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 4 7 409
ANÁLISE DA ESTRUTURA DE DEPENDÊNCIA DAVOLATILIDADE ENTRE SETORES DURANTE A CRISE DO SUBPRIME 0 0 0 11 0 2 2 64
Analysis of contagion from the constant conditional correlation model with Markov regime switching 0 0 0 41 2 9 12 112
Análise da estrutura de dependência da volatilidade entre setores durante a crise do subprime 0 0 1 36 0 1 2 98
Análise do Desempenho de Regras de Análise Técnica Aplicada ao Mercado Intradiário do Contrato Futuro do Índice Bovespa 0 0 0 81 2 5 8 265
Análise do desempenho de regras da análise técnica aplicada ao mercado intradiário do contrato futuro do índice Ibovespa 0 0 0 52 2 7 8 190
Arbitrage Pricing Theory (APT) e variáveis macroeconômicas. Um estudo empírico sobre o mercado acionário brasileiro 0 0 0 498 0 1 3 1,441
Arbitrage Pricing Theory (APT) e variáveis macroeconômicas: um estudo empírico sobre o mercado acionário brasileiro 0 0 1 24 0 4 6 430
Asset allocation with Markovian regime switching: efficient frontier and tangent portfolio with regime switching 0 2 4 21 2 12 20 87
Automatic model selection for forecasting Brazilian stock returns 0 0 1 38 2 6 11 71
Comparação de carteiras otimizadas segundo o critério média-variância formadas através de estimativas robustas de risco e retorno 0 0 1 47 2 4 6 136
Credit shocks and monetary policy in Brazil: a structural FAVAR approach 0 0 1 65 2 3 6 131
Cópulas: uma alternativa para a estimação de modelos de risco multivariados 0 0 0 43 2 5 5 141
Dynamic D-Vine copula model with applications to Value-at-Risk (VaR) 0 0 1 55 0 7 15 145
Economic cycles and term structure: application to Brazil 0 0 1 70 1 4 6 169
Effects of official and unofficial central bank communication on the Brazilian interest rate curve 0 0 0 33 1 7 13 80
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 3 8 91
Evaluation of contagion or interdependence in the financial crises of Asia and Latin America, considering the macroeconomic fundamentals 0 1 1 92 1 7 12 235
Forecast comparison with nonlinear methods for Brazilian industrial production 0 0 1 22 0 5 8 119
Forecasting Conditional Covariance Matrices in High-Dimensional Time Series: a General Dynamic Factor Approach 0 0 1 95 1 13 22 270
Forecasting VaR and ES through Markov-switching GARCH models: does the specication matter? 0 1 5 11 8 26 43 54
Forecasting conditional covariance matrices in high-dimensional time series: a general dynamic factor approach 0 0 2 17 1 5 10 80
How Persistent is Volatility? An Answer with Stochastic Volatility Models with Markov Regime Switching State Equations 0 0 0 272 1 3 6 641
Insucesso do plano cruzado: a evidência empírica da inflação 100% inércia para o Brasil 0 0 0 23 0 4 4 748
Modelagem e previsão de volatilidade realizada: evidências para o Brasil 0 0 0 35 6 11 13 140
Modelando a volatilidade dos retornos de Petrobrás usando dados de alta frequência 0 0 0 54 0 4 4 125
Modelando contágio financeiro através de cópulas 0 0 0 42 0 2 4 140
Mudança de regime e efeito ARCH em volatilidade: um estudo dos choques das cotações do Petróleo 0 0 0 7 1 5 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 1 128
O conteúdo informacional das transações no mercado futuro de câmbio: uma investigação do caso brasileiro 0 0 0 32 0 5 8 109
O mercado de câmbio brasileiro pela ótica da microestutura 0 0 0 17 3 6 9 50
