Marcelo Fernandes

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Curriculum Vitae

short version

long version

Teaching Information

Empirical 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)


Corradi, Distaso, and Fernandes (forthcoming)
International market links and volatility transmission
Journal of Econometrics

Fernandes and Neri (2010)
Nonparametric entropy-based tests of independence between stochastic processes
Econometric Reviews 29(3), 276--306

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

Publications in Brazilian Journals

Fernandes and Toro (2005)
O mecanismo de transmissão monetária na economia brasileira pós-Plano Real
Revista Brasileira de Economia 59(1), 5--32

Fernandes and Ramos (2004)
Resolução ótima de preços na Bolsa de Valores de São Paulo
Pesquisa e Planejamento Econômico 34(3), 437--464

Mota and Fernandes (2004)
Desempenho de estimadores de volatilidade na Bolsa de Valores de São Paulo
Revista Brasileira de Economia 58(3), 429--448

Fernandes and Monteiro (1997)
Um procedimento para análise de persistência na volatilidade
Brazilian Review of Econometrics 17(1), 15--43

Fernandes and Gleiser (1994)
A questão da dinâmica de preços de ativos financeiros
Revista Brasileira de Economia 48(2), 235--243

Working Papers

Fernandes and Mergulhão
Anticipatory effects in the FTSE 100 index revisions

Fernandes, Medeiros, and Scharth
Modeling and predicting the CBOE market volatility index

Distaso, Fernandes and Zikes
Tailing tail risk in the hedge fund industry

Coelho, Fernandes, and Foguel
Foreign capital and gender differences in promotion: Evidence from the Brazilian transformation industry

Fernandes, Mendes and Scaillet
Testing for symmetry and conditional symmetry using asymmetric kernels

Fernandes, Medeiros and Veiga
A (semi-)parametric functional coefficient autoregressive conditional duration model

A preferences-free estimator of the stochastic discount factor with an application to performance evaluation

Work in Progress

Corradi, Distaso, and Fernandes
Conditional alphas and realized betas

Corradi, Distaso, and Fernandes
Testing for jump spillovers without testing for jumps

Fernandes and Vieira Filho
Revisiting the efficiency of risk sharing between UK and US: Robust estimation and calibration under market incompleteness

Contact information
Marcelo Fernandes
School of Economics and Finance
Queen Mary, University of London
Mile End, London, E1 4NS, United Kingdom