’s reaction functions: an inverse quantile regression approach," Empirical Economics, Springer, vol. 53(4), pages 1503-1527, December.
    5. Buffie, Edward F. & Airaudo, M. & Zanna, Felipe, 2018. "Inflation targeting and exchange rate management in less developed countries," Journal of International Money and Finance, Elsevier, vol. 81(C), pages 159-184.
    6. Ricardo Ramalhete MOREIRA, 2015. "Reviewing Taylor rules for Brazil: was there a turning-point?," Journal of Economics and Political Economy, KSP Journals, vol. 2(2), pages 276-289, June.
    7. Gabriela Bezerra De Medeiros & Marcelo Savino Portugal & Edilean Kleber Da Silva Bejarano Aragon, 2016. "Endogeneity And Nonlinearities In Central Bank Of Brazil’S Reaction Functions: An Inverse Quantile Regression Approach," Anais do XLIII Encontro Nacional de Economia [Proceedings of the 43rd Brazilian Economics Meeting] 061, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
    8. Codruţa Mare & Cristian Litan, 2012. "Perspectives on Euro introduction in the Romanian economy," Baltic Journal of Economics, Baltic International Centre for Economic Policy Studies, vol. 12(1), pages 23-40, July.

  6. 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.

    Cited by:

    1. Matsumura, Marco & Moreira, Ajax & Vicente, José, 2011. "Forecasting the yield curve with linear factor models," International Review of Financial Analysis, Elsevier, vol. 20(5), pages 237-243.
    2. 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.
    3. Dang-Nguyen, Stéphane & Le Caillec, Jean-Marc & Hillion, Alain, 2014. "The deterministic shift extension and the affine dynamic Nelson–Siegel model," The North American Journal of Economics and Finance, Elsevier, vol. 29(C), pages 402-417.
    4. Victor A. Lapshin & Vadim Ya. Kaushanskiy, 2014. "A Nonparametric Method For Term Structure Fitting With Automatic Smoothing," HSE Working papers WP BRP 39/FE/2014, National Research University Higher School of Economics.
    5. Márcio Poletti Laurini & Armênio Westin Neto, 2014. "Arbitrage in the Term Structure of Interest Rates: a Bayesian Approach," International Econometric Review (IER), Econometric Research Association, vol. 6(2), pages 77-99, September.
    6. Tunaru, Diana, 2017. "Gaussian estimation and forecasting of the U.K. yield curve with multi-factor continuous-time models," International Review of Financial Analysis, Elsevier, vol. 52(C), pages 119-129.
    7. Caldeira, João F. & Laurini, Márcio P. & Portugal, Marcelo S., 2010. "Bayesian Inference Applied to Dynamic Nelson-Siegel Model with Stochastic Volatility," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 30(1), October.
    8. Tunaru, Radu & Zheng, Teng, 2017. "Parameter estimation risk in asset pricing and risk management: A Bayesian approach," International Review of Financial Analysis, Elsevier, vol. 53(C), pages 80-93.

  7. 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.

    Cited by:

    1. Heejoon Han & Oliver Linton & Tatsushi Oka & Yoon-Jae Whang, 2014. "The Cross-Quantilogram: Measuring Quantile Dependence and Testing Directional Predictability between Time Series," Cambridge Working Papers in Economics 1452, Faculty of Economics, University of Cambridge.

  8. 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.

    Cited by:

    1. Túlio Cravo & Guilherme Resende, 2013. "Economic growth in Brazil: a spatial filtering approach," The Annals of Regional Science, Springer;Western Regional Science Association, vol. 50(2), pages 555-575, April.
    2. Julio Cesar Araujo da Silva Junior, 2017. "An S-Shaped Crude Oil Price Return-Implied Volatility Relation: Parametric and Nonparametric Estimations," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 9(12), pages 54-70, December.
    3. Marta Simões & João Sousa Andrade & Adelaide Duarte, 2012. "Convergence and Growth: Portugal in the EU 1986-2010," GEMF Working Papers 2012-13, GEMF, Faculty of Economics, University of Coimbra.
    4. Takahashi, Kazushi, 2013. "Pro-poor growth or poverty trap? : estimating intergenerational income mobility in rural Philippines," IDE Discussion Papers 382, Institute of Developing Economies, Japan External Trade Organization(JETRO).
    5. Bernardi, Mauro & Bottone, Marco & Petrella, Lea, 2018. "Bayesian quantile regression using the skew exponential power distribution," Computational Statistics & Data Analysis, Elsevier, vol. 126(C), pages 92-111.
    6. João Sousa Andrade & Adelaide Duarte & Marta Simões, 2014. "A Quantile Regression Analysis of Growth and Convergence in the EU: Potential Implications for Portugal," Notas Económicas, Faculty of Economics, University of Coimbra, issue 39, pages 48-72, June.

