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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
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Non-linearity and exchange rates
Fernandes, Marcelo - In: Journal of forecasting 17 (1998) 7, pp. 497-514
Persistent link: https://www.econbiz.de/10001363622
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Modeling and predicting the CBOE market volatility index
Fernandes, Marcelo; Medeiros, Marcelo C.; Scharth, Marcel - 2007
This paper performs a thorough statistical examination of the time-series properties of the market volatility index (VIX) from the Chicago Board Options Exchange (CBOE). The motivation lies on the widespread consensus that the VIX is a barometer to the overall market sentiment as to what...
Persistent link: https://www.econbiz.de/10011807372
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Non-parametric specification tests for conditional duration models
Fernandes, Marcelo; Grammig, Joachim - 2000
Persistent link: https://www.econbiz.de/10001480448
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A family of autoregressive conditional duration models
Fernandes, Marcelo; Grammig, Joachim - 2001
Persistent link: https://www.econbiz.de/10001640351
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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
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Market microstructure models and the Markov property
Matos, João Amaro de; Fernandes, Marcelo - 2000
Persistent link: https://www.econbiz.de/10001541064
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Modeling and predicting the CBOE market volatility index
Fernandes, Marcelo (contributor);  … - 2007
Persistent link: https://www.econbiz.de/10003520954
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A family of autoregressive conditional duration models
Fernandes, Marcelo; Grammig, Joachim - In: Journal of econometrics 130 (2006) 1, pp. 1-23
Persistent link: https://www.econbiz.de/10003228621
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A dynamic Nelson-Siegel model with forward-looking indicators for the Yield curve in the US
Vieira, Fausto; Chague, Fernando; Fernandes, Marcelo - 2016
Persistent link: https://www.econbiz.de/10011635750