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 1 1 204 0 2 3 405
ANÁLISE DA ESTRUTURA DE DEPENDÊNCIA DAVOLATILIDADE ENTRE SETORES DURANTE A CRISE DO SUBPRIME 0 0 0 11 0 0 2 62
Analysis of contagion from the constant conditional correlation model with Markov regime switching 0 0 0 41 5 7 8 108
Análise da estrutura de dependência da volatilidade entre setores durante a crise do subprime 0 0 1 36 0 0 1 97
Análise do Desempenho de Regras de Análise Técnica Aplicada ao Mercado Intradiário do Contrato Futuro do Índice Bovespa 0 0 0 81 0 1 3 260
Análise do desempenho de regras da análise técnica aplicada ao mercado intradiário do contrato futuro do índice Ibovespa 0 0 0 52 1 1 2 184
Arbitrage Pricing Theory (APT) e variáveis macroeconômicas. Um estudo empírico sobre o mercado acionário brasileiro 0 0 0 498 0 0 3 1,440
Arbitrage Pricing Theory (APT) e variáveis macroeconômicas: um estudo empírico sobre o mercado acionário brasileiro 0 1 1 24 0 2 3 426
Asset allocation with Markovian regime switching: efficient frontier and tangent portfolio with regime switching 2 2 4 21 6 9 14 81
Automatic model selection for forecasting Brazilian stock returns 0 0 1 38 0 1 5 65
Comparação de carteiras otimizadas segundo o critério média-variância formadas através de estimativas robustas de risco e retorno 0 1 1 47 0 1 2 132
Credit shocks and monetary policy in Brazil: a structural FAVAR approach 0 0 1 65 1 2 4 129
Cópulas: uma alternativa para a estimação de modelos de risco multivariados 0 0 0 43 1 1 1 137
Dynamic D-Vine copula model with applications to Value-at-Risk (VaR) 0 0 1 55 3 4 12 141
Economic cycles and term structure: application to Brazil 0 1 1 70 1 2 3 166
Effects of official and unofficial central bank communication on the Brazilian interest rate curve 0 0 0 33 3 5 11 76
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 4 6 89
Evaluation of contagion or interdependence in the financial crises of Asia and Latin America, considering the macroeconomic fundamentals 1 1 1 92 2 4 7 230
Forecast comparison with nonlinear methods for Brazilian industrial production 0 0 1 22 4 4 7 118
Forecasting Conditional Covariance Matrices in High-Dimensional Time Series: a General Dynamic Factor Approach 0 0 1 95 3 7 14 260
Forecasting VaR and ES through Markov-switching GARCH models: does the specication matter? 0 0 5 10 8 12 26 36
Forecasting conditional covariance matrices in high-dimensional time series: a general dynamic factor approach 0 1 2 17 0 4 6 75
How Persistent is Volatility? An Answer with Stochastic Volatility Models with Markov Regime Switching State Equations 0 0 0 272 0 1 4 638
Insucesso do plano cruzado: a evidência empírica da inflação 100% inércia para o Brasil 0 0 1 23 1 1 2 745
Modelagem e previsão de volatilidade realizada: evidências para o Brasil 0 0 0 35 0 2 2 129
Modelando a volatilidade dos retornos de Petrobrás usando dados de alta frequência 0 0 0 54 1 1 3 122
Modelando contágio financeiro através de cópulas 0 0 0 42 1 2 4 139
Mudança de regime e efeito ARCH em volatilidade: um estudo dos choques das cotações do Petróleo 0 0 0 7 0 0 1 24
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 0 0 127
O conteúdo informacional das transações no mercado futuro de câmbio: uma investigação do caso brasileiro 0 0 0 32 0 3 3 104
O mercado de câmbio brasileiro pela ótica da microestutura 0 0 0 17 0 3 4 44
ORIGINAL SIN E PRICE DISCOVERY NOMERCADO DE BONDS SOBERANOS EM REAIS 0 0 0 28 0 0 1 70
Ombro-cabeça-ombro: testando a lucratividade do padrão gráfico de análise técnica no mercado de ações brasileiro 0 0 1 62 1 1 3 240
On the robustness of the general dynamic factor model with infinite-dimensional space: identification, estimation, and forecasting 0 0 0 58 2 3 4 100
On the robustness of the principal volatility components 0 0 0 25 2 3 4 74
Portfolio pumping no mercado acionário brasileiro 0 0 0 6 0 1 5 28
Predictability of Equity Models 0 0 1 66 0 0 1 171
Predictability of equity models 0 0 0 45 1 3 5 102
Previsão de retornos intradiários através de regressões usando funções-núcleo 0 0 0 28 0 0 0 86
Realized volatility: evidence from Brazil 0 0 0 63 2 5 8 104
Robustness and the general dynamic factor model with infinite-dimensional space: identification, estimation, and forecasting 0 0 1 17 2 5 10 55
