Modeling and predicting the CBOE market volatility index M Fernandes, MC Medeiros, M Scharth Journal of Banking & Finance 40, 1-10, 2014 | 310 | 2014 |
A family of autoregressive conditional duration models M Fernandes, J Grammig Journal of Econometrics 130 (1), 1-23, 2006 | 268 | 2006 |
Nonparametric specification tests for conditional duration models M Fernandes, J Grammig Journal of Econometrics 127 (1), 35-68, 2005 | 135 | 2005 |
March madness in Wall Street:(What) does the market learn from stress tests? M Fernandes, D Igan, M Pinheiro Journal of Banking & Finance 112, 105250, 2020 | 83 | 2020 |
Smoothing quantile regressions M Fernandes, E Guerre, E Horta Journal of Business & Economic Statistics 39 (1), 338-357, 2021 | 78 | 2021 |
Nonparametric entropy-based tests of independence between stochastic processes M Fernandes, B Néri Econometric Reviews 29 (3), 276-306, 2009 | 56 | 2009 |
International market links and volatility transmission V Corradi, W Distaso, M Fernandes Journal of Econometrics 170 (1), 117-141, 2012 | 46 | 2012 |
A multivariate conditional autoregressive range model M Fernandes, B de Sá Mota, G Rocha Economics Letters 86 (3), 435-440, 2005 | 45 | 2005 |
O mecanismo de transmissão monetária na economia brasileira pós-Plano Real M Fernandes, J Toro Revista Brasileira de Economia 59 (1), 5-32, 2005 | 38* | 2005 |
Desempenho de estimadores de volatilidade na Bolsa de Valores de São Paulo BS Mota, M Fernandes Revista Brasileira de Economia 58 (3), 429-448, 2004 | 38 | 2004 |
Statistics for business and economics M Fernandes Bookboon, 2008 | 34 | 2008 |
Financial crashes as endogenous jumps: estimation, testing and forecasting M Fernandes Journal of Economic Dynamics and Control 30 (1), 111-141, 2006 | 34* | 2006 |
Anticipatory effects in the FTSE 100 index revisions M Fernandes, J Mergulhão Journal of Empirical Finance 37, 79-90, 2016 | 29 | 2016 |
Central limit theorem for asymmetric kernel functionals M Fernandes, PK Monteiro Annals of the Institute of Statistical Mathematics 57 (3), 425-442, 2005 | 25 | 2005 |
Price discovery in dual‐class shares across multiple markets M Fernandes, CM Scherrer Journal of Futures Markets 38 (1), 129-155, 2018 | 24 | 2018 |
Non‐linearity and exchange rates M Fernandes Journal of Forecasting 17 (7), 497-514, 1998 | 22 | 1998 |
Testing the Markov property with high frequency data J Amaro de Matos, M Fernandes Journal of Econometrics 141 (1), 44-64, 2007 | 21 | 2007 |
Price discovery in a continuous-time setting GF Dias, M Fernandes, CM Scherrer Journal of Financial Econometrics, 2021 | 19* | 2021 |
Estimating the stochastic discount factor without a utility function F Araujo, JV Issler, M Fernandes Fundação Getulio Vargas, 2005 | 19* | 2005 |
A dynamic Nelson–Siegel model with forward-looking macroeconomic factors for the yield curve in the US M Fernandes, F Vieira Journal of Economic Dynamics and Control 106, 103720, 2019 | 18* | 2019 |