Similar Search Results

Fernandes, Marcelo - In: Journal of forecasting 17 (1998) 7, pp. 497-514

Persistent link: https://www.econbiz.de/10001363622

Modeling and predicting the CBOE market volatility index

Fernandes, Marcelo; Medeiros, Marcelo C.; Scharth, Marcel - 2007

This paper performs a thorough statistical examination of the time-series properties of the market volatility index (VIX) from the Chicago Board Options Exchange (CBOE). The motivation lies on the widespread consensus that the VIX is a barometer to the overall market sentiment as to what...

Persistent link: https://www.econbiz.de/10011807372

Modeling and predicting the CBOE market volatility index

Fernandes, Marcelo (contributor); … - 2007

Persistent link: https://www.econbiz.de/10003520954

Nonparametric entropy-based tests of independence between stochastic processes

Fernandes, Marcelo; Néri, Breno de Andrade Pinheiro - In: Econometric reviews 29 (2010) 3, pp. 276-306

Persistent link: https://www.econbiz.de/10003965134

A family of autoregressive conditional duration models

Fernandes, Marcelo; Grammig, Joachim - In: Journal of econometrics 130 (2006) 1, pp. 1-23

Persistent link: https://www.econbiz.de/10003228621

Nonparametric specification tests for conditional duration models

Fernandes, Marcelo; Grammig, Joachim - In: Journal of econometrics 127 (2005) 1, pp. 35-68

Persistent link: https://www.econbiz.de/10002756914

Non-parametric specification tests for conditional duration models

Fernandes, Marcelo; Grammig, Joachim - 2000

Persistent link: https://www.econbiz.de/10001480448

A family of autoregressive conditional duration models

Fernandes, Marcelo; Grammig, Joachim - 2001

Persistent link: https://www.econbiz.de/10001640351

Market microstructure models and the Markov property

Amaro de Matos, João; Fernandes, Marcelo - 2000

Persistent link: https://www.econbiz.de/10001541064

A Panel-based Proxy for Gun Prevalence in the US

Cerqueira, Daniel - 2019

There is a consensus that the proportion of suicides committed with a firearm is the best proxy for gun ownership prevalence. Cerqueira et al. (2108) exploit the socioeconomic characteristics of suicide victims in order to develop a new and more refined proxy. It is based on the fixed effects of...

Persistent link: https://www.econbiz.de/10012479485