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 1 200 0 0 5 391
ANÁLISE DA ESTRUTURA DE DEPENDÊNCIA DAVOLATILIDADE ENTRE SETORES DURANTE A CRISE DO SUBPRIME 0 0 1 8 0 1 7 55
Alternative Models to extract asset volatility: a comparative study 0 0 0 292 0 1 5 626
Analysis of contagion from the constant conditional correlation model with Markov regime switching 0 0 1 41 1 2 7 94
Análise da estrutura de dependência da volatilidade entre setores durante a crise do subprime 0 0 1 34 0 1 6 87
Análise do Desempenho de Regras de Análise Técnica Aplicada ao Mercado Intradiário do Contrato Futuro do Índice Bovespa 0 0 1 77 0 2 13 245
Análise do desempenho de regras da análise técnica aplicada ao mercado intradiário do contrato futuro do índice Ibovespa 0 0 0 49 1 1 8 170
Arbitrage Pricing Theory (APT) and Macroeconomics Variables: a comparative study for the brazilian stock market 0 0 0 314 0 0 2 873
Arbitrage Pricing Theory (APT) and Macroeconomics Variables: an empirical study for the Brazilian stock market 1 1 4 409 1 1 4 961
Arbitrage Pricing Theory (APT) e variáveis macroeconômicas. Um estudo empírico sobre o mercado acionário brasileiro 1 1 3 485 3 3 10 1,411
Arbitrage Pricing Theory (APT) e variáveis macroeconômicas: um estudo empírico sobre o mercado acionário brasileiro 0 0 1 18 1 1 3 400
Asset allocation with Markovian regime switching: efficient frontier and tangent portfolio with regime switching 0 2 5 9 0 5 21 41
Automatic model selection for forecasting Brazilian stock returns 0 0 2 35 0 1 5 47
Closed Form Formula for the Arbitrage Free Price of an Option for the One Day Interfinancial Deposits Index 3 3 3 106 3 4 5 481
Clubes de Convergência de Renda para os Municípios Brasileiros: Uma Análise Não-Paramétrica 0 0 0 85 0 1 3 259
Comparação de carteiras otimizadas segundo o critério média-variância formadas através de estimativas robustas de risco e retorno 0 0 0 44 0 0 0 122
Conditional Stochastic Kernel Estimation by Nonparametric Methods 0 0 0 72 0 2 2 158
Convergence Clubs Among Brazilian Municipalities 0 0 0 131 1 1 2 287
Credit shocks and monetary policy in Brazil: a structural FAVAR approach 0 0 1 60 0 0 9 100
Cópulas: uma alternativa para a estimação de modelos de risco multivariados 0 0 1 41 0 0 8 132
Dynamic D-Vine copula model with applications to Value-at-Risk (VaR) 1 1 4 46 1 1 16 97
Economic cycles and term structure: application to Brazil 0 0 3 67 1 1 9 154
Effects of official and unofficial central bank communication on the Brazilian interest rate curve 0 0 2 30 1 4 17 46
Evaluating Value-at-Risk Models: a comparison between traditional models and conditional variance models 0 0 0 269 0 0 0 476
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 1 1 3 78
Evaluation of contagion or interdependence in the financial crises of Asia and Latin America, considering the macroeconomic fundamentals 0 0 1 85 0 0 9 203
Forecast comparison with nonlinear methods for Brazilian industrial production 0 0 0 19 0 1 6 36
Forecasting Conditional Covariance Matrices in High-Dimensional Time Series: a General Dynamic Factor Approach 0 4 12 58 3 14 51 131
Forecasting conditional covariance matrices in high-dimensional time series: a general dynamic factor approach 0 0 1 8 1 4 18 24
How Persistent is Volatility? An Answer with Stochastic Volatility Models with Markov Regime Switching State Equations 0 0 1 271 1 1 5 625
How Persistent is Volatility? An Answer with Stochastic Volatility Models with Markov Regime Switching State Equations 0 0 0 327 0 1 3 668
Income Convergence Clubs for Brazilian Municipalities: A Non-Parametric Analysis (english version of WPE-6/2003) 0 0 0 32 0 0 3 214
Insucesso do plano cruzado: a evidência empírica da inflação 100% inércia para o Brasil 1 2 4 11 3 8 17 722
Markovian Switch Models: applications to financial time series 0 0 0 113 0 0 0 293
