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 0 203 0 1 1 402
ANÁLISE DA ESTRUTURA DE DEPENDÊNCIA DAVOLATILIDADE ENTRE SETORES DURANTE A CRISE DO SUBPRIME 0 0 0 11 0 0 0 60
Alternative Models to extract asset volatility: a comparative study 0 0 0 292 0 0 0 631
Analysis of contagion from the constant conditional correlation model with Markov regime switching 0 0 0 41 0 0 1 100
Análise da estrutura de dependência da volatilidade entre setores durante a crise do subprime 0 0 0 35 0 0 0 95
Análise do Desempenho de Regras de Análise Técnica Aplicada ao Mercado Intradiário do Contrato Futuro do Índice Bovespa 0 0 1 81 0 1 2 254
Análise do desempenho de regras da análise técnica aplicada ao mercado intradiário do contrato futuro do índice Ibovespa 0 0 0 52 0 1 3 182
Arbitrage Pricing Theory (APT) and Macroeconomics Variables: a comparative study for the brazilian stock market 0 0 1 316 0 1 2 879
Arbitrage Pricing Theory (APT) and Macroeconomics Variables: an empirical study for the Brazilian stock market 0 0 1 411 0 0 1 966
Arbitrage Pricing Theory (APT) e variáveis macroeconômicas. Um estudo empírico sobre o mercado acionário brasileiro 2 3 7 495 2 3 8 1,431
Arbitrage Pricing Theory (APT) e variáveis macroeconômicas: um estudo empírico sobre o mercado acionário brasileiro 0 1 2 23 1 2 6 420
Asset allocation with Markovian regime switching: efficient frontier and tangent portfolio with regime switching 1 1 3 15 1 2 10 60
Automatic model selection for forecasting Brazilian stock returns 0 0 1 37 1 1 4 58
Closed Form Formula for the Arbitrage Free Price of an Option for the One Day Interfinancial Deposits Index 0 0 2 109 0 0 4 492
Clubes de Convergência de Renda para os Municípios Brasileiros: Uma Análise Não-Paramétrica 0 0 0 87 1 1 2 267
Comparação de carteiras otimizadas segundo o critério média-variância formadas através de estimativas robustas de risco e retorno 0 0 1 46 0 0 1 125
Conditional Stochastic Kernel Estimation by Nonparametric Methods 0 0 0 75 0 0 1 165
Convergence Clubs Among Brazilian Municipalities 0 0 0 131 0 0 0 290
Credit shocks and monetary policy in Brazil: a structural FAVAR approach 0 0 1 64 0 0 5 122
Cópulas: uma alternativa para a estimação de modelos de risco multivariados 0 1 2 43 0 1 2 136
Dynamic D-Vine copula model with applications to Value-at-Risk (VaR) 0 0 0 51 1 3 6 125
Economic cycles and term structure: application to Brazil 0 0 1 69 0 0 3 162
Effects of official and unofficial central bank communication on the Brazilian interest rate curve 0 0 0 33 0 0 2 64
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 2 82
Evaluation of contagion or interdependence in the financial crises of Asia and Latin America, considering the macroeconomic fundamentals 0 0 2 90 1 2 9 222
Forecast comparison with nonlinear methods for Brazilian industrial production 0 0 0 20 0 0 26 109
Forecasting Conditional Covariance Matrices in High-Dimensional Time Series: a General Dynamic Factor Approach 0 0 2 93 0 0 10 243
Forecasting conditional covariance matrices in high-dimensional time series: a general dynamic factor approach 0 0 0 15 0 0 4 66
How Persistent is Volatility? An Answer with Stochastic Volatility Models with Markov Regime Switching State Equations 0 0 0 327 0 0 0 670
How Persistent is Volatility? An Answer with Stochastic Volatility Models with Markov Regime Switching State Equations 0 0 0 272 0 0 1 631
Income Convergence Clubs for Brazilian Municipalities: A Non-Parametric Analysis (english version of WPE-6/2003) 0 0 0 32 0 0 0 214
Insucesso do plano cruzado: a evidência empírica da inflação 100% inércia para o Brasil 0 0 3 21 0 1 4 741
Markovian Switch Models: applications to financial time series 0 0 0 113 0 0 0 294
Modelagem e previsão de volatilidade realizada: evidências para o Brasil 0 1 5 34 0 1 6 124
