Guilherme de Oliveira Lima Cagliari Marques

Scopus Publications

Dynamics of persistence in Brazilian economic uncertainty, expectation, and confidence indexes
Guilherme de Oliveira Lima Cagliari Marques, Mateus Gonzalez de Freitas Pinto
Finance Research Letters, 2024
Jump detection in high-frequency financial data using wavelets
Mateus Gonzalez de Freitas Pinto, Guilherme de Oliveira Lima C. Marques, Chang Chiann
International Journal of Wavelets Multiresolution and Information Processing, 2023
The presence of spikes or cusps in high-frequency return series might generate problems in terms of inference and estimation of the parameters in volatility models. For example, the presence of jumps in a time series can influence sample autocorrelations, which can cause misidentification or generate spurious ARCH effects. On the other hand, these jumps might also hide relevant heteroskedastic behavior of the dependence structure of a series, leading to identification issues and a poorer fit to a model. This paper proposes a wavelet-shrinkage method to separate out jumps in high-frequency financial series, fitting a suitable model that accounts for its stylized facts. We also perform simulation studies to assess the effectiveness of the proposed method, in addition to illustrating the effect of the jumps in time series. Lastly, we use the methodology to model real high-frequency time series of stocks traded on the Brazilian Stock Exchange and OTC and a series of cryptocurrencies trades.
Persistência e memória longa sazonal na série de desemprego da região metropolitana de São Paulo
Guilherme de O. L. C Marques, Vera Lúcia Fava
Economia Aplicada, 2011
Empirical aspects of the Whittle-based maximum likelihood method in jointly estimating seasonal and non-seasonal fractional integration parameters
G.O.L.C. Marques
Physica A Statistical Mechanics and Its Applications, 2011
Evaluating the efficiency of fractional integration parameter estimators
G. O.L.C. Marques
Journal of Statistical Computation and Simulation, 2010

Guilherme de Oliveira Lima Cagliari Marques

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Scopus Publications