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Fernandes, Marcelo's
Scholarly Papers
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Aggregate Statistics |
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Total
Downloads
477 |
Total
Citations
6 |
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1.
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Amaro de Matos, Joao
Nova School of Business and Economics Fernandes, Marcelo
Queen Mary University of London - Economics Department
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146
(100,363)
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Bid-ask spread, nonparametric testing, price durations, Markov property, ultra-high frequency data
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2.
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Distaso, Walter
Imperial College Business School Fernandes, Marcelo
Queen Mary University of London - Economics Department Zikes, Filip
Imperial College London
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102
(133,453)
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alternative investment, copula, dynamic risk exposure, market uncertainty, tail dependence
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3.
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Fernandes, Marcelo
Queen Mary University of London - Economics Department Mergulhao, Joao
Sao Paulo School of Economics-FGV
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64
(177,876)
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additions, deletions, imperfect substitutes, index composition, liquidity, price pressure
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4.
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Fernandes, Marcelo
Queen Mary University of London - Economics Department Vieira Filho, Jose Gil
University of Chicago
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62
(180,851)
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asset pricing, fixed-effects panel regression, incomplete markets, mimicking portfolio, stochastic discount factor
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5.
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Corradi, Valentina
University of Warwick - Department of Economics Distaso, Walter
Imperial College Business School Fernandes, Marcelo
Queen Mary University of London - Economics Department
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57
(188,741)
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1
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conditional independence, jump-diffusion, noncausality, quadratic variation, realized variance, stochastic
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6.
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Fernandes, Marcelo
Queen Mary University of London - Economics Department Scaillet , O.
University of Geneva - HEC Mendes, Eduardo F.
Northwestern University
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46
(208,031)
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1
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asymmetric kernel, gamma kernel, inverse Gaussian kernel, nonparametric testing, reciprocal inverse Gaussian kernel, symmetry
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7.
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Fernandes, Marcelo
Queen Mary University of London - Economics Department Aurélio Dos Santos Rocha, Marco
affiliation not provided to SSRN
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cool-off effect, futures markets, magnet effect, price limits, transactions data
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8.
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Fernandes, Marcelo
Queen Mary University of London - Economics Department Ramos, Aldo Henrique Treu
Banco Nacional de Desenvolvimento Econômico e Social (BNDES)
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Price Resolution, Quote Rounding, Price Clustering, Quote Matching
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Records 1 -
8
of 8 matches
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