Modelando a volatilidade dos retornos de Petrobrás usando dados de alta frequência 0 0 0 54 0 0 0 118
Modelando contágio financeiro através de cópulas 0 0 0 42 0 0 0 135
Modeling the Term Structure of Interest Rate 0 0 0 256 0 0 0 485
Mudança de regime e efeito ARCH em volatilidade: um estudo dos choques das cotações do Petróleo 0 0 0 6 0 0 2 22
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 37 0 0 1 126
Nonlinear Models in Finance: previsibility of financial markets and applications to risk management 0 0 0 136 0 0 0 345
O conteúdo informacional das transações no mercado futuro de câmbio: uma investigação do caso brasileiro 0 0 0 32 0 1 2 100
O mercado de câmbio brasileiro pela ótica da microestutura 0 0 0 17 0 0 1 40
ORIGINAL SIN E PRICE DISCOVERY NOMERCADO DE BONDS SOBERANOS EM REAIS 0 0 2 27 0 0 3 68
Ombro-cabeça-ombro: testando a lucratividade do padrão gráfico de análise técnica no mercado de ações brasileiro 0 4 5 60 2 7 11 228
On the robustness of the general dynamic factor model with infinite-dimensional space: identification, estimation, and forecasting 0 0 0 57 2 2 3 92
On the robustness of the principal volatility components 0 0 0 25 0 0 2 69
Options on the One Day Interfinancial Deposits Index: Derivation of a Formula for the Calculation of the Arbitrage Free Price 0 0 0 53 0 0 0 230
Portfolio pumping no mercado acionário brasileiro 0 0 0 6 0 0 2 23
Predictability of Equity Models 0 0 0 65 0 0 0 170
Predictability of equity models 0 1 1 45 0 1 1 96
Previsão de retornos intradiários através de regressões usando funções-núcleo 0 0 0 28 0 0 0 86
Purchasing Parity Power: the empirical evidence for Brazil 0 0 0 229 0 0 0 721
Realized volatility: evidence from Brazil 0 0 0 62 0 0 1 93
Robustness and the general dynamic factor model with infinite-dimensional space: identification, estimation, and forecasting 0 0 0 15 0 0 7 43
SWGARCH Models an application to IBOVESPA 0 0 0 136 0 0 0 328
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 59 0 0 1 155
Small Sample Properties of GARCH Estimates and Persistence 0 1 4 353 0 1 8 707
Speculative bubbles and contagion: analysis of volatility's clusters during the DotCom bubble based on the dynamic conditional correlation model 0 0 0 18 1 1 3 80
Structural Break Threshold VARs for Predicting US Recessions using the Spread 0 0 0 115 0 0 0 351
Switching Regime Models: applications to trading rules 0 0 0 0 0 0 0 248
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 0 222
TESTANDO A HIPÓTESE DE CONTÁGIO A PARTIR DE MODELOS MULTIVARIADOS DE VOLATILIDADE 0 0 0 63 0 0 1 217
Testando o poder preditivo do VIX: uma aplicação do modelo de erro multiplicativo 0 0 0 23 0 0 1 76
Testing Convergence Across Municipalities in Brazil Using Quantile Regression 0 0 0 148 1 1 1 399
Testing the Hypothesis of Contagion using Multivariate Volatility Models 0 0 0 58 0 0 1 191
Testing the hypothesis of contagion using multivariate volatility models 0 0 0 37 0 0 1 125
Testing the long-run implications of the expectation hypothesis using cointegration techniques with structural change 0 0 0 55 0 0 0 178
Testing the long-run implications of the expectation hypothesis using cointegration techniques with structural change 0 0 0 21 0 0 0 90
The Brazilian foreign exchange market through the microstructure perspective 0 0 0 8 0 0 1 28
Trend, Seasonality and Seasonal Adjustment 0 0 1 96 0 0 3 104
Um estudo sobre os ciclos de negócios brasileiro (1900-2012) 0 0 0 31 0 0 0 56
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 73 0 0 0 300
Uncertainty times for portfolio selection at financial market 0 0 1 23 0 0 2 30
“Ombro-Cabeça-Ombro”: Testando a Lucratividade do Padrão Gráfico de Análise Técnica no Mercado de Ações Brasileiro 0 0 3 65 0 2 9 298
Total Working Papers 3 13 52 6,912 15 38 194 19,122

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 0 8 0 1 1 34
