Access Statistics for Pedro L. Valls Pereira

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A substituição de moeda no Brasil: a moeda indexada 0 0 1 204 0 1 8 410
ANÁLISE DA ESTRUTURA DE DEPENDÊNCIA DAVOLATILIDADE ENTRE SETORES DURANTE A CRISE DO SUBPRIME 0 0 0 11 0 3 5 67
Analysis of contagion from the constant conditional correlation model with Markov regime switching 0 0 0 41 0 5 17 117
Análise da estrutura de dependência da volatilidade entre setores durante a crise do subprime 0 0 1 36 0 2 4 100
Análise do Desempenho de Regras de Análise Técnica Aplicada ao Mercado Intradiário do Contrato Futuro do Índice Bovespa 0 0 0 81 1 5 12 270
Análise do desempenho de regras da análise técnica aplicada ao mercado intradiário do contrato futuro do índice Ibovespa 0 0 0 52 0 3 11 193
Arbitrage Pricing Theory (APT) e variáveis macroeconômicas. Um estudo empírico sobre o mercado acionário brasileiro 0 1 1 499 0 2 4 1,443
Arbitrage Pricing Theory (APT) e variáveis macroeconômicas: um estudo empírico sobre o mercado acionário brasileiro 0 0 1 24 1 3 9 433
Asset allocation with Markovian regime switching: efficient frontier and tangent portfolio with regime switching 0 0 2 21 2 6 21 93
Automatic model selection for forecasting Brazilian stock returns 0 0 0 38 0 4 12 75
Comparação de carteiras otimizadas segundo o critério média-variância formadas através de estimativas robustas de risco e retorno 0 0 1 47 0 3 9 139
Credit shocks and monetary policy in Brazil: a structural FAVAR approach 0 0 0 65 0 2 6 133
Cópulas: uma alternativa para a estimação de modelos de risco multivariados 0 0 0 43 0 2 7 143
Dynamic D-Vine copula model with applications to Value-at-Risk (VaR) 0 0 0 55 1 7 19 152
Economic cycles and term structure: application to Brazil 0 0 1 70 1 3 8 172
Effects of official and unofficial central bank communication on the Brazilian interest rate curve 0 0 0 33 5 7 18 87
Evaluating the existence of structural change in the brazilian term structure of interest: evidence based on cointegration models with structural break 0 0 0 28 0 1 8 92
Evaluation of contagion or interdependence in the financial crises of Asia and Latin America, considering the macroeconomic fundamentals 0 0 1 92 0 10 22 245
Forecast comparison with nonlinear methods for Brazilian industrial production 0 0 1 22 0 2 9 121
Forecasting Conditional Covariance Matrices in High-Dimensional Time Series: a General Dynamic Factor Approach 0 1 1 96 0 2 22 272
Forecasting VaR and ES through Markov-switching GARCH models: does the specication matter? 1 3 7 14 5 23 61 77
Forecasting conditional covariance matrices in high-dimensional time series: a general dynamic factor approach 0 0 2 17 1 4 14 84
How Persistent is Volatility? An Answer with Stochastic Volatility Models with Markov Regime Switching State Equations 0 0 0 272 0 4 10 645
Insucesso do plano cruzado: a evidência empírica da inflação 100% inércia para o Brasil 0 0 0 23 2 2 6 750
Modelagem e previsão de volatilidade realizada: evidências para o Brasil 0 0 0 35 0 4 17 144
Modelando a volatilidade dos retornos de Petrobrás usando dados de alta frequência 0 0 0 54 0 0 4 125
Modelando contágio financeiro através de cópulas 0 0 0 42 0 2 6 142
Mudança de regime e efeito ARCH em volatilidade: um estudo dos choques das cotações do Petróleo 0 0 0 7 0 0 6 29
Mudanças de regime e persistência dos choques sobre a volatilidade para a série de preços do petróleo: uma análise comparativa da família GARCH e modelos com mudança de regime Markoviana – MSIH e SWARCH 0 0 0 38 0 1 2 129
