Corradi, Valentina; Distaso, Walter; Fernandes, Marcelo Testing for jump spillovers without testing for jumps. (English) Zbl 1441.62262 J. Am. Stat. Assoc. 115, No. 531, 1214-1226 (2020). MSC: 62P05 62G10 91G70 PDF BibTeX XML Cite \textit{V. Corradi} et al., J. Am. Stat. Assoc. 115, No. 531, 1214--1226 (2020; Zbl 1441.62262) Full Text: DOI
Fernandes, Marcelo; Vieira, Fausto A dynamic Nelson-Siegel model with forward-looking macroeconomic factors for the yield curve in the US. (English) Zbl 1425.91414 J. Econ. Dyn. Control 106, Article ID 103720, 19 p. (2019). MSC: 91G30 91B82 PDF BibTeX XML Cite \textit{M. Fernandes} and \textit{F. Vieira}, J. Econ. Dyn. Control 106, Article ID 103720, 19 p. (2019; Zbl 1425.91414) Full Text: DOI
Fernandes, Marcelo; Grammig, Joachim A family of autoregressive conditional duration models. (English) Zbl 1337.62259 J. Econom. 130, No. 1, 1-23 (2006). MSC: 62M10 91B84 60G10 PDF BibTeX XML Cite \textit{M. Fernandes} and \textit{J. Grammig}, J. Econom. 130, No. 1, 1--23 (2006; Zbl 1337.62259) Full Text: DOI
Fernandes, Marcelo Financial crashes as endogenous jumps: estimation, testing and forecasting. (English) Zbl 1198.91234 J. Econ. Dyn. Control 30, No. 1, 111-141 (2006). MSC: 91G70 62M10 62P05 PDF BibTeX XML Cite \textit{M. Fernandes}, J. Econ. Dyn. Control 30, No. 1, 111--141 (2006; Zbl 1198.91234) Full Text: DOI
Fernandes, Marcelo Bounds for the probability distribution function of the linear ACD process. (English) Zbl 1097.62080 Stat. Probab. Lett. 68, No. 2, 169-176 (2004). MSC: 62M10 62P05 91B28 PDF BibTeX XML Cite \textit{M. Fernandes}, Stat. Probab. Lett. 68, No. 2, 169--176 (2004; Zbl 1097.62080) Full Text: DOI