FERNANDES, Marcelo

Education: 

Ph.D. - Université Libre de Bruxelles

Research Areas: 

  • Econometrics
  • Empirical Finance

E-mail: 

Selected publications: 

Forecasting the Brazilian Yield Curve Using Forward-Looking Variables (with F. Araújo and F. Chague), International Journal of Forecasting, 33, 121-131 (2017).

Anticipatory Effects in the FTSE 100 Index Revisions (with J. Mergulhão), Journal of Empirical Finance, 37, 76-90 (2016).

Modeling and Predicting the CBOE Market Volatility Index (with M. Medeiros and M. Scharth), Journal of Banking and Finance, 40, 1-10 (2014).

International Market Links and Volatility Transmission (with V. Corradi and W. Distaso), Journal of Econometrics, 170, 117-141 (2012).