  9. 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.

    Cited by:

    1. Almeida, Caio & Gomes, Romeu & Leite, André & Vicente, José, 2008. "Movimentos da Estrutura a Termo e Critérios de Minimização do Erro de Previsão em um Modelo Paramétrico Exponencial," Revista Brasileira de Economia - RBE, FGV/EPGE - Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil), vol. 62(4), December.

  10. 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.

    Cited by:

    1. Márcio Poletti Laurini, 2017. "A spatial error model with continuous random effects and an application to growth convergence," Journal of Geographical Systems, Springer, vol. 19(4), pages 371-398, October.
    2. Jesús Peiró-Palomino, 2016. "European regional convergence revisited: the role of intangible assets," The Annals of Regional Science, Springer;Western Regional Science Association, vol. 57(1), pages 165-194, July.
    3. Halkos, George & Tzeremes, Nickolaos, 2011. "Regional environmental efficiency and economic growth: NUTS2 evidence from Germany, France and the UK," MPRA Paper 33698, University Library of Munich, Germany.
    4. Halkos, George & Tzeremes, Nickolaos, 2011. "Measuring regional environmental efficiency: A directional distance function approach," MPRA Paper 32934, University Library of Munich, Germany.
    5. George Halkos & Nickolaos Tzeremes, 2012. "Measuring German regions’ environmental efficiency: a directional distance function approach," Letters in Spatial and Resource Sciences, Springer, vol. 5(1), pages 7-16, March.
    6. José Villaverde & Adolfo Maza & María Hierro, 2014. "Health care expenditure disparities in the European Union and underlying factors: a distribution dynamics approach," International Journal of Health Economics and Management, Springer, vol. 14(3), pages 251-268, September.
    7. Jesús Peiró-Palomino, 2013. "European regional convergence revisited: The role of space and the intangible assets," Working Papers 2013/11, Economics Department, Universitat Jaume I, Castellón (Spain).

  11. 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.

    Cited by:

    1. 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.
    2. Luo, Sirong & Kong, Xiao & Nie, Tingting, 2016. "Spline based survival model for credit risk modeling," European Journal of Operational Research, Elsevier, vol. 253(3), pages 869-879.
    3. Cousin, Areski & Maatouk, Hassan & Rullière, Didier, 2016. "Kriging of financial term-structures," European Journal of Operational Research, Elsevier, vol. 255(2), pages 631-648.
    4. Varga, Gyorgy, 2009. "Teste de Modelos Estatísticos para a Estrutura a Termo no Brasil
      [Test of Term Structure Models for Brazil]
      ," MPRA Paper 20832, University Library of Munich, Germany.
    5. Yallup, Peter J., 2012. "Models of the yield curve and the curvature of the implied forward rate function," Journal of Banking & Finance, Elsevier, vol. 36(1), pages 121-135.
    6. Fengler, Matthias R. & Hin, Lin-Yee, 2015. "A simple and general approach to fitting the discount curve under no-arbitrage constraints," Finance Research Letters, Elsevier, vol. 15(C), pages 78-84.
    7. Márcio Poletti Laurini & Armênio Westin Neto, 2014. "Arbitrage in the Term Structure of Interest Rates: a Bayesian Approach," International Econometric Review (IER), Econometric Research Association, vol. 6(2), pages 77-99, September.
    8. Varga, Gyorgy, 2009. "Teste de Modelos Estatisticos para a Estrutura a Termo no Brasil," Revista Brasileira de Economia - RBE, FGV/EPGE - Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil), vol. 63(4), December.