Modelagem e previsão de volatilidade realizada: evidências para o Brasil 0 0 0 26 1 2 4 103
Modelando a volatilidade dos retornos de Petrobrás usando dados de alta frequência 0 0 0 53 0 0 3 112
Modelando contágio financeiro através de cópulas 0 0 1 42 0 0 3 130
Modeling the Term Structure of Interest Rate 0 0 0 256 0 0 1 483
Mudança de regime e efeito ARCH em volatilidade: um estudo dos choques das cotações do Petróleo 0 0 1 6 0 0 2 16
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 1 37 1 1 6 118
Nonlinear Models in Finance: previsibility of financial markets and applications to risk management 0 0 1 135 0 0 2 343
O conteúdo informacional das transações no mercado futuro de câmbio: uma investigação do caso brasileiro 0 0 2 31 0 2 13 94
O mercado de câmbio brasileiro pela ótica da microestutura 0 0 2 16 1 2 5 33
ORIGINAL SIN E PRICE DISCOVERY NOMERCADO DE BONDS SOBERANOS EM REAIS 1 1 1 24 1 2 3 63
Ombro-cabeça-ombro: testando a lucratividade do padrão gráfico de análise técnica no mercado de ações brasileiro 0 0 2 49 0 2 15 190
On the robustness of the general dynamic factor model with infinite-dimensional space: identification, estimation, and forecasting 0 1 51 53 1 4 65 73
On the robustness of the principal volatility components 1 1 2 21 5 5 17 43
Options on the One Day Interfinancial Deposits Index: Derivation of a Formula for the Calculation of the Arbitrage Free Price 0 0 0 52 0 0 1 229
Portfolio pumping no mercado acionário brasileiro 0 0 0 5 0 2 5 16
Predictability of Equity Models 0 0 0 64 0 0 8 169
Predictability of equity models 0 0 0 44 0 0 2 94
Previsão de retornos intradiários através de regressões usando funções-núcleo 0 0 0 28 0 0 1 83
Purchasing Parity Power: the empirical evidence for Brazil 0 0 0 229 0 0 0 717
Realized volatility: evidence from Brazil 0 0 2 60 0 0 8 81
Robustness and the general dynamic factor model with infinite-dimensional space: identification, estimation, and forecasting 1 2 11 11 2 7 18 18
SWGARCH Models an application to IBOVESPA 0 0 0 136 0 0 0 325
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 1 57 0 2 10 143
Small Sample Properties of GARCH Estimates and Persistence 0 0 2 348 0 2 11 682
Speculative bubbles and contagion: analysis of volatility's clusters during the DotCom bubble based on the dynamic conditional correlation model 0 0 2 18 4 7 16 66
Structural Break Threshold VARs for Predicting US Recessions using the Spread 0 0 0 115 0 0 2 350
Switching Regime Models: applications to trading rules 0 0 0 0 1 1 1 244
Switching Regime in Volatility: the SWGARCH Models 0 0 0 142 0 0 0 291
Switching Regimes Models for financial time series: an empirical study for trading rules 0 0 0 102 0 0 1 218
TESTANDO A HIPÓTESE DE CONTÁGIO A PARTIR DE MODELOS MULTIVARIADOS DE VOLATILIDADE 0 0 1 62 0 0 5 210
Testando o poder preditivo do VIX: uma aplicação do modelo de erro multiplicativo 0 0 1 21 0 1 3 67
Testing Convergence Across Municipalities in Brazil Using Quantile Regression 0 0 0 148 0 0 3 390
Testing the Hypothesis of Contagion using Multivariate Volatility Models 0 0 1 57 0 2 9 180
Testing the hypothesis of contagion using multivariate volatility models 0 0 0 37 0 0 3 119
Testing the long-run implications of the expectation hypothesis using cointegration techniques with structural change 0 0 0 20 0 0 1 89
Testing the long-run implications of the expectation hypothesis using cointegration techniques with structural change 0 0 0 55 1 3 10 162
The Brazilian foreign exchange market through the microstructure perspective 0 0 0 7 0 0 2 24
Trend, Seasonality and Seasonal Adjustment 0 1 1 90 0 1 2 90
Um estudo sobre os ciclos de negócios brasileiro (1900-2012) 0 0 0 30 1 2 4 50
Uma Resenha sobre os Principais Resultados da Teoria de Martingals aplicada à Avaliação de Derivativos em Mercados Completos e Livre de Arbitragem 0 0 0 72 0 1 1 295
