Marcelo Fernandes

Queen Mary University of London - Economics Department

Mile End Road

London, E1 4NS

United Kingdom

SCHOLARLY PAPERS

13

DOWNLOADS

912

CITATIONS

6

Scholarly Papers (13)

1.

Tailing Tail Risk in the Hedge Fund Industry

Number of pages: 39 Posted: 18 Apr 2012
Walter Distaso, Marcelo Fernandes and Filip Zikes
Imperial College Business School, Queen Mary University of London - Economics Department and Imperial College London
Downloads 197 (150,447)
Citation 4

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alternative investment, copula, dynamic risk exposure, market uncertainty, tail dependence

2.

Testing the Markov Property With Ultra-High Frequency Financial Data

FEUNL Working Paper No. 462
Number of pages: 25 Posted: 22 Feb 2006
Joao Amaro de Matos and Marcelo Fernandes
Nova School of Business and Economics and Queen Mary University of London - Economics Department
Downloads 172 (170,162)

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Bid-ask spread, nonparametric testing, price durations, Markov property, ultra-high frequency data

3.

Anticipatory Effects in the FTSE 100 Index Revisions

Midwest Finance Association 2012 Annual Meetings Paper
Number of pages: 30 Posted: 16 Sep 2011
Marcelo Fernandes and Joao Mergulhao
Queen Mary University of London - Economics Department and Sao Paulo School of Economics-FGV
Downloads 158 (183,048)

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additions, deletions, imperfect substitutes, index composition, liquidity, price pressure

4.

International Market Links and Volatility Transmission

Number of pages: 47 Posted: 14 Feb 2012
Valentina Corradi, Walter Distaso and Marcelo Fernandes
University of Warwick - Department of Economics, Imperial College Business School and Queen Mary University of London - Economics Department
Downloads 96 (266,438)
Citation 1

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conditional independence, jump-diffusion, noncausality, quadratic variation, realized variance, stochastic

5.

Testing for Symmetry and Conditional Symmetry Using Asymmetric Kernels

Swiss Finance Institute Research Paper No. 11-32
Number of pages: 32 Posted: 22 Aug 2011 Last Revised: 16 Apr 2014
Marcelo Fernandes, O. Scaillet and Eduardo F Mendes
Queen Mary University of London - Economics Department, University of Geneva GSEM and GFRI and UNSW Australia Business School, School of Economics
Downloads 92 (273,798)
Citation 1

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asymmetric kernel, gamma kernel, inverse Gaussian kernel, nonparametric testing, reciprocal inverse Gaussian kernel, symmetry

6.

The Efficiency of Risk Sharing Between UK and US: Robust Estimation and Calibration Under Market Incompleteness

EFA 2007 Ljubljana Meetings Paper
Number of pages: 25 Posted: 01 Mar 2007
Marcelo Fernandes and Jose Gil Vieira Filho
Queen Mary University of London - Economics Department and University of Chicago
Downloads 73 (314,786)

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asset pricing, fixed-effects panel regression, incomplete markets, mimicking portfolio, stochastic discount factor

7.

Component shares in continuous time

Number of pages: 44 Posted: 29 Aug 2016 Last Revised: 01 Jul 2018
Aarhus University, Queen Mary University of London - Economics Department and Aarhus University
Downloads 61 (346,005)

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high-frequency data, price discovery, continuous-time model, sampling frequency, time-varying coefficients

8.

March Madness in Wall Street: (What) Does the Market Learn from Stress Tests?

IMF Working Paper No. 15/271
Number of pages: 35 Posted: 03 Feb 2016
Marcelo Fernandes, Deniz Igan and Marcelo Pinheiro
Queen Mary University of London - Economics Department, International Monetary Fund (IMF) - Financial Studies Division and PCAOB
Downloads 32 (447,531)

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Stress testing, Capital requirements, Public disclosure, Information, banks, bank, capital, risk, holding companies, Government Policy and Regulation, All Countries,

9.

The Effect of Voting Rights on Firm Value

Number of pages: 10 Posted: 31 Jul 2017 Last Revised: 21 Sep 2018
Cristina Mabel Scherrer and Marcelo Fernandes
Aarhus University and Queen Mary University of London - Economics Department
Downloads 24 (487,483)

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Private Benefits, Voting Right, Dual-Class Shares, Structural Cointegrated VAR Model

10.

A Panel-Based Proxy for Gun Prevalence in the Us

NBER Working Paper No. w25530
Number of pages: 20 Posted: 12 Feb 2019
IPEA - Instituto de Pesquisa Econômica Aplicada, IPEA - Instituto de Pesquisa Econômica Aplicada, Stanford Law School, Queen Mary University of London - Economics Department and Universidade Federal Fluminense
Downloads 5 (598,030)
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11.

Tail risk exposures of hedge funds: Evidence from unique Brazilian data

Number of pages: 31
Caio Almeida, Marcelo Fernandes and Joao Paulo Valente
Getulio Vargas Foundation, Queen Mary University of London - Economics Department and affiliation not provided to SSRN
Downloads 2

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alternative investment, convergence trading, entropy, expected shortfall, power law

12.

Are Price Limits on Futures Markets that Cool? Evidence from the Brazilian Mercantile and Futures Exchange

Journal of Financial Econometrics, Vol. 5, Issue 2, pp. 219-242, 2007
Posted: 16 Jun 2008
Marcelo Fernandes and Marco Aurélio Dos Santos Rocha
Queen Mary University of London - Economics Department and affiliation not provided to SSRN

Abstract:

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cool-off effect, futures markets, magnet effect, price limits, transactions data

13.

Optimal Price Resolution on the Sao Paulo Stock Exchange (Resolucao Otima De Precos Na Bolsa De Valores De Sao Paulo)

Pesquisa E Planejamento Economico, Vol. 34, No. 3, December 2004
Posted: 02 Feb 2005
Marcelo Fernandes and Aldo Henrique Treu Ramos
Queen Mary University of London - Economics Department and Banco Nacional de Desenvolvimento Econômico e Social (BNDES)

Abstract:

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Price Resolution, Quote Rounding, Price Clustering, Quote Matching