Now showing items 1-12 of 12

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

      Fernandes, Marcelo; Rocha, Marco Aurélio dos Santos (Escola de Pós-Graduação em Economia da FGV, 2006-11-01)
      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 ...
    • Bounds for the probability distribution function of the linear ACD process 

      Fernandes, Marcelo (Escola de Pós-Graduação em Economia da FGV, 2003-07-01)
      This paper derives both lower and upper bounds for the probability distribution function of stationary ACD(p, q) processes. For the purpose of illustration, I specialize the results to the main parent distributions in ...
    • Central limit theorem for asymmetric kernel functionals 

      Fernandes, Marcelo; Monteiro, P. K. (Escola de Pós-Graduação em Economia da FGV, 2004-02-01)
      Asymmetric kernels are quite useful for the estimation of density functions with bounded support. Gamma kernels are designed to handle density functions whose supports are bounded from one end only, whereas beta kernels ...
    • Desempenho de estimadores de volatilidade na Bolsa de Valores de São Paulo 

      Fernandes, Marcelo; Mota, Bernardo de Sá (Escola de Pós-Graduação em Economia da FGV, 2002-10-01)
      O objetivo deste trabalho é avaliar o desempenho de diferentes métodos de extração da volatilidade do Índice da Bolsa de Valores de São Paulo (IBOVESPA) tendo como referência a volatilidade realizada. Comparamos modelos ...
    • Estimating the stochastic discount factor without a utility function 

      Araújo, Fabio; Issler, João Victor; Fernandes, Marcelo (Escola de Pós-Graduação em Economia da FGV, 2005-03-14)
      Using the Pricing Equation in a panel-data framework, we construct a novel consistent estimator of the stochastic discount factor (SDF) which relies on the fact that its logarithm is the serial-correlation ìcommon featureîin ...
    • A family of autoregressive conditional duration models 

      Fernandes, Marcelo; Grammig, Joachim (Escola de Pós-Graduação em Economia da FGV, 2003-10-05)
      This paper develops a family of autoregressive conditional duration (ACD) models that encompasses most specifications in the literature. The nesting relies on a Box-Cox transformation with shape parameter λ to the conditional ...
    • A family of autoregressive conditional duration models 

      Fernandes, Marcelo; Grammig, Joachim (Escola de Pós-Graduação em Economia da FGV, 2002-03-18)
      This paper develops a family of autoregressive conditional duration (ACD) models that encompasses most specifications in the literature. The nesting relies on a Box-Cox transformation with shape parameter λ to the conditional ...
    • O mecanismo monetário de transmissão na economia brasileira pós-Plano Real 

      Fernandes, Marcelo; Toro, Juan (Escola de Pós-Graduação em Economia da FGV, 2002-04-18)
      Esse trabalho estima um modelo vetor autorregressivo cointegrado para analisar os mecanismos monetários de transmissão na economia brasileira pós-Plano Real. Os resultados indicam que a taxa de inflação segue um processo ...
    • Nonparametric entropy-based tests of independence between stochastic processes 

      Fernandes, Marcelo (Escola de Pós-Graduação em Economia da FGV, 2001-03-01)
      This paper develops nonparametric tests of independence between two stationary stochastic processes. The testing strategy boils down to gauging the closeness between the joint and the product of the marginal stationary ...
    • Nonparametric specification tests for conditional duration models 

      Fernandes, Marcelo; Grammig, Joachim (Escola de Pós-Graduação em Economia da FGV, 2003-10-06)
      This paper deals with the testing of autoregressive conditional duration (ACD) models by gauging the distance between the parametric density and hazard rate functions implied by the duration process and their non-parametric ...
    • A stochastic discount factor approach to asset pricing using panel data 

      Araújo, Fabio; Issler, João Victor; Fernandes, Marcelo (Escola de Pós-Graduação em Economia da FGV, 2006-11-01)
      Using the Pricing Equation, in a panel-data framework, we construct a novel consistent estimator of the stochastic discount factor (SDF) mimicking portfolio which relies on the fact that its logarithm is the ìcommon ...
    • Testing the Markov property with ultra high frequency financial data 

      Matos, João Manuel Gonçalves Amaro de; Fernandes, Marcelo (Fundação Getulio Vargas, 2001-03-01)
      This paper develops a framework to test whether discrete-valued irregularly-spaced financial transactions data follow a subordinated Markov process. For that purpose, we consider a specific optional sampling in which a ...