O conteúdo informacional das transações no mercado futuro de câmbio: uma investigação do caso brasileiro 0 0 0 32 0 2 10 111
O mercado de câmbio brasileiro pela ótica da microestutura 0 0 0 17 0 6 15 56
ORIGINAL SIN E PRICE DISCOVERY NOMERCADO DE BONDS SOBERANOS EM REAIS 0 0 0 28 1 1 8 78
Ombro-cabeça-ombro: testando a lucratividade do padrão gráfico de análise técnica no mercado de ações brasileiro 0 0 0 62 0 2 6 245
On the robustness of the general dynamic factor model with infinite-dimensional space: identification, estimation, and forecasting 0 0 0 58 0 1 16 113
On the robustness of the principal volatility components 0 0 0 25 3 6 12 82
Portfolio pumping no mercado acionário brasileiro 0 0 0 6 1 3 10 35
Predictability of Equity Models 0 0 0 66 0 3 5 176
Predictability of equity models 0 0 0 45 0 5 14 111
Previsão de retornos intradiários através de regressões usando funções-núcleo 0 0 0 28 0 2 8 94
Realized volatility: evidence from Brazil 0 0 0 63 1 3 18 117
Robustness and the general dynamic factor model with infinite-dimensional space: identification, estimation, and forecasting 0 0 0 17 2 8 19 68
Sistemas técnicos de trading no mercado de ações brasileiro: testando a hipótese de eficiência de mercado em sua forma fraca e avaliando se a análise técnica agrega valor 0 0 0 61 0 7 17 176
Speculative bubbles and contagion: analysis of volatility's clusters during the DotCom bubble based on the dynamic conditional correlation model 0 0 1 19 0 3 13 94
Switching Regime Models: applications to trading rules 0 0 0 0 0 1 3 251
TESTANDO A HIPÓTESE DE CONTÁGIO A PARTIR DE MODELOS MULTIVARIADOS DE VOLATILIDADE 0 0 0 63 0 4 7 226
Testando o poder preditivo do VIX: uma aplicação do modelo de erro multiplicativo 0 0 0 23 0 2 10 86
Testing the Hypothesis of Contagion using Multivariate Volatility Models 0 0 0 58 1 3 16 209
Testing the hypothesis of contagion using multivariate volatility models 0 0 0 37 1 4 14 141
Testing the long-run implications of the expectation hypothesis using cointegration techniques with structural change 0 0 0 55 1 1 6 194
Testing the long-run implications of the expectation hypothesis using cointegration techniques with structural change 0 0 0 21 0 4 10 101
The Brazilian foreign exchange market through the microstructure perspective 0 0 0 8 0 0 5 35
Trend, Seasonality and Seasonal Adjustment 0 0 1 98 1 2 7 113
Um estudo sobre os ciclos de negócios brasileiro (1900-2012) 0 0 1 33 0 4 9 67
Uncertainty times for portfolio selection at financial market 0 0 0 23 0 5 16 52
Velocidade da moeda e ciclos econômicos no Brasil, 1900-2016 0 1 3 3 2 11 27 28
“Ombro-Cabeça-Ombro”: Testando a Lucratividade do Padrão Gráfico de Análise Técnica no Mercado de Ações Brasileiro 0 0 0 67 1 8 30 335
Total Working Papers 1 6 26 3,076 34 214 688 10,276
22 registered items for which data could not be found

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Study of the Brazilian business cycles (1900 – 2012) 0 0 3 12 0 1 14 53
ALTERNATIVE MODELS TO EXTRACT ASSET VOLATILITY: A COMPARATIVE STUDY 0 0 0 3 1 3 6 23
Analysis of contagion from the dynamic conditional correlation model with Markov Regime switching 0 0 0 7 0 2 8 51
Analysis of performance of technical trading rules applied to the market of intraday Ibovespa index futures contracts 1 1 1 11 1 3 11 53
Analysis of the volatility's dependency structure during the subprime crisis 0 0 0 21 0 0 10 77
Asset Allocation with Markovian Regime Switching: Efficient Frontier and Tangent Portfolio with Regime Switching 1 1 1 6 2 4 6 40
Co-Integração e suas Representações: Uma Resenha 0 0 0 3 0 2 3 21
