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Are price limits on futures markets that cool? Evidence from the Brazilian Mercantile and Futures Exchange

Fernandes, Marcelo; Rocha, Marco Aurélio Dos Santos - In: Journal of Financial Econometrics 5, 2, pp. 219-242

This article investigates the impact of price limits on the Brazilian futures markets using high frequency data. The aim is to identify whether there is an ex ante cool-off or magnet effect. For that purpose, we examine a tick-by-tick data set that includes all contracts on the São Paulo stock...

Persistent link: https://www.econbiz.de/10010970323

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

Fernandes, Marcelo; Rocha, Marco Aurélio dos Santos - School of Economics and Finance, Queen Mary - 2006

This paper investigates the impact of price limits on the Brazilian futures markets using high frequency data. The aim is to identify whether there is a cool-off or a magnet effect. For that purpose, we examine a tick-by-tick data set that includes all contracts on the São Paulo stock index...

Persistent link: https://www.econbiz.de/10005106298

A Family of Autoregressive Conditional Duration Models

Fernandes, Marcelo; Grammig, Joachim - FGV/EPGE Escola Brasileira de Economia e Finanças, … - 2002

Persistent link: https://www.econbiz.de/10005407490

A Stochastic Discount Factor Approach to Asset Pricing Using Panel Data

Araújo, Fabio; Issler, João Victor; Fernandes, Marcelo - FGV/EPGE Escola Brasileira de Economia e Finanças, … - 2006

Persistent link: https://www.econbiz.de/10005009011

Desempenho de Estimadores de Volatilidade na Bolsa de Valores de São Paulo

Fernandes, Marcelo; Mota, Bernardo de Sá - FGV/EPGE Escola Brasileira de Economia e Finanças, … - 2002

Persistent link: https://www.econbiz.de/10005009075

Estimating the Stochastic Discount Factor without a Utility Function

Araújo, Fabio; Issler, João Victor; Fernandes, Marcelo - FGV/EPGE Escola Brasileira de Economia e Finanças, … - 2005

Persistent link: https://www.econbiz.de/10005009235

Testing The Markov Property with Ultra High Frequency Financial Data

Matos, João Manuel Gonçalves Amaro de; Fernandes, Marcelo - FGV/EPGE Escola Brasileira de Economia e Finanças, … - 2001

Persistent link: https://www.econbiz.de/10005009260

O mecanismo monetário de transmissão na economia brasileira pós-Plano Real

Fernandes, Marcelo; Toro, Juan - FGV/EPGE Escola Brasileira de Economia e Finanças, … - 2002

Persistent link: https://www.econbiz.de/10005009319

Bounds for the probability distribution function of the linear ACD process

Fernandes, Marcelo - FGV/EPGE Escola Brasileira de Economia e Finanças, … - 2003

Persistent link: https://www.econbiz.de/10005062270

Nonparametric Entropy-Based Tests of Independence Between Stochastic Processes

Fernandes, Marcelo - FGV/EPGE Escola Brasileira de Economia e Finanças, … - 2001

Persistent link: https://www.econbiz.de/10005062278