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Marcelo Fernandes

Global rank #6454 92%

Institution: Fundação Getúlio Vargas (FGV)

Primary Field: Econometrics (weighted toward more recent publications)

Homepage: https://sites.google.com/site/mfernand72/home

First Publication: 2005

Most Recent: 2021

RePEc ID: pfe19 ↗

Publication Scores

Scores use coauthorship adjustment: α/n credit per paper, where n = number of authors. α = 2.01: calibrated so average adjusted count equals average raw count (a zero-sum adjustment).

Period S (4x) A (2x) B (1x) C (½x) Total
Last 5 Years 0.00 0.67 0.00 0.00 1.34
Last 10 Years 0.00 0.67 3.02 0.00 4.36
All Time 0.00 5.03 5.70 0.00 16.09

Publication Statistics

Raw Publications 13
Coauthorship-Adjusted Count 11.44

Publications (13)

Year Article Journal Tier Authors
2021 Smoothing Quantile Regressions Journal of Business & Economic Statistics A 3
2020 March madness in Wall Street: (What) does the market learn from stress tests? Journal of Banking & Finance B 3
2020 Testing for Jump Spillovers Without Testing for Jumps Journal of the American Statistical Association B 3
2019 A dynamic Nelson–Siegel model with forward-looking macroeconomic factors for the yield curve in the US Journal of Economic Dynamics and Control B 2
2017 Forecasting the Brazilian yield curve using forward-looking variables International Journal of Forecasting B 3
2014 Modeling and predicting the CBOE market volatility index Journal of Banking & Finance B 3
2012 International market links and volatility transmission Journal of Econometrics A 3
2007 Testing the Markov property with high frequency data Journal of Econometrics A 2
2007 Semiparametric methods in econometrics Journal of Econometrics A 3
2006 Financial crashes as endogenous jumps: estimation, testing and forecasting Journal of Economic Dynamics and Control B 1
2006 A family of autoregressive conditional duration models Journal of Econometrics A 2
2005 A multivariate conditional autoregressive range model Economics Letters C 3
2005 Nonparametric specification tests for conditional duration models Journal of Econometrics A 2