Conditional stochastic kernel estimation by nonparametric methods 0 0 0 127 0 1 6 361
Convergence clubs among Brazilian municipalities 0 0 2 75 1 5 14 303
Credit Shocks and Monetary Policy in Brazil: A Structural Favar Approach 0 0 0 6 1 5 11 42
Dynamic D-Vine Copula Model with Applications to Value-at-Risk (VaR) 0 0 0 33 1 6 19 148
Effect of outliers on forecasting temporally aggregated flow variables 0 0 0 33 0 2 7 138
Estimação do hiato do produto via componentes não observados 0 0 0 0 1 1 5 12
Evaluation of contagion or interdependence in the financial crises of Asia and Latin America, considering the macroeconomic fundamentals 0 0 0 57 2 7 17 202
Exact likelihood function for a regression model with MA(1) errors 0 0 0 108 0 0 5 328
Exploring co-explosive dynamics: Bitcoin price, attractiveness, and sentiment variables 0 0 1 1 1 2 38 39
Filtragem e Previsão com Modelos de Voltalidade: Voltalidade Estocastica versus GARCH 0 0 0 2 0 3 6 29
Forecasting Conditional Covariance Matrices in High-Dimensional Time Series: A General Dynamic Factor Approach 0 0 1 4 0 1 11 38
Forecasting Industrial Production Using Its Aggregated and Disaggregated Series or a Combination of Both: Evidence from One Emerging Market Economy 0 1 1 17 1 4 16 61
Forecasting intraday volatility and densities using deep learning 0 0 1 1 2 13 16 16
Head and Shoulders: Testing the Profitability of this Chart Pattern of Technical Analysis in the Brazilian Stock Market 0 0 4 21 2 15 33 98
How Persistent is Stock Return Volatility? An Answer with Markov Regime Switching Stochastic Volatility Models 0 0 0 1 2 5 8 18
Income convergence clubs for Brazilian Municipalities: a non-parametric analysis 0 0 0 70 2 5 11 293
Missing observations in stochastic difference equation with arma errors 0 0 0 1 0 0 7 19
Modeling Financial Contagion using Copula 0 0 0 23 0 0 4 79
Modeling and Forecasting of Realized Volatility: Evidence from Brazil 0 0 0 5 0 4 7 47
Modeling the Interest Rate Term Structure: Derivatives Contracts Dynamics and Evaluation 0 0 0 3 2 5 11 33
On the robustness of the principal volatility components 0 0 1 9 0 1 12 49
Paridade do Poder de Compra: Testando Dados Brasileiros 0 0 0 7 1 3 8 61
Predictability of Equity Models 0 0 0 15 0 5 8 51
Review of major results of Martingale theory applied to the valuation of contingent claims 0 0 0 5 1 2 12 38
Robustness and the general dynamic factor model with infinite-dimensional space: Identification, estimation, and forecasting 0 0 0 4 1 6 12 33
Small sample properties of GARCH estimates and persistence 0 1 6 319 1 13 38 1,176
Speculative bubbles and contagion: Analysis of volatility’s clusters during the DotCom bubble based on the dynamic conditional correlation model 0 0 0 5 0 2 10 41
Taxa de Câmbio Real e Paridade de Poder de Compra no Brasil 0 0 0 5 0 3 4 38
Testing the Hypothesis of Contagion Using Multivariate Volatility Models 0 0 0 1 0 6 15 49
Testing the predict power of VIX: an application of multiplicative error model 0 0 0 15 0 3 11 79
The Effect of Overlapping Aggregation on Time Series Models: An Application to the Unemployment Rate in Brazil 0 0 0 7 0 2 18 84
The Informational Content of Trades on Foreign Exchange Futures: an Application to the Brazilian Market 0 0 0 13 0 1 12 77
The estimation of dynamic models with missing observations 0 0 0 0 0 3 8 21
Transmuting Unequally Spaced Data 0 0 1 1 1 4 8 8
Variáveis "dummies" em regressão: uma consideração metodológica 0 0 1 4 0 3 11 21
Total Journal Articles 2 4 24 1,061 27 156 497 4,448

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Statistics updated 2026-06-04