  12. 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.

    Cited by:

    1. Fengler, Matthias & Hin, Lin-Yee, 2011. "Semi-nonparametric estimation of the call price surface under strike and time-to-expiry no-arbitrage constraints," Economics Working Paper Series 1136, University of St. Gallen, School of Economics and Political Science, revised May 2013.
    2. Cristian Homescu, 2011. "Implied Volatility Surface: Construction Methodologies and Characteristics," Papers 1107.1834, arXiv.org.

  13. Márcio Laurini & Eduardo Andrade, 2004. "Income Convergence Clubs for Brazilian Municipalities: a Non-Parametric Analysis," Econometric Society 2004 Latin American Meetings 51, Econometric Society.

    Cited by:

    1. Márcio Poletti Laurini, 2017. "A spatial error model with continuous random effects and an application to growth convergence," Journal of Geographical Systems, Springer, vol. 19(4), pages 371-398, October.
    2. Guilherme Mendes Resende & Alexandre Xavier Ywata de Carvalho & Patrícia Alessandra Morita Sakowski, 2013. "Evaluating Multiple Spatial Dimensions of Economic Growth in Brazil Using Spatial Panel Data Models (1970 - 2000)," Discussion Papers 1830a, Instituto de Pesquisa Econômica Aplicada - IPEA.
    3. Túlio Cravo & Guilherme Resende, 2013. "Economic growth in Brazil: a spatial filtering approach," The Annals of Regional Science, Springer;Western Regional Science Association, vol. 50(2), pages 555-575, April.
    4. Cravo, Túlio A., 2011. "Are small employers more cyclically sensitive? Evidence from Brazil," Journal of Macroeconomics, Elsevier, vol. 33(4), pages 754-769.
    5. Túlio Cravo, 2011. "Regional Economic Growth and SMEs in Brazil: a Spatial Analysis (Submission for the Refereed Y-session Papers)," ERSA conference papers ersa10p508, European Regional Science Association.
    6. Guilherme Mendes Resende & Alexandre Xavier Ywata Carvalho & Patrícia Alessandra Morita Sakowski & Túlio Antonio Cravo, 2016. "Evaluating multiple spatial dimensions of economic growth in Brazil using spatial panel data models," The Annals of Regional Science, Springer;Western Regional Science Association, vol. 56(1), pages 1-31, January.
    7. Aparna Lolayekar & Pranab Mukhopadhyay, 2017. "Growth Convergence and Regional Inequality in India (1981–2012)," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 15(2), pages 307-328, June.
    8. Thomas Gries & Manfred Kraft & Christina Pieck, 2011. "Interregional migration, self-selection and the returns to education in Brazil," The Annals of Regional Science, Springer;Western Regional Science Association, vol. 46(3), pages 707-732, June.
    9. 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.
    10. Guillermo E. Perry & Omar S. Arias & J. Humberto López & William F. Maloney & Luis Servén, 2006. "Poverty Reduction and Growth : Virtuous and Vicious Circles," World Bank Publications, The World Bank, number 6997, November.
    11. Chenglin Qin & Xinyue Ye & Yingxia Liu, 2017. "Spatial Club Convergence of Regional Economic Growth in Inland China," Sustainability, MDPI, Open Access Journal, vol. 9(7), pages 1-14, July.
    12. Răileanu-Szeles, Monica & Albu, Lucian, 2015. "Nonlinearities and divergences in the process of European financial integration," Economic Modelling, Elsevier, vol. 46(C), pages 416-425.
    13. Michael Funke & Roberta Colavecchio & Declan Curran, 2011. "Drifting together of falling apart? The empirics of regional economic growth in post-unification Germany," Quantitative Macroeconomics Working Papers 21102, Hamburg University, Department of Economics.
    14. Túlio Cravo, 2011. "Are Small Firms more cyclically Sensitive than Large Ones? National, Regional and Sectoral Evidence from Brazil," ERSA conference papers ersa10p507, European Regional Science Association.
    15. Omid Ranjbar & Tsangyao Chang & Chien-Chiang Lee & Zahra Mila Elmi, 2018. "Catching-up process in the transition countries," Economic Change and Restructuring, Springer, vol. 51(3), pages 249-278, August.
    16. Túlio A. Cravo, 2010. "SMEs and economic growth in the Brazilian micro-regions," Papers in Regional Science, Wiley Blackwell, vol. 89(4), pages 711-734, November.