ORIGINAL SIN E PRICE DISCOVERY NOMERCADO DE BONDS SOBERANOS EM REAIS 0 0 0 28 2 7 7 77
Ombro-cabeça-ombro: testando a lucratividade do padrão gráfico de análise técnica no mercado de ações brasileiro 0 0 1 62 0 4 5 243
On the robustness of the general dynamic factor model with infinite-dimensional space: identification, estimation, and forecasting 0 0 0 58 6 14 16 112
On the robustness of the principal volatility components 0 0 0 25 2 4 6 76
Portfolio pumping no mercado acionário brasileiro 0 0 0 6 3 4 8 32
Predictability of Equity Models 0 0 1 66 0 2 3 173
Predictability of equity models 0 0 0 45 3 5 9 106
Previsão de retornos intradiários através de regressões usando funções-núcleo 0 0 0 28 4 6 6 92
Realized volatility: evidence from Brazil 0 0 0 63 4 12 17 114
Robustness and the general dynamic factor model with infinite-dimensional space: identification, estimation, and forecasting 0 0 1 17 0 7 13 60
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 61 3 7 12 169
Speculative bubbles and contagion: analysis of volatility's clusters during the DotCom bubble based on the dynamic conditional correlation model 0 1 1 19 3 9 10 91
Switching Regime Models: applications to trading rules 0 0 0 0 1 1 2 250
TESTANDO A HIPÓTESE DE CONTÁGIO A PARTIR DE MODELOS MULTIVARIADOS DE VOLATILIDADE 0 0 0 63 0 1 5 222
Testando o poder preditivo do VIX: uma aplicação do modelo de erro multiplicativo 0 0 0 23 2 8 8 84
Testing the Hypothesis of Contagion using Multivariate Volatility Models 0 0 0 58 0 9 14 206
Testing the hypothesis of contagion using multivariate volatility models 0 0 0 37 2 9 11 137
Testing the long-run implications of the expectation hypothesis using cointegration techniques with structural change 0 0 0 55 0 3 6 193
Testing the long-run implications of the expectation hypothesis using cointegration techniques with structural change 0 0 0 21 1 4 6 97
The Brazilian foreign exchange market through the microstructure perspective 0 0 0 8 1 5 5 35
Trend, Seasonality and Seasonal Adjustment 0 0 2 98 1 2 7 111
Um estudo sobre os ciclos de negócios brasileiro (1900-2012) 1 1 1 33 1 4 5 63
Uncertainty times for portfolio selection at financial market 0 0 0 23 2 9 14 47
Velocidade da moeda e ciclos econômicos no Brasil, 1900-2016 0 0 2 2 0 6 17 17
“Ombro-Cabeça-Ombro”: Testando a Lucratividade do Padrão Gráfico de Análise Técnica no Mercado de Ações Brasileiro 0 0 0 67 1 11 23 327
Total Working Papers 1 6 32 3,070 83 334 523 10,062
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 2 3 12 2 10 13 52
ALTERNATIVE MODELS TO EXTRACT ASSET VOLATILITY: A COMPARATIVE STUDY 0 0 0 3 0 1 4 20
Analysis of contagion from the dynamic conditional correlation model with Markov Regime switching 0 0 0 7 0 4 7 49
Analysis of performance of technical trading rules applied to the market of intraday Ibovespa index futures contracts 0 0 0 10 1 6 8 50
Analysis of the volatility's dependency structure during the subprime crisis 0 0 0 21 0 6 11 77
Asset Allocation with Markovian Regime Switching: Efficient Frontier and Tangent Portfolio with Regime Switching 0 0 0 5 1 1 3 36
Co-Integração e suas Representações: Uma Resenha 0 0 0 3 0 1 1 19
Conditional stochastic kernel estimation by nonparametric methods 0 0 0 127 1 2 6 360
Convergence clubs among Brazilian municipalities 1 1 2 75 2 7 9 298
Credit Shocks and Monetary Policy in Brazil: A Structural Favar Approach 0 0 0 6 3 5 6 37
