Marcelo FernandesHome Page. |
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Curriculum Vitaeshort version long version |
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Teaching InformationEmpirical Finance (syllabus, slides, classes, and past exams) Financial Derivatives (syllabus, slides, assignment solutions, and past exams) Investment Analysis (syllabus, slides, assignment solutions, and past exams) Market Microstructures (syllabus and notes) Mathematical Statistics (syllabus, notes and supplementary notes) Statistics (syllabus, case study, database, problem sets, and virtual lab) Statistics II (syllabus and problem sets) |
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PublicationsFernandes and Neri (2008) Nonparametric entropy-based tests of independence between stochastic processes Econometric Reviews, forthcoming Fernandes, Linton, and Scaillet (2007) Guest Editorial: Semiparametric methods in econometrics Journal of Econometrics 141(1), 1--4 Amaro de Matos and Fernandes (2007) Testing the Markov property with high frequency data Journal of Econometrics 141(1), 44--64 Fernandes and Rocha (2007) Are price limits on futures markets that cool? Evidence from the Brazilian Mercantile and Futures Exchange Journal of Financial Econometrics 5(2), 219–-242 Fernandes (2006) Financial crashes as endogenous jumps: Estimation, testing and forecasting Journal of Economic Dynamics and Control 30(1), 111--141 Fernandes and Grammig (2006) A family of autoregressive conditional duration models Journal of Econometrics 130(1), 1--23 Araujo, Pereira, Cleroux, Fernandes, and Lazraq (2005) Separated families of models: Sir David Cox contributions and recent developments Student 5(3), 251--258 Fernandes and Monteiro (2005) Central limit theorem for asymmetric kernel functionals Annals of the Institute of Statistical Mathematics 57(3), 425--442 Araujo, Fernandes, and Pereira (2005) Alternative procedures to discriminate nonnested multivariate linear regression models Communications in Statistics: Theory and Methods 34(9), 2047--2062 Fernandes and Grammig (2005) Nonparametric specification tests for conditional duration models Journal of Econometrics 127(1), 35--68 Fernandes, Mota, and Rocha (2005) A multivariate conditional autoregressive range model Economic Letters 86(3), 435--440 Fernandes (2004) Bounds for the probability distribution function of the linear ACD process Statistics and Probability Letters 68(2), 169--176 Fernandes (2003) Testing for a flexible non-linear link between short-term Eurorates and spreads European Journal of Finance 9(2), 125--145 Fernandes (2001) Economics and literature: An examination of Gulliver's Travels Journal of Economic Studies 28(2), 92--105 Fernandes (1998) Nonlinearity and exchange rates Journal of Forecasting 17(7), 497--514 |
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Publications in Brazilian Journals
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Working PapersCorradi, Distaso, and Fernandes (2009) Testing for jump spillovers without testing for jumps Corradi, Distaso, and Fernandes (2008) International market links and volatility transmission Last Revision: June 2009 Coelho, Fernandes, and Foguel (2008) Foreign capital and gender differences in promotion: Evidence from the Brazilian transformation industry Last Revision: March 2009 Fernandes, Medeiros, and Scharth (2007) Modeling and predicting the CBOE market volatility index Last Revision: March 2009 Fernandes and Vieira Filho (2006) Revisiting the efficiency of risk sharing between UK and US: Robust estimation and calibration under market incompleteness Fernandes, Medeiros and Veiga (2006) A (semi-)parametric functional coefficient autoregressive conditional duration model Fernandes, Mendes and Scaillet (2005) Testing for symmetry and conditional symmetry using asymmetric kernels Araujo, Issler, and Fernandes (2004) A stochastic discount factor approach to asset pricing using panel data Last Revision: September 2006 |
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