  14. 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.

    Cited by:

    1. Emekter, Riza & Jirasakuldech, Benjamas & Snaith, Sean M., 2009. "Nonlinear dynamics in foreign exchange excess returns: Tests of asymmetry," Journal of Multinational Financial Management, Elsevier, vol. 19(3), pages 179-192, July.
    2. Sergio Da Silva & Annibal Figueiredo & Iram Gleria & Raul Matsushita, 2007. "Hurst exponents, power laws, and efficiency in the Brazilian foreign exchange market," Economics Bulletin, AccessEcon, vol. 7(1), pages 1-11.

  15. 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.

    Cited by:

    1. Maria Alice Móz Christofoletti & Humberto Francisco Silva Spolador, 2011. "Income convergence among Brazilian states after the economic openness in the 1990s," ERSA conference papers ersa10p172, European Regional Science Association.
    2. João Luis Brasil Gondim & Flávio Ataliba Barreto, 2004. "O Uso Do Núcleo Estocástico Para Identificação De Clubes De Convergência Entre Estados E Municípios Brasileiros," Anais do XXXII Encontro Nacional de Economia [Proceedings of the 32nd Brazilian Economics Meeting] 053, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
    3. Penna, Christiano Modesto & Linhares, Fabricio Carneiro, 2013. "Há controvérsia entre análises de Beta e Sigma-Convergência no Brasil?," Revista Brasileira de Economia - RBE, FGV/EPGE - Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil), vol. 67(1), April.
    4. Da Silva Catela, Eva Yamila & Porcile, Gabriel & Gonçalves, Flávio, 2010. "Brazilian municipalities: agglomeration economies and development levels in 1997 and 2007," Revista CEPAL, Naciones Unidas Comisión Económica para América Latina y el Caribe (CEPAL), August.

  16. 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.

    Cited by:

    1. Sergio Da Silva & Annibal Figueiredo & Iram Gleria & Raul Matsushita, 2007. "Hurst exponents, power laws, and efficiency in the Brazilian foreign exchange market," Economics Bulletin, AccessEcon, vol. 7(1), pages 1-11.
    2. Chatziantoniou, Ioannis & Filis, George & Floros, Christos, 2015. "Asset prices regime-switching and the role of inflation targeting monetary policy," MPRA Paper 68666, University Library of Munich, Germany.

  17. 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.

    Cited by:

    1. Márcio Poletti Laurini, 2017. "A spatial error model with continuous random effects and an application to growth convergence," Journal of Geographical Systems, Springer, vol. 19(4), pages 371-398, October.
    2. Bird, Julia & Straub, Stephane, 2014. "The Brasilia experiment : road access and the spatial pattern of long-term local development in Brazil," Policy Research Working Paper Series 6964, The World Bank.
    3. Guilherme Mendes Resende & Alexandre Xavier Ywata de Carvalho & Patrícia Alessandra Morita Sakowski, 2013. "Evaluating Multiple Spatial Dimensions of Economic Growth in Brazil Using Spatial Panel Data Models (1970 - 2000)," Discussion Papers 1830a, Instituto de Pesquisa Econômica Aplicada - IPEA.
    4. Juessen Falko, 2005. "A distribution dynamics approach to regional GDP convergence in reunified Germany," Urban/Regional 0506008, University Library of Munich, Germany.
    5. Túlio Cravo & Guilherme Resende, 2013. "Economic growth in Brazil: a spatial filtering approach," The Annals of Regional Science, Springer;Western Regional Science Association, vol. 50(2), pages 555-575, April.
    6. Kounetas, Konstantinos Elias, 2018. "Energy consumption and CO2 emissions convergence in European Union member countries. A tonneau des Danaides?," Energy Economics, Elsevier, vol. 69(C), pages 111-127.
    7. Guilherme Mendes Resende & Alexandre Xavier Ywata Carvalho & Patrícia Alessandra Morita Sakowski & Túlio Antonio Cravo, 2016. "Evaluating multiple spatial dimensions of economic growth in Brazil using spatial panel data models," The Annals of Regional Science, Springer;Western Regional Science Association, vol. 56(1), pages 1-31, January.
    8. Falko Juessen, 2005. "A distribution dynamics approach to regional income convergence in reunified Germany," ERSA conference papers ersa05p411, European Regional Science Association.
    9. Carlos Mendez-Guerra, 2017. "Heterogeneous Growth and Regional (Di)Convergence in Bolivia: A Distribution Dynamics Approach," Economía Coyuntural,Revista de temas de perspectivas y coyuntura, Instituto de Investigaciones Económicas y Sociales 'José Ortiz Mercado' (IIES-JOM), Facultad de Ciencias Económicas, Administrativas y Financieras, Universidad Autónoma Gabriel René Moreno, vol. 2(4), pages 81-108.
    10. Sabyasachi Kar & Debajit Jha & Alpana Kateja, 2010. "Club-Convergence and Polarisation of States : A Nonparametric Analysis of Post-Reform India," Development Economics Working Papers 23036, East Asian Bureau of Economic Research.
    11. Bandyopadhyay, Sanghamitra, 2012. "Convergence clubs in incomes across Indian states: Is there evidence of a neighbours’ effect?," Economics Letters, Elsevier, vol. 116(3), pages 565-570.
    12. 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.
    13. Christiano M. Penna & Fabricio Linhares, 2011. "Convergênciae Formação de Clubes no Brasil sob aHipótese de Heterogeneidade no DesenvolvimentoTecnológico," Anais do XXXVII Encontro Nacional de Economia [Proceedings of the 37th Brazilian Economics Meeting] 87, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
    14. Manso, Carlos Alberto & Barreto, Flávio Ataliba & de França, João Mário, 2010. "Retornos da Educação e o Desequilíbrio Regional no Brasil," Revista Brasileira de Economia - RBE, FGV/EPGE - Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil), vol. 64(2), June.
    15. Tulio A. Cravo & Elias Soukiazis, 2009. "Educational Thresholds and Economic Growth: Empirical Evidence from Brazilian States," Working Papers 2009.1, International Network for Economic Research - INFER.
    16. Philippe De Vreyer & Gilles Spielvogel, 2005. "Spatial externalities between Brazilian municipios and their neighbours," Working Papers DT/2005/11, DIAL (Développement, Institutions et Mondialisation).
    17. Eckey, Hans-Friedrich & Kosfeld, Reinhold & Türck, Matthias, 2004. "Regionale Produktionsfunktionen mit Spillover-Effekten für Deutschland," Volkswirtschaftliche Diskussionsbeiträge 64, University of Kassel, Faculty of Economics and Management.
    18. 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.
    19. Philippe De Vreyer & Sandrine Mesplé-Somps & Gilles Spielvogel, 2005. "Spatial externalities between Brazilian municipios and their neighbours," ERSA conference papers ersa05p573, European Regional Science Association.
    20. Fotopoulos, Georgios, 2006. "Nonparametric analysis of regional income dynamics: The case of Greece," Economics Letters, Elsevier, vol. 91(3), pages 450-457, June.

  18. 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.

    Cited by:

    1. Tamas Dusek, 2006. "Regional Income Differences in Hungary - A Multi-Level Spatio-Temporal Analysis," ERSA conference papers ersa06p284, European Regional Science Association.
    2. 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.
    3. Guilherme Mendes Resende & Lízia de Figueiredo, 2008. "Economic Growth Of Minas Gerais: A Quantile Regression Approach Between 1980 And 2000," Anais do XIII Seminário sobre a Economia Mineira [Proceedings of the 13th Seminar on the Economy of Minas Gerais],in: Anais do XIII Seminário sobre a Economia Mineira [Proceedings of the 13th Seminar on the Economy of Minas Gerais] Cedeplar, Universidade Federal de Minas Gerais.

