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The effect of voting rights on firm value

Scherrer, Cristina Mabel; Fernandes, Marcelo - In: International Review of Finance 21 (2020) 3, pp. 1106-1111

Persistent link: https://www.econbiz.de/10012282316

Extensions to the invariance property of maximum likelihood estimation for affine‐transformed state‐space models

Pizzinga, Adrian; Fernandes, Marcelo - In: Journal of Time Series Analysis 42 (2020) 3, pp. 355-371

Persistent link: https://www.econbiz.de/10012410066

Price discovery in a continuous-time setting

Dias, Gustavo Fruet; Fernandes, Marcelo; Scherrer, … - In: Journal of financial econometrics 19 (2021) 5, pp. 985-1008

Persistent link: https://www.econbiz.de/10012799058

Anticipatory effects in the FTSE 100 index revisions

Fernandes, Marcelo; Mergulhão, João - In: Journal of empirical finance 37 (2016), pp. 79-90

Persistent link: https://www.econbiz.de/10011662945

March madness in Wall Street : (what) does the market learn from stress tests?

Fernandes, Marcelo; Igan, Deniz; Pinheiro, Marcelo - In: Journal of banking & finance 112 (2020), pp. 1-20

Persistent link: https://www.econbiz.de/10012225253

A (semi)parametric functional coefficient logarithmic autoregressive conditional duration model

Fernandes, Marcelo; Medeiros, Marcelo C.; Veiga, Alvaro - In: Econometric reviews 35 (2016) 5/7, pp. 1221-1250

Persistent link: https://www.econbiz.de/10011591186

A dynamic Nelson-Siegel model with forward-looking macroeconomic factors for the yield curve in the US

Fernandes, Marcelo; Vieira, Fausto - In: Journal of economic dynamics & control 106 (2019), pp. 1-19

Persistent link: https://www.econbiz.de/10012132004

Forecasting the Brazilian yield curve using forward-looking variables

Vieira, Fausto; Fernandes, Marcelo; Chague, Fernando - In: International journal of forecasting 33 (2017) 1, pp. 121-131

Persistent link: https://www.econbiz.de/10011754690

Smoothing quantile regressions

Fernandes, Marcelo; Guerre, Emmanuel; Horta, Eduardo - In: Journal of business & economic statistics : JBES ; a … 39 (2021) 1, pp. 338-357

Persistent link: https://www.econbiz.de/10012424529

Are price limits on futures markets that cool? Evidence from the Brazilian Mercantile and Futures Exchange

Fernandes, Marcelo; Rocha, Marco Aurélio Dos Santos - In: Journal of Financial Econometrics 5, 2, pp. 219-242

This article investigates the impact of price limits on the Brazilian futures markets using high frequency data. The aim is to identify whether there is an ex ante cool-off or magnet effect. For that purpose, we examine a tick-by-tick data set that includes all contracts on the São Paulo stock...

Persistent link: https://www.econbiz.de/10010970323