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Marcelo Fernandes

Marcelo

Professor

Email: m.fernandes@qmul.ac.uk
Telephone: +44 20 7882 8824
Room Number: GC542
Office Hours: Monday and Friday, 11am-12pm

Profile

Research keywords: Financial Economics.

Marcelo’s research deals mainly with the theory and application of nonparametric methods to high-frequency financial data. He is particularly interested in empirical market microstructure (e.g., price discovery), though he has also been working on  different empirical asset pricing topics.

Research

Publications

  • Fernandes M., Mergulhão J. (2016) "Anticipatory effects in the FTSE 100 index revisions", Journal of Empirical Finance 37, 76-90.
  • Fernandes M., Medeiros MC., Veiga A. (2016) "The (semi-)parametric functional coefficient autoregressive conditional duration model", Econometric Reviews 35(7), 1221-1250.
  • Fernandes M., Mendes EF., Scaillet O. (2015) "Testing for symmetry and conditional symmetry using asymmetric kernels", Annals of the Institute of Statistical Mathematics, 67(4), 649-671.
  • Coelho D., Fernandes M., Foguel MN. (2014) "Foreign capital and gender differences in promotion: Evidence from large Brazilian manufacturing firms", Economia (The Journal of LACEA) 14(2).
  • Fernandes M., Medeiros M., Scharth M. (2013) "Modeling and predicting the CBOE market volatility index", Journal of Banking and Finance 40(1), 1-10.
  • Corradi V., Distaso W., Fernandes M. (2012) "International market links and volatility transmission", Journal of Econometrics 170(1), 117-141.
  • Fernandes M., Neri B. (2010) "Nonparametric entropy-based tests of independence between stochastic processes", Econometric Reviews 29(3), 276-306.
  • Fernandes M., Linton O., Scaillet O. (2007) "Guest Editorial: Semiparametric methods in econometrics", Journal of Econometrics 141(1), 1-4.
  • Amaro de Matos J., Fernandes M. (2007) "Testing the Markov property with high frequency data", Journal of Econometrics 141(1), 44-64.
  • Fernandes M., Rocha MADS. (2007) "Are price limits on futures markets that cool? Evidence from the Brazilian Mercantile and Futures Exchange", Journal of Financial Econometrics 5(2), 219-242.
  • Fernandes M., Grammig J. (2006) "A family of autoregressive conditional duration models", Journal of Econometrics 130(1), 1-23.
  • Fernandes M. (2006) "Financial crashes as endogenous jumps: Estimation, testing and forecasting", Journal of Economic Dynamics and Control 30(1), 111-141.
  • Fernandes M., Monteiro PK. (2005) "Central limit theorem for asymmetric kernel functionals", Annals of the Institute of Statistical Mathematics 57(3), 425-442.
  • Fernandes M., Grammig J. (2005) "Nonparametric specification tests for conditional duration models", Journal of Econometrics 127(1), 35-68.
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