Articles

  1. Márcio Poletti Laurini, 2017. "A spatial error model with continuous random effects and an application to growth convergence," Journal of Geographical Systems, Springer, vol. 19(4), pages 371-398, October.

    Cited by:

    1. Michael Pfarrhofer & Philipp Piribauer, 2018. "Flexible shrinkage in high-dimensional Bayesian spatial autoregressive models," Papers 1805.10822, arXiv.org.

  2. Laurini, Márcio Poletti, 2017. "The spatio-temporal dynamics of ethanol/gasoline price ratio in Brazil," Renewable and Sustainable Energy Reviews, Elsevier, vol. 70(C), pages 1-12.

    Cited by:

    1. Yusri, I.M. & Mamat, R. & Najafi, G. & Razman, A. & Awad, Omar I. & Azmi, W.H. & Ishak, W.F.W. & Shaiful, A.I.M., 2017. "Alcohol based automotive fuels from first four alcohol family in compression and spark ignition engine: A review on engine performance and exhaust emissions," Renewable and Sustainable Energy Reviews, Elsevier, vol. 77(C), pages 169-181.

  3. Erik Figueiredo & Márcio P. Laurini, 2016. "Poverty Elasticity: A Note on a New Empirical Approach," Review of Income and Wealth, International Association for Research in Income and Wealth, vol. 62(2), pages 394-401, June.

    Cited by:

    1. Harmáček, Jaromír & Syrovátka, Miroslav & Dušková, Lenka, 2017. "Pro-poor growth in East Africa," The Quarterly Review of Economics and Finance, Elsevier, vol. 64(C), pages 82-93.

  4. Laurini, Márcio Poletti & Ohashi, Alberto, 2015. "A noisy principal component analysis for forward rate curves," European Journal of Operational Research, Elsevier, vol. 246(1), pages 140-153.
    See citations under working paper version above.
  5. Laurini, Márcio Poletti & Mauad, Roberto Baltieri, 2015. "A common jump factor stochastic volatility model," Finance Research Letters, Elsevier, vol. 12(C), pages 2-10.

    Cited by:

    1. Gerdie Everaert & Martin Iseringhausen, 2017. "Measuring The International Dimension Of Output Volatility," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 17/928, Ghent University, Faculty of Economics and Business Administration.
    2. Márcio Poletti Laurini & Roberto Baltieri Mauad & Fernando Antonio Lucena Aiube, 2016. "Multivariate Stochastic Volatility-Double Jump Model: an application for oil assets," Working Papers Series 415, Central Bank of Brazil, Research Department.
    3. Branger, Nicole & Muck, Matthias & Seifried, Frank Thomas & Weisheit, Stefan, 2017. "Optimal portfolios when variances and covariances can jump," Journal of Economic Dynamics and Control, Elsevier, vol. 85(C), pages 59-89.

  6. 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, April.
    See citations under working paper version above.
  7. 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.

    Cited by:

    1. Xu, Dinghua & He, Yangao & Yu, Yue & Zhang, Qifeng, 2018. "Multiple parameter determination in textile material design:A Bayesian inference approach based on simulation," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 151(C), pages 1-14.

  8. 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.
    See citations under working paper version above.
  9. 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.
    See citations under working paper version above.
  10. Caldeira, João F. & Laurini, Márcio P. & Portugal, Marcelo S., 2010. "Bayesian Inference Applied to Dynamic Nelson-Siegel Model with Stochastic Volatility," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 30(1), October.

    Cited by:

    1. 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.

  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.
    See citations under working paper version above.
  12. Chihmao Hsieh & Sérgio Giovanetti Lazzarini & Jackson A. Nickerson & Marcio Laurini, 2010. "Does Ownership Affect the Variability of the Production Process? Evidence from International Courier Services," Organization Science, INFORMS, vol. 21(4), pages 892-912, August.

