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Bid-ask spreads in a stock exchange without market specialists

Minardi, Andrea Maria Accioly Fonseca; Sanvicente, … - In: Latin American business review : journal of the … 7 (2006) 2, pp. 19-39

Persistent link: https://www.econbiz.de/10003422145

A hybrid data cloning maximum likelihood estimator for stochastic volatility models

Laurini, Márcio Poletti - In: Journal of time series econometrics 5 (2013) 2, pp. 193-229

Persistent link: https://www.econbiz.de/10010225441

A continuous spatio-temporal model for house prices in the USA

Laurini, Márcio Poletti - In: The annals of regional science : an international … 58 (2017) 1, pp. 209-233

Persistent link: https://www.econbiz.de/10011864479

Futuros de swap de variância e volatilidade na BM&F - apreçamento e viabilidade de Hedge Richard John Brostowicz Junior

Laurini, Márcio Poletti - 2009

Persistent link: https://www.econbiz.de/10008798501

Estimação de modelos de volatilidade estocástica usando métodos de verossimilhança empírica mínimo contraste generalizados

Laurini, Márcio Poletti - 2009

Persistent link: https://www.econbiz.de/10008806228

Long memory in the R$, US$ exchange rate : a robust analysis

Laurini, Márcio Poletti; Portugal, Marcelo Savino - In: Brazilian review of econometrics : the review of the … 24 (2004) 1, pp. 109-147

Persistent link: https://www.econbiz.de/10003116247

Multivariate Stochastic Volatility-Double Jump Model : An Application for Oil Assets

Laurini, Márcio Poletti - 2017

We propose a new multivariate model to capture the presence of jumps in mean and conditional variance in the returns of oil prices and companies in this sector. The model is based on the presence of common factors associated with jumps in mean and variance, as it performs a decomposition of the...

Persistent link: https://www.econbiz.de/10012947795

Can Brazilian Central Bank communication help to predict the yield curve?

Alves, Cássio Roberto de Andrade; Abraham, Kuruvilla Joseph - In: Journal of forecasting 42 (2023) 6, pp. 1429-1444

Persistent link: https://www.econbiz.de/10014338912

Time-varying higher moments in Bitcoin

Vieira, Leonardo Ieracitano; Laurini, Márcio Poletti - In: Digital finance : smart data analytics, investment … 5 (2023) 2, pp. 231-260

Persistent link: https://www.econbiz.de/10014369257

Interest rate forecasting with principal component analysis based on long-run covariance matrix

Hissinaga, Hugo; Laurini, Márcio Poletti - In: Annals of financial economics 19 (2024) 2, pp. 1-50

Persistent link: https://www.econbiz.de/10015323569