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Marcelo Fernandes

Getulio Vargas Foundation (FGV) - Sao Paulo School of Economics

Rua Itapeva 474 s.1202

São Paulo, São Paulo 01332-000

Brazil

  • Getulio Vargas Foundation (FGV) - Sao Paulo School of Economics

SCHOLARLY PAPERS

2

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364

TOTAL CITATIONS

2

Scholarly Papers (2)

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1.

Price Discovery and Market Microstructure Noise

Number of pages: 72 Posted: 24 Jun 2021 Last Revised: 14 Feb 2022
Gustavo Fruet Dias, Marcelo Fernandes and Cristina Mabel Scherrer
University of East Anglia (UEA) - School of Economics, Getulio Vargas Foundation (FGV) - Sao Paulo School of Economics and London School of Economics & Political Science (LSE)
Downloads 248 (312,643)
Citation 2

Abstract:

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high-frequency data, price discovery, instrumental variables, weak instruments, realized measures

2.

Time-varying Price Discovery

Number of pages: 41 Posted: 24 May 2023 Last Revised: 06 Jul 2023
Gustavo Fruet Dias, Marcelo Fernandes and Cristina Mabel Scherrer
University of East Anglia (UEA) - School of Economics, Getulio Vargas Foundation (FGV) - Sao Paulo School of Economics and London School of Economics & Political Science (LSE)
Downloads 116 (621,896)

Abstract:

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time-varying coefficient models, kernel estimation, price discovery, high-frequency data