Research

Batista and Fernandes (2023) Semivolatility-managed portfolios

Dias, Fernandes and Scherrer (2022) Time-varying price discovery

Corradi, Distaso, Fernandes, and Lunde (2020) Betting on conditional alphas

Dias, Fernandes and Scherrer (2020) Price discovery and market microstructure noise

Fernandes and Mendes (2020) Nonparametric testing of conditional independence using asymmetric kernels

Fernandes and Novaes (2020) The government as an active large shareholder: Impact on corporate governance

Distaso, Fernandes and Zikes (2017) Tailing tail risk in the hedge fund industry