Browsing Congressos / RP by Author "Fernandes, Marcelo"

Now showing items 1-4 of 4

    • Price discovery and market microstructure noise 

      Fernandes, Marcelo; Dias, Gustavo Fruet; Scherrer, Cristina Mabel
      2019-01-21
      Using a continuous-time price discovery model, we show that the standard econometric framework typically yields inconsistent estimates of the price discovery measures in the presence of market microstructure noise due the ...

    • Smoothing quantile regressions 

      Fernandes, Marcelo; Emmanuel, Guerre
      2018-04-08
      We propose to smooth the entire objective function rather than only the check function in a linear quantile regression context. We derive a uniform Bahadur-Kiefer representation for the resulting convolution-type kernel ...

    • Testing for jump spillovers without testing for jumps 

      Corradi, Valentina; Distaso, Walter; Fernandes, Marcelo
      2017-09-30
      This paper develops statistical tools for testing conditional independence among the jump components of the daily quadratic variation, which we estimate using intraday data. To avoid sequential bias distortion, we do not ...

    • Testing for jump spillovers without testing for jumps 

      Corradi, Valentina; Distaso, Walter; Fernandes, Marcelo
      2017
      This paper develops statistical tools for testing conditional independence among the jump components of the daily quadratic variation, which we estimate using intraday data. To avoid sequential bias distortion, we do not ...