ALTERNATIVE MODELS TO EXTRACT ASSET VOLATILITY: A COMPARATIVE STUDY 0 0 0 1 0 0 0 14
Analysis of contagion from the dynamic conditional correlation model with Markov Regime switching 0 0 0 7 0 1 3 38
Analysis of performance of technical trading rules applied to the market of intraday Ibovespa index futures contracts 0 0 1 8 0 0 2 38
Analysis of the volatility's dependency structure during the subprime crisis 0 0 0 20 0 0 3 65
Asset Allocation with Markovian Regime Switching: Efficient Frontier and Tangent Portfolio with Regime Switching 0 0 0 4 0 0 0 31
Co-Integração e suas Representações: Uma Resenha 0 0 0 3 0 0 0 17
Conditional stochastic kernel estimation by nonparametric methods 0 0 1 124 0 0 1 350
Convergence clubs among Brazilian municipalities 0 0 0 73 0 0 1 286
Credit Shocks and Monetary Policy in Brazil: A Structural Favar Approach 0 0 1 6 0 0 1 31
Dynamic D-Vine Copula Model with Applications to Value-at-Risk (VaR) 0 0 3 29 1 2 9 113
Effect of outliers on forecasting temporally aggregated flow variables 0 0 0 32 0 0 0 121
Estimação do hiato do produto via componentes não observados 0 0 0 0 0 0 1 6
Evaluation of contagion or interdependence in the financial crises of Asia and Latin America, considering the macroeconomic fundamentals 0 0 1 57 0 0 2 182
Exact likelihood function for a regression model with MA(1) errors 0 0 1 108 0 0 1 321
Filtragem e Previsão com Modelos de Voltalidade: Voltalidade Estocastica versus GARCH 0 0 0 2 0 0 0 22
Forecasting Industrial Production Using Its Aggregated and Disaggregated Series or a Combination of Both: Evidence from One Emerging Market Economy 1 2 3 7 3 8 16 24
Head and Shoulders: Testing the Profitability of this Chart Pattern of Technical Analysis in the Brazilian Stock Market 0 1 1 15 0 2 10 58
How Persistent is Stock Return Volatility? An Answer with Markov Regime Switching Stochastic Volatility Models 0 0 0 1 0 0 0 9
Income convergence clubs for Brazilian Municipalities: a non-parametric analysis 0 0 0 70 0 0 0 281
Missing observations in stochastic difference equation with arma errors 0 0 1 1 0 0 1 9
Modeling Financial Contagion using Copula 0 0 1 20 0 0 3 67
Modeling and Forecasting of Realized Volatility: Evidence from Brazil 0 0 0 5 0 0 0 37
Modeling the Interest Rate Term Structure: Derivatives Contracts Dynamics and Evaluation 0 0 0 3 1 1 2 21
On the robustness of the principal volatility components 0 0 3 7 0 1 5 33
Paridade do Poder de Compra: Testando Dados Brasileiros 0 0 2 7 0 0 8 51
Predictability of Equity Models 0 1 1 15 0 1 1 42
Review of major results of Martingale theory applied to the valuation of contingent claims 0 0 1 5 0 0 4 25
Robustness and the general dynamic factor model with infinite-dimensional space: Identification, estimation, and forecasting 0 0 0 3 0 0 3 20
Small sample properties of GARCH estimates and persistence 0 1 4 309 2 6 17 1,101
Speculative bubbles and contagion: Analysis of volatility’s clusters during the DotCom bubble based on the dynamic conditional correlation model 0 0 2 5 0 0 3 30
Taxa de Câmbio Real e Paridade de Poder de Compra no Brasil 0 0 1 3 0 0 3 29
Testing the Hypothesis of Contagion Using Multivariate Volatility Models 0 0 0 1 0 0 2 33
Testing the predict power of VIX: an application of multiplicative error model 0 0 0 14 0 1 2 62
The Effect of Overlapping Aggregation on Time Series Models: An Application to the Unemployment Rate in Brazil 0 1 1 7 1 3 12 61
The Informational Content of Trades on Foreign Exchange Futures: an Application to the Brazilian Market 0 0 0 11 1 1 1 59
The estimation of dynamic models with missing observations 0 0 0 0 0 0 1 12
Variáveis "dummies" em regressão: uma consideração metodológica 0 0 0 3 0 0 0 9
Total Journal Articles 1 6 29 994 9 28 119 3,742

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Statistics updated 2023-11-05