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Marcelo Fernandes

Professor Marcelo Fernandes
Professor

Location: GC542
email: m.fernandes@qmul.ac.uk
Phone: +44 20 7882 8824

Office hours: Mondays and Fridays from 11am to 12pm

Research keywords: Financial Economics

Marcelo’s research deals mainly with the theory and application of nonparametric methods to high-frequency financial data. He is particularly interested in empirical market microstructure (e.g., price discovery), though he has also been working on  different empirical asset pricing topics.

Publications:

  • Fernandes and Mergulhão (2016) Anticipatory effects in the FTSE 100 index revisions, Journal of Empirical Finance 37, 76-90.
  • Fernandes, Medeiros & Veiga (2016) The (semi-)parametric functional coefficient autoregressive conditional duration model, Econometric Reviews 35(7), 1221-1250.
  • Fernandes, Mendes & Scaillet (2015) Testing for symmetry and conditional symmetry using asymmetric kernels, Annals of the Institute of Statistical Mathematics, 67(4),649-671.
  • Coelho, Fernandes & Foguel (2014) Foreign capital and gender differences in promotion: Evidence from large Brazilian manufacturing firms, Economia (The Journal of LACEA) 14(2).
  • Fernandes, Medeiros & Scharth (2013) Modeling and predicting the CBOE market volatility index, Journal of Banking and Finance 40(1), 1-10.
  • Corradi, Distaso & Fernandes (2012) International market links and volatility transmission, Journal of Econometrics 170(1), 117-141.
  • Fernandes & Neri (2010) Nonparametric entropy-based tests of independence between stochastic processes,
    Econometric Reviews 29(3), 276-306.
  • Fernandes, Linton & Scaillet (2007) Guest Editorial: Semiparametric methods in econometrics, Journal of Econometrics 141(1), 1-4.
  • Amaro de Matos & Fernandes (2007) Testing the Markov property with high frequency data, Journal of Econometrics 141(1), 44-64.
  • Fernandes & Rocha (2007) Are price limits on futures markets that cool? Evidence from the Brazilian Mercantile and Futures Exchange, Journal of Financial Econometrics 5(2), 219-242.
  • Fernandes & Grammig (2006) A family of autoregressive conditional duration models, Journal of Econometrics 130(1), 1-23.
  • Fernandes (2006) Financial crashes as endogenous jumps: Estimation, testing and forecasting, Journal of Economic Dynamics and Control 30(1), 111-141.
  • Fernandes & Monteiro (2005) Central limit theorem for asymmetric kernel functionals, Annals of the Institute of Statistical Mathematics 57(3), 425-442.
  • Fernandes & Grammig (2005) Nonparametric specification tests for conditional duration models, Journal of Econometrics 127(1), 35-68.
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