← All authors Marcelo Fernandes Institute of Economics (per OpenAlex) · ORCID · OpenAlex
45 papers in scope · 44 published · 2 on the econ.EM arXiv · 813 citations · h-index 15 (over the papers listed here)
Related authors The 20 authors closest to this one in our weighted citation graph, most related first.
Eduardo Schirmer Finn Eduardo Horta David M. Kaplan Xin Liu Tomasz Serafin Songnian Chen Yundong Tu Chaohua Dong Junlong Feng Luciano I. de Castro Emmanuel Guerre Bin Peng Yuan Liao Le-Yu Chen Sokbae Lee Youngki Shin Myung Hwan Seo Jean-Jacques Forneron Antonio F. Galvao Jiti Gao Proximity is measured over citations between two papers we both hold, weighted by how heavily one leans on the other, and is symmetric — it does not distinguish citing from being cited. Authors without a profile here are skipped, and a genuinely close colleague can be missing simply because their work is not in our arXiv corpus. Method: docs/06-citations-pipeline.md .
Papers (2 of 45)
working paper 2026 · arXiv
Portfolio allocation under sovereign risk
published 2026 · Brazilian Review of Finance
with Maria Ferreira
Forecasting realized volatility using news flow
published 2025 · The Quarterly Review of Economics and Finance
with Miguel Álvares Pereira
The equity premium and the disconnect between uncertainty and volatility: A global perspective
published 2025 · The Quarterly Review of Economics and Finance
with Bradley S. Paye, Carolina Magda da Silva Roma
What Drives the Nominal Yield Curve in Brazil?
published 2021 · Brazilian Review of Econometrics · 1 citations
with Clemens V. de Azevedo Nunes, Yuri Reis
Extensions to the invariance property of maximum likelihood estimation for affine‐transformed state‐space models
published 2020 · Journal of Time Series Analysis · 1 citations
with Adrián Pizzinga
The efficiency of risk sharing between UK and US: Robust estimation and calibration under market incompleteness
published 2020 · Brazilian Review of Econometrics · first circulated 2007
with Jose Gil Vieira Filho
Price Discovery in a Continuous-Time Setting
published 2019 · Journal of Financial Econometrics · first circulated 2017
with Gustavo Fruet Dias, Cristina Mabel Scherrer
published 2019 · Journal of Business and Economic Statistics · 111 citations
A dynamic Nelson–Siegel model with forward-looking macroeconomic factors for the yield curve in the US
published 2019 · Journal of Economic Dynamics and Control · 20 citations
with Fausto José Araújo Vieira
Testing for Jump Spillovers Without Testing for Jumps
published 2019 · Journal of the American Statistical Association · 9 citations
with Valentina Corradi, Walter Distaso
Estratégias de Imunização de Carteiras de Renda Fixa no Brasil
published 2018 · Brazilian Review of Finance · 2 citations
with Sofia Kusiak Meirelles
Estratégias de Momento no Mercado Cambial
published 2018 · Brazilian Review of Finance · 1 citations
with Kesley Leandro Da Silva
Price discovery in dual‐class shares across multiple markets
published 2017 · Journal of Futures Markets · 19 citations · first circulated 2013
with Cristina Mabel Scherrer
March madness in Wall Street: (What) does the market learn from stress tests?
published 2017 · Journal of Banking & Finance · 24 citations · first circulated 2015
with Deniz Igan, Marcelo Pinheiro
Disagreement in Inflation Forecasts and Inflation Risk Premia in Brazil
published 2017 · Brazilian Review of Econometrics · 3 citations
with Clemens V. de Azevedo Nunes, Jonas Takayuki Doi
Forecasting the Brazilian yield curve using forward-looking variables
published 2016 · International Journal of Forecasting · 20 citations
with Fausto José Araújo Vieira, Fernando Chague
Anticipatory effects in the FTSE 100 index revisions
published 2016 · Journal of Empirical Finance · 1 citations · first circulated 2011
with João Mergulhão
Component shares in continuous time
published 2016 · CREATES Research Papers
with Gustavo Fruet Dias, Cristina Mabel Scherrer
no link
The Macroeconomic Determinants of the Term Structure of Inflation Expectations in Brazil
published 2015 · Brazilian Review of Econometrics · 4 citations
with Eduardo Thiele
Brazilian Corporate Debt Issuance: Should You Invest in Local or International Bonds?
