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Nonparametric entropy-based tests of independence between stochastic processes

Fernandes, Marcelo; Néri, Breno de Andrade Pinheiro - In: Econometric reviews 29 (2010) 3, pp. 276-306

Persistent link: https://www.econbiz.de/10003965134

Lima, Luiz Renato; Néri, Breno de Andrade Pinheiro - In: Uncertainty analysis in econometrics with applications …, (pp. 17-30). 2013

Persistent link: https://www.econbiz.de/10009711170

Non-parametric specification tests for conditional duration models

Fernandes, Marcelo; Grammig, Joachim - 2000

Persistent link: https://www.econbiz.de/10001480448

Nonparametric specification tests for conditional duration models

Fernandes, Marcelo (contributor); … - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001955246

Estimating the stochastic discount factor without a utility function

Araújo, Fabio (contributor); … - 2005

Persistent link: https://www.econbiz.de/10002751084

Nonparametric specification tests for conditional duration models

Fernandes, Marcelo; Grammig, Joachim - In: Journal of econometrics 127 (2005) 1, pp. 35-68

Persistent link: https://www.econbiz.de/10002756914

A stochastic discount factor approach to asset pricing using panel data

Araújo, Fabio (contributor); … - 2006

Persistent link: https://www.econbiz.de/10003385262

A (semi)parametric functional coefficient logarithmic autoregressive conditional duration model

Fernandes, Marcelo; Medeiros, Marcelo C.; Veiga, Alvaro - In: Econometric reviews 35 (2016) 5/7, pp. 1221-1250

Persistent link: https://www.econbiz.de/10011591186

Price Discovery in a Continuous-Time Setting

Fruet Dias, Gustavo - 2020

We formulate a continuous-time price discovery model and investigate how the standard price discovery measures vary with respect to the sampling interval. We find that the component share measure is invariant to the sampling interval, and hence discrete-sampled prices suffice to identify the...

Persistent link: https://www.econbiz.de/10012855202

The efficiency of risk sharing between UK and US : robust estimation and calibration under market incompleteness

Fernandes, Marcelo; Ferreira Vieira Filho, Jose Gil - In: Brazilian review of econometrics : BRE ; the review of … 39 (2019) 2, pp. 303-326

Persistent link: https://www.econbiz.de/10012211815