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Economics Department Staff

Economics at Queen Mary University of London

Marcelo Fernandes

Email: m.fernandes@qmul.ac.uk
Professor
On sabbatical academic year 08-09
Room number: W312
Office hours: Monday 15:00 16:00 Tuesday 15:00 17:00
Telephone: +44 (0)20 7882 8824
Internal extension: 8824
Website: http://webspace.qmul.ac.uk/mfernandes/

Marcelo's research interests are in econometric theory, financial econometrics and empirical finance. Most of his work deals with the theory and application of nonparametric methods to high frequency financial data, although he is also interested in nonparametric testing of properties such as symmetry and independence. As for empirical finance, he is currently working on a preferences-free estimator of the stochastic discount factor and on the evaluation of 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.