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 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…
This research project aims to extend the standard methodology for price discovery to tackle more general arbitrage situations in which the underlying assets trade at different markets and/or platforms. Hasbrouck's (1995) information share measure is problematic because, in the presence of contemporaneous correlation between the innovations, it depends heavily on the ordering we attribute…
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…
| 3 / 3 | Completed research grants |
| 2 / 2 | Completed scholarships in Brazil |
| 5 / 5 | All research grants and scholarships |
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