Dynamic D-Vine Copula Model with Applications to Value-at-Risk (VaR) 0 0 0 33 2 10 15 142
Effect of outliers on forecasting temporally aggregated flow variables 0 0 0 33 0 5 5 136
Estimação do hiato do produto via componentes não observados 0 0 0 0 1 4 4 11
Evaluation of contagion or interdependence in the financial crises of Asia and Latin America, considering the macroeconomic fundamentals 0 0 0 57 0 9 11 195
Exact likelihood function for a regression model with MA(1) errors 0 0 0 108 3 5 6 328
Exploring co-explosive dynamics: Bitcoin price, attractiveness, and sentiment variables 0 0 1 1 2 7 37 37
Filtragem e Previsão com Modelos de Voltalidade: Voltalidade Estocastica versus GARCH 0 0 0 2 1 3 3 26
Forecasting Conditional Covariance Matrices in High-Dimensional Time Series: A General Dynamic Factor Approach 0 0 1 4 3 8 11 37
Forecasting Industrial Production Using Its Aggregated and Disaggregated Series or a Combination of Both: Evidence from One Emerging Market Economy 0 0 3 16 3 6 17 57
Forecasting intraday volatility and densities using deep learning 0 1 1 1 2 3 3 3
Head and Shoulders: Testing the Profitability of this Chart Pattern of Technical Analysis in the Brazilian Stock Market 1 3 5 21 4 9 20 83
How Persistent is Stock Return Volatility? An Answer with Markov Regime Switching Stochastic Volatility Models 0 0 0 1 0 3 3 13
Income convergence clubs for Brazilian Municipalities: a non-parametric analysis 0 0 0 70 1 6 6 288
Missing observations in stochastic difference equation with arma errors 0 0 0 1 1 5 7 19
Modeling Financial Contagion using Copula 0 0 1 23 1 4 5 79
Modeling and Forecasting of Realized Volatility: Evidence from Brazil 0 0 0 5 0 2 4 43
Modeling the Interest Rate Term Structure: Derivatives Contracts Dynamics and Evaluation 0 0 0 3 2 5 6 28
On the robustness of the principal volatility components 0 1 1 9 0 10 12 48
Paridade do Poder de Compra: Testando Dados Brasileiros 0 0 0 7 0 3 5 58
Predictability of Equity Models 0 0 0 15 0 3 4 46
Review of major results of Martingale theory applied to the valuation of contingent claims 0 0 0 5 3 7 11 36
Robustness and the general dynamic factor model with infinite-dimensional space: Identification, estimation, and forecasting 0 0 0 4 0 4 6 27
Small sample properties of GARCH estimates and persistence 1 3 5 318 1 14 29 1,163
Speculative bubbles and contagion: Analysis of volatility’s clusters during the DotCom bubble based on the dynamic conditional correlation model 0 0 0 5 2 5 9 39
Taxa de Câmbio Real e Paridade de Poder de Compra no Brasil 0 0 1 5 1 1 2 35
Testing the Hypothesis of Contagion Using Multivariate Volatility Models 0 0 0 1 2 5 10 43
Testing the predict power of VIX: an application of multiplicative error model 0 0 0 15 1 7 9 76
The Effect of Overlapping Aggregation on Time Series Models: An Application to the Unemployment Rate in Brazil 0 0 0 7 5 12 18 82
The Informational Content of Trades on Foreign Exchange Futures: an Application to the Brazilian Market 0 0 0 13 1 8 11 76
The estimation of dynamic models with missing observations 0 0 0 0 2 3 5 18
Transmuting Unequally Spaced Data 0 1 1 1 0 4 4 4
Variáveis "dummies" em regressão: uma consideração metodológica 0 0 1 4 2 3 8 18
Total Journal Articles 3 12 26 1,057 56 226 374 4,292

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Statistics updated 2026-03-04