published 2014 · Brazilian Review of Econometrics · 1 citations
with Ricardo Nunes
A (Semi)Parametric Functional Coefficient Logarithmic Autoregressive Conditional Duration Model
published 2014 · Econometric Reviews · 3 citations · first circulated 2006
Testing for symmetry and conditional symmetry using asymmetric kernels
published 2014 · Annals of the Institute of Statistical Mathematics · 1 citations · first circulated 2011
Voting Premium in the Brazilian Equity Market
published 2014 · Brazilian Review of Econometrics · 1 citations
with Vitor Frango de Souza
Modeling and predicting the CBOE market volatility index
published 2013 · Journal of Banking & Finance · 40 citations
The Finite-Sample Size of the BDS Test for GARCH Standardized Residuals
published 2012 · Brazilian Review of Econometrics · 10 citations
with Pierre-Yves Preumont
International market links and volatility transmission
published 2012 · Journal of Econometrics · 31 citations
with Valentina Corradi, Walter Distaso
Nonparametric Entropy-Based Tests of Independence Between Stochastic Processes
published 2009 · Econometric Reviews · 33 citations · first circulated 2001
with Breno de Andrade Pinheiro Neri
Testing the Markov property with high frequency data
published 2007 · Journal of Econometrics · 15 citations · first circulated 2001
with João Amaro de Matos, João Manuel Gonçalves Amaro de Matos
Semiparametric methods in econometrics
published 2007 · Journal of Econometrics · 2 citations
Are price limits on futures markets that cool? Evidence from the Brazilian Mercantile and Futures Exchange
published 2006 · Journal of Financial Econometrics · 14 citations
with Marco Aurélio dos Santos Rocha
Alternative Procedures to Discriminate Non Nested Multivariate Linear Regression Models
published 2005 · Communication in Statistics-Theory and Methods · 7 citations
with Maria Ivanilde Araújo, Basílio de Bragança Pereira
Central limit theorem for asymmetric kernel functionals
published 2005 · Annals of the Institute of Statistical Mathematics · 38 citations · first circulated 2004
with Paulo Klinger Monteiro
O mecanismo de transmissão monetária na economia brasileira pós-Plano Real
published 2005 · Revista Brasileira de Economia · 11 citations
with Juan Toro
Financial crashes as endogenous jumps: estimation, testing and forecasting
published 2005 · Journal of Economic Dynamics and Control · 19 citations
A multivariate conditional autoregressive range model
published 2004 · Economics Letters · 35 citations
with Bernardo de Sá Mota, Guilherme Rocha
A family of autoregressive conditional duration models
published 2004 · Journal of Econometrics · 181 citations · first circulated 2001
with Joachim Grammig
Nonparametric specification tests for conditional duration models
published 2004 · Journal of Econometrics · 110 citations
with Joachim Grammig
Desempenho de estimadores de volatilidade na bolsa de valores de São Paulo
published 2004 · Revista Brasileira de Economia · 15 citations · first circulated 2002
with Bernardo de Sá Mota
Bounds for the probability distribution function of the linear ACD process
published 2004 · Statistics & Probability Letters · 4 citations · first circulated 2003
Using Common Features to Construct a Preference-Free Estimator of the Stochastic Discount
published 2004 · Econometric Society 2004 Latin American Meetings
no link
Testing for a flexible non-linear link between short-term Eurorates and spreads
published 2003 · European Journal of Finance
Economics and literature: an examination of Gulliver’s Travels
published 2001 · Journal of Economic Studies · 7 citations
Non‐linearity and exchange rates
published 1998 · Journal of Forecasting · 18 citations
Um Procedimento Para Análise De Persistência Na Volatilidade
published 1997 · Brazilian Review of Econometrics · 1 citations
with Marcos de Bustamante Monteiro
Assembled from arXiv and OpenAlex. Duplicate records for the same paper are merged, and the published version is shown where we could identify one. Corrections welcome.
Built from arXiv and OpenAlex. Supported by UKRI grant APP47921 (Martin Weidner, UCL · Francis J. DiTraglia, Oxford).