Publications

Pizzinga and Fernandes (2023) Diffuse Kalman filtering with linear constraints on the state parameters, Communications in Statistics: Theory and Methods 52, 8884-8893.

Cerqueira, Coelho, Donohue, Fernandes and Pinto Jr. (2022) A panel-based proxy for gun prevalence in the US and Mexico, International Review of Law and Economics 71, Article 106080, 1–12.

Dias, Fernandes and Scherrer (2021) Price discovery in continuous time, Journal of Financial Econometrics 19, 985–1008.

Scherrer and Fernandes (2021) The effect of voting rights on firm value, International Review of Finance 21, 1106–1111.

Pizzinga and Fernandes (2021) Extension to the invariance property of maximum likelihood estimation for affine-transformed state space models, Journal of Time Series Analysis  42(3), 355–371.

Fernandes, Guerre and Horta (2021) Smoothing quantile regressions, Journal of Business Economics and Statistics 39(1), 338–357.

Corradi, Distaso and Fernandes (2020) Testing for jump spillovers without testing for jumps, Journal of the American Statistical Association 115, 1214–1226.

Fernandes, Igan and Pinheiro (2020) March madness in Wall Street: (What) does the market learn from stress tests?, Journal of Banking and Finance 112, Article 105250.

Vieira and Fernandes (2019) A dynamic Nelson-Siegel model with forward-looking indicators for the yield curve in the US, Journal of Economic Dynamics and Control 106, Article 103720.

Cerqueira, Coelho, Fernandes, and Pinto Jr (2018) Guns and suicides, American Statistician 72(3), 289–294.

Fernandes and Scherrer (2018) Price discovery in dual-class shares across multiple markets, Journal of Futures Markets 38(1), 129–155.

Vieira, Chague and Fernandes (2017) Forecasting the Brazilian yield curve using forward-looking variables, International Journal of Forecasting 33(1), 121–131.

Fernandes, Medeiros and Veiga (2016) The (semi-)parametric functional coefficient autoregressive conditional duration model, Econometric Reviews 35(7), 1221–1250.

Fernandes and Mergulhão (2016) Anticipatory effects in the FTSE 100 index revisions, Journal of Empirical Finance 37, 76–90.

Fernandes, Mendes and Scaillet (2015) Testing for symmetry and conditional symmetry using asymmetric kernels, Annals of the Institute of Statistical Mathematics 67(4), 649–671.

Coelho, Fernandes and Foguel (2014) Foreign capital and gender differences in promotion: Evidence from large Brazilian manufacturing firms, Economia (LACEA Journal) 14(2).

Fernandes, Medeiros and Scharth (2014) Modeling and predicting the CBOE market volatility index, Journal of Banking and Finance 40(1), 1–10.

Corradi, Distaso, and Fernandes (2012) International market links and volatility transmission, Journal of Econometrics 170(1), 117–141.

Fernandes and Neri (2010) Nonparametric entropy-based tests of independence between stochastic processes, Econometric Reviews 29(3), 276–306.

Fernandes, Linton, and Scaillet (2007) Guest Editorial: Semiparametric methods in econometrics, Journal of Econometrics 141(1), 1–4.

Amaro de Matos and Fernandes (2007) Testing the Markov property with high frequency data, Journal of Econometrics 141(1), 44–64.

Fernandes and Rocha (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 (2006) Financial crashes as endogenous jumps: Estimation, testing and forecasting, Journal of Economic Dynamics and Control 30(1), 111–141.

Fernandes and Grammig (2006) A family of autoregressive conditional duration models, Journal of Econometrics 130(1), 1–23.

Araujo, Pereira, Cleroux, Fernandes, and Lazraq (2005) Separated families of models: Sir David Cox contributions and recent developments, Student 5(3), 251–258.

Fernandes and Monteiro (2005) Central limit theorem for asymmetric kernel functionals, Annals of the Institute of Statistical Mathematics 57(3), 425–442.

Araujo, Fernandes, and Pereira (2005) Alternative procedures to discriminate non nested multivariate linear regression models, Communications in Statistics: Theory and Methods 34(9), 2047–2062.

Fernandes and Grammig (2005) Nonparametric specification tests for conditional duration models, Journal of Econometrics 127(1), 35–68.

Fernandes, Mota, and Rocha (2005) A multivariate conditional autoregressive range model, Economic Letters 86(3), 435–440.

Fernandes (2004) Bounds for the probability distribution function of the linear ACD process, Statistics and Probability Letters 68(2), 169–176.

Fernandes (2003) Testing for a flexible non-linear link between short-term Eurorates and spreads, European Journal of Finance 9(2), 125–145.

Fernandes (2001) Economics and literature: An examination of Gulliver's Travels, Journal of Economic Studies 28(2), 92–105.

Fernandes (1998) Nonlinearity and exchange rates, Journal of Forecasting 17(7), 497–514.