Uncertainty times for portfolio selection at financial market 0 0 0 21 1 1 2 21
“Ombro-Cabeça-Ombro”: Testando a Lucratividade do Padrão Gráfico de Análise Técnica no Mercado de Ações Brasileiro 0 0 0 57 2 6 10 263
Total Working Papers 10 20 139 6,711 45 121 560 18,194


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) 1 1 2 7 2 3 6 24
ALTERNATIVE MODELS TO EXTRACT ASSET VOLATILITY: A COMPARATIVE STUDY 0 0 0 0 0 1 2 9
Analysis of contagion from the dynamic conditional correlation model with Markov Regime switching 0 0 1 4 1 1 3 21
Analysis of performance of technical trading rules applied to the market of intraday Ibovespa index futures contracts 1 1 1 5 1 3 3 24
Analysis of the volatility's dependency structure during the subprime crisis 1 2 2 20 1 2 6 55
Asset Allocation with Markovian Regime Switching: Efficient Frontier and Tangent Portfolio with Regime Switching 0 0 0 2 0 2 3 21
Co-Integração e suas Representações: Uma Resenha 1 1 1 3 1 1 5 13
Conditional stochastic kernel estimation by nonparametric methods 0 0 0 119 1 1 4 341
Convergence clubs among Brazilian municipalities 0 0 2 71 0 0 4 274
Credit Shocks and Monetary Policy in Brazil: A Structural Favar Approach 0 0 0 4 1 2 5 18
Dynamic D-Vine Copula Model with Applications to Value-at-Risk (VaR) 0 2 8 14 5 8 28 49
Effect of outliers on forecasting temporally aggregated flow variables 0 0 0 31 1 2 5 103
Estimação do hiato do produto via componentes não observados 0 0 0 0 0 0 1 4
Evaluation of contagion or interdependence in the financial crises of Asia and Latin America, considering the macroeconomic fundamentals 0 0 1 56 0 3 13 173
Exact likelihood function for a regression model with MA(1) errors 0 0 0 106 1 2 3 315
Filtragem e Previsão com Modelos de Voltalidade: Voltalidade Estocastica versus GARCH 0 0 0 2 0 0 2 19
Head and Shoulders: Testing the Profitability of this Chart Pattern of Technical Analysis in the Brazilian Stock Market 0 0 0 8 0 0 8 32
How Persistent is Stock Return Volatility? An Answer with Markov Regime Switching Stochastic Volatility Models 0 0 0 0 0 0 1 3
Income convergence clubs for Brazilian Municipalities: a non-parametric analysis 0 0 0 69 0 0 2 274
Missing observations in stochastic difference equation with arma errors 0 0 0 0 0 1 2 4
Modeling Financial Contagion using Copula 2 2 2 14 2 2 5 44
Modeling and Forecasting of Realized Volatility: Evidence from Brazil 0 0 0 3 0 0 4 29
Modeling the Interest Rate Term Structure: Derivatives Contracts Dynamics and Evaluation 0 0 0 3 0 0 1 15
On the robustness of the principal volatility components 1 1 1 1 3 5 13 15
Paridade do Poder de Compra: Testando Dados Brasileiros 0 1 2 5 1 3 12 38
Predictability of Equity Models 0 0 0 13 1 1 1 35
Review of major results of Martingale theory applied to the valuation of contingent claims 0 0 0 2 0 1 3 13
Small sample properties of GARCH estimates and persistence 0 1 3 294 1 5 16 1,046
Speculative bubbles and contagion: Analysis of volatility’s clusters during the DotCom bubble based on the dynamic conditional correlation model 0 0 0 0 0 1 3 14
Taxa de Câmbio Real e Paridade de Poder de Compra no Brasil 0 0 0 2 1 1 4 19
Testing the Hypothesis of Contagion Using Multivariate Volatility Models 0 0 0 1 0 1 6 23
Testing the predict power of VIX: an application of multiplicative error model 0 1 2 11 0 2 8 48
The Effect of Overlapping Aggregation on Time Series Models: An Application to the Unemployment Rate in Brazil 0 0 1 1 3 6 13 25
The Informational Content of Trades on Foreign Exchange Futures: an Application to the Brazilian Market 0 0 0 11 0 1 3 54
The estimation of dynamic models with missing observations 0 0 0 0 0 1 3 7
Variáveis "dummies" em regressão: uma consideração metodológica 1 1 1 2 1 1 1 5
Total Journal Articles 8 14 30 884 28 63 202 3,206


Statistics updated 2021-01-03