Room number: W312
Tel: +44 20 7882 8824
Fax: +44 20 8983 3580
Office hours: Tuesday 11:00-13:00
Research keywords: Empirical Finance, Financial Econometrics, and Empirical Market Microstructure
Marcelo has currently two lines of research. The first deals with the theory and application of nonparametric methods to high-frequency financial data. In particular, he has been working on a nonparametric framework for the analysis of volatility and jump spillovers as well as for identifying mispricings in the financial markets. Marcelo's second line of research aims to assess performance and risk-taking behaviour in the hedge fund industry.
- Fernandes, M. (2001) "Economics and literature: An examination of Gulliver's Travels", Journal of Economic Studies, 28, 92-105.
- Fernandes M. (2003) "Testing for a Flexible Non-Linear Link Between Short-term Eurorates and Spreads" European Journal of Finance
- Fernandes, M. "Testing for a flexible non-linear link between short-term Eurorates and spreads", (2003) European Journal of Finance, 9, 125-145.
- Fernandes M. (2004) "Bounds for the Probability Distribution Function of the ACD Model" Statistics and Probability Letters
- Fernandes, M. (2004) "Bounds for the probability distribution function of the ACD model", Statistics and Probability Letters, 68, 169-176.
- Fernandes, M. (2005 ) "Central limit theorem for asymmetric kernel functionals", (with Paulo Klinger Monteiro), Annals of the Institute of Statistical Mathematics, 57, 425-442.
- Fernandes, M. (2005 ) "A multivariate conditional autoregressive range model", (with Bernardo Mota and Guilherme Rocha), Economic Letters, 86, 435-440.
- Fernandes, M. (2005) "Nonparametric specification tests for conditional duration models", (with Joachim Grammig), Journal of Econometrics, 127, 35-68.
- Fernandes, M. (2005) "Alternative procedures to discriminate nonnested multivariate linear regression models", (with Maria Ivanilde Araújo and Basílio de Bragança Pereira), Communications in Statistics: Theory and Methods, 34, 2047-2062.
- Fernandes, M. "Financial crashes as endogenous jumps: Estimation, testing and forecasting", Journal of Economic Dynamics and Control, forthcoming
- Fernandes, M. "Separated families of models: Sir David Cox contributions and recent developments", (with Maria Ivanilde Araújo, Robert Cléroux, and Basílio de Bragança Pereira), Student, forthcoming
- Fernandes, M. (2005) "A family of autoregressive conditional duration models", (with Joachim Grammig), Journal of Econometrics.