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A Stochastic Discount Factor Approach to Asset Pricing Using Panel Data
Araújo, Fabio; Issler, João Victor; Fernandes, Marcelo - FGV/EPGE Escola Brasileira de Economia e Finanças, … - 2006
Persistent link: https://www.econbiz.de/10005009011
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Desempenho de Estimadores de Volatilidade na Bolsa de Valores de São Paulo
Fernandes, Marcelo; Mota, Bernardo de Sá - FGV/EPGE Escola Brasileira de Economia e Finanças, … - 2002
Persistent link: https://www.econbiz.de/10005009075
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Estimating the Stochastic Discount Factor without a Utility Function
Araújo, Fabio; Issler, João Victor; Fernandes, Marcelo - FGV/EPGE Escola Brasileira de Economia e Finanças, … - 2005
Persistent link: https://www.econbiz.de/10005009235
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Testing The Markov Property with Ultra High Frequency Financial Data
Matos, João Manuel Gonçalves Amaro de; Fernandes, Marcelo - FGV/EPGE Escola Brasileira de Economia e Finanças, … - 2001
Persistent link: https://www.econbiz.de/10005009260
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O mecanismo monetário de transmissão na economia brasileira pós-Plano Real
Fernandes, Marcelo; Toro, Juan - FGV/EPGE Escola Brasileira de Economia e Finanças, … - 2002
Persistent link: https://www.econbiz.de/10005009319
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Are price limits on futures markets that cool? Evidence from the Brazilian Mercantile and Futures Exchange
Fernandes, Marcelo; Rocha, Marco Aurélio dos Santos - FGV/EPGE Escola Brasileira de Economia e Finanças, … - 2006
Persistent link: https://www.econbiz.de/10005009422
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A family of autoregressive conditional duration models
Fernandes, Marcelo; Grammig, Joachim - FGV/EPGE Escola Brasileira de Economia e Finanças, … - 2003
Persistent link: https://www.econbiz.de/10005550800
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Nonparametric specification tests for conditional duration models
Fernandes, Marcelo; Grammig, Joachim - FGV/EPGE Escola Brasileira de Economia e Finanças, … - 2003
Persistent link: https://www.econbiz.de/10005550806
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A Family of Autoregressive Conditional Duration Models
Fernandes, Marcelo; Grammig, Joachim - FGV/EPGE Escola Brasileira de Economia e Finanças, … - 2002
Persistent link: https://www.econbiz.de/10005407490
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Bounds for the probability distribution function of the linear ACD process
Fernandes, Marcelo - FGV/EPGE Escola Brasileira de Economia e Finanças, … - 2003
Persistent link: https://www.econbiz.de/10005062270