    Cited by:

    1. Anna-Liesa Lange & Philipp Otto, 2016. "Bayes’sche Statistik in der Dienstleistungsforschung
      [Bayesian statistics in service research]
      ," AStA Wirtschafts- und Sozialstatistisches Archiv, Springer;Deutsche Statistische Gesellschaft - German Statistical Society, vol. 10(4), pages 247-267, December.
    2. Farhad Sadeh & Manish Kacker, 2018. "Quality signaling through ex-ante voluntary information disclosure in entrepreneurial networks: evidence from franchising," Small Business Economics, Springer, vol. 50(4), pages 729-748, April.

  13. 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.
    See citations under working paper version above.
  14. 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.
    See citations under working paper version above.
  15. 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.

    Cited by:

    1. Heejoon Han & Oliver Linton & Tatsushi Oka & Yoon-Jae Whang, 2014. "The Cross-Quantilogram: Measuring Quantile Dependence and Testing Directional Predictability between Time Series," Cambridge Working Papers in Economics 1452, Faculty of Economics, University of Cambridge.

  16. Marcio Laurini, 2007. "A note on the use of quantile regression in beta convergence analysis," Economics Bulletin, AccessEcon, vol. 3(52), pages 1-8.
    See citations under working paper version above.
  17. 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. See citations under working paper version above.
  18. Laurini, Márcio Poletti & Portugal, Marcelo Savino, 2004. "Long memory in the R$ / US$ exchange rate: A robust analysis," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 24(1), May.

    Cited by:

    1. Sergio Da Silva & Annibal Figueiredo & Iram Gleria & Raul Matsushita, 2007. "Hurst exponents, power laws, and efficiency in the Brazilian foreign exchange market," Economics Bulletin, AccessEcon, vol. 7(1), pages 1-11.
    2. Chatziantoniou, Ioannis & Filis, George & Floros, Christos, 2015. "Asset prices regime-switching and the role of inflation targeting monetary policy," MPRA Paper 68666, University Library of Munich, Germany.
    3. Quinton Morris & Gary Van vuuren & Paul Styger, 2009. "Further Evidence Of Long Memory In The South African Stock Market," South African Journal of Economics, Economic Society of South Africa, vol. 77(1), pages 81-101, March.

  19. 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.
    See citations under working paper version above.

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 33 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 (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
  2. NEP-ETS: Econometric Time Series (5) 2003-03-03 2003-03-03 2012-03-28 2012-03-28 2012-04-17. Author is listed
  3. NEP-ORE: Operations Research (4) 2011-04-30 2012-03-28 2012-03-28 2012-04-17
  4. NEP-IFN: International Finance (3) 2003-03-03 2003-03-03 2008-08-06
  5. NEP-LAM: Central & South America (3) 2003-04-21 2007-07-13 2008-12-07
  6. NEP-MAC: Macroeconomics (3) 2003-04-21 2008-08-06 2008-08-21
  7. NEP-POL: Positive Political Economics (3) 2008-05-17 2008-12-07 2010-07-10
  8. NEP-CDM: Collective Decision-Making (2) 2008-05-17 2010-07-10
  9. NEP-DEV: Development (2) 2008-12-07 2010-09-11
  10. NEP-EDU: Education (2) 2008-05-17 2009-07-28
  11. NEP-FIN: Finance (2) 2003-03-03 2003-03-03
  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-LAB: Labour Economics (2) 2008-12-07 2009-07-28
  15. NEP-MON: Monetary Economics (2) 2008-08-06 2008-08-21
  16. NEP-CBA: Central Banking (1) 2008-08-21
  17. NEP-CFN: Corporate Finance (1) 2012-04-03
  18. NEP-CMP: Computational Economics (1) 2011-04-30
  19. NEP-FMK: Financial Markets (1) 2012-04-03
  20. NEP-FOR: Forecasting (1) 2011-03-26
  21. NEP-IAS: Insurance Economics (1) 2009-07-28
  22. NEP-IPR: Intellectual Property Rights (1) 2008-05-17
  23. NEP-MIC: Microeconomics (1) 2009-07-28
  24. NEP-NEU: Neuroeconomics (1) 2010-09-11
  25. NEP-URE: Urban & Real Estate Economics (1) 2004-02-01

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