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Fundação Getúlio Vargas (FGV). Escola de Economia de São Paulo (EESP) (Institutional affiliation from the last research proposal) Birthplace: Brazil
Marcelo holds a BA in Economics from Universidade Federal do Rio de Janeiro, a MSc in Economics from the Graduate School of Economics (Fundação Getulio Vargas, Rio de Janeiro) and a PhD in Management Science (FInance) from the Université Libre de Bruxelles. After a long period as a Professor at Queen Mary University of London, he is currently Professor of Finance at the Sao Paulo School of Economics. His research interests include financial econometrics, empirical finance, market microstructures, and nonparametric methods. (Source: Lattes Curriculum)
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This project deals with new methodologies for econometric modelling and forecasting in high dimensional and/or frequency setting, as well as mixed-data frequencies setting. One of the challenges in econometrics in high dimensional problems is to deal with complex world, including structural changes, using sparce vector autoregressive models and dense (factors). Applications of these metho…
This project focuses mainly on three lines of research. The first follows up on _Price discovery in high-dimensional arbitrage portfolios_ (FAPESP 2013/22930-0), which extended the standard price discovery analysis to a number of different settings. Fernandes & Scherrer (2018) show how to tackle the situation in which the underlying asset trades at multiple trading platforms, not necessar…
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Forecasting models are used not only in academic settings but also in commercial environments. Their applications include planning and budgeting, risk management, strategic decision-making, resource allocation, among others. These models can be studied and employed to learn from empirical evidence, improve forecasting accuracy, and explore how this learning could be used to advance both t…
What would have been the impact of a demand shock by Petrobras' share, which hit the portfolios under Banco Itaú's management in each period, on Vale's share price? What would have been the impact on the price of Petrobras' shares? An asset demand system is a matrix of numbers capable of representing these impacts due to managers portfolios in the Brazilian market. A liquidity matrix for …
The PhD's Thesis proposed in this research project aims at complementing the literature of unit root and cointegration tests for (near-) integrated limited series. In order to achieve this goal, we seek to derivate the asymptotic distribution for tests in multivariate (in particular, cointegration tests) and panel data frameworks. Many economic and financial series, such as interest and e…
| 1 / 1 | Ongoing grants |
| 4 / 4 | Completed research grants |
| 1 / 1 | Ongoing scholarships in Brazil |
| 3 / 3 | Completed scholarships in Brazil |
| 9 / 9 | All research grants and scholarships |
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