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 2 2 8 164
Speculative bubbles and contagion: analysis of volatility's clusters during the DotCom bubble based on the dynamic conditional correlation model 1 1 1 19 1 2 2 83
Switching Regime Models: applications to trading rules 0 0 0 0 0 1 1 249
TESTANDO A HIPÓTESE DE CONTÁGIO A PARTIR DE MODELOS MULTIVARIADOS DE VOLATILIDADE 0 0 0 63 0 2 4 221
Testando o poder preditivo do VIX: uma aplicação do modelo de erro multiplicativo 0 0 0 23 0 0 0 76
Testing the Hypothesis of Contagion using Multivariate Volatility Models 0 0 0 58 6 9 12 203
Testing the hypothesis of contagion using multivariate volatility models 0 0 0 37 3 4 5 131
Testing the long-run implications of the expectation hypothesis using cointegration techniques with structural change 0 0 0 55 1 3 4 191
Testing the long-run implications of the expectation hypothesis using cointegration techniques with structural change 0 0 0 21 1 2 4 94
The Brazilian foreign exchange market through the microstructure perspective 0 0 0 8 0 0 1 30
Trend, Seasonality and Seasonal Adjustment 0 1 2 98 0 2 5 109
Um estudo sobre os ciclos de negócios brasileiro (1900-2012) 0 0 0 32 0 1 1 59
Uncertainty times for portfolio selection at financial market 0 0 0 23 1 3 6 39
“Ombro-Cabeça-Ombro”: Testando a Lucratividade do Padrão Gráfico de Análise Técnica no Mercado de Ações Brasileiro 0 0 1 67 2 11 15 318
Total Working Papers 4 10 31 3,066 69 149 275 9,786
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) 2 3 3 12 4 7 8 46
ALTERNATIVE MODELS TO EXTRACT ASSET VOLATILITY: A COMPARATIVE STUDY 0 0 0 3 0 1 3 19
Analysis of contagion from the dynamic conditional correlation model with Markov Regime switching 0 0 0 7 1 2 5 46
Analysis of performance of technical trading rules applied to the market of intraday Ibovespa index futures contracts 0 0 0 10 1 2 3 45
Analysis of the volatility's dependency structure during the subprime crisis 0 0 0 21 3 5 8 74
Asset Allocation with Markovian Regime Switching: Efficient Frontier and Tangent Portfolio with Regime Switching 0 0 0 5 0 1 2 35
Co-Integração e suas Representações: Uma Resenha 0 0 0 3 0 0 1 18
Conditional stochastic kernel estimation by nonparametric methods 0 0 1 127 1 1 6 359
Convergence clubs among Brazilian municipalities 0 0 1 74 1 1 4 292
Credit Shocks and Monetary Policy in Brazil: A Structural Favar Approach 0 0 0 6 0 1 1 32
Dynamic D-Vine Copula Model with Applications to Value-at-Risk (VaR) 0 0 0 33 2 3 8 134
Effect of outliers on forecasting temporally aggregated flow variables 0 0 0 33 1 1 1 132
Estimação do hiato do produto via componentes não observados 0 0 0 0 0 0 1 7
Evaluation of contagion or interdependence in the financial crises of Asia and Latin America, considering the macroeconomic fundamentals 0 0 0 57 2 2 5 188
Exact likelihood function for a regression model with MA(1) errors 0 0 0 108 0 0 1 323
Filtragem e Previsão com Modelos de Voltalidade: Voltalidade Estocastica versus GARCH 0 0 0 2 1 1 2 24
Forecasting Conditional Covariance Matrices in High-Dimensional Time Series: A General Dynamic Factor Approach 0 0 1 4 1 1 4 30
Forecasting Industrial Production Using Its Aggregated and Disaggregated Series or a Combination of Both: Evidence from One Emerging Market Economy 0 0 4 16 2 5 16 53
Head and Shoulders: Testing the Profitability of this Chart Pattern of Technical Analysis in the Brazilian Stock Market 1 1 3 19 2 5 13 76
How Persistent is Stock Return Volatility? An Answer with Markov Regime Switching Stochastic Volatility Models 0 0 0 1 0 0 1 10
Income convergence clubs for Brazilian Municipalities: a non-parametric analysis 0 0 0 70 1 1 1 283
Missing observations in stochastic difference equation with arma errors 0 0 0 1 0 2 4 14
Modeling Financial Contagion using Copula 0 0 1 23 0 0 2 75
Modeling and Forecasting of Realized Volatility: Evidence from Brazil 0 0 0 5 1 1 3 42
Modeling the Interest Rate Term Structure: Derivatives Contracts Dynamics and Evaluation 0 0 0 3 1 1 3 24
On the robustness of the principal volatility components 0 0 0 8 3 4 7 41
Paridade do Poder de Compra: Testando Dados Brasileiros 0 0 0 7 1 2 3 56
Predictability of Equity Models 0 0 0 15 2 2 3 45
Review of major results of Martingale theory applied to the valuation of contingent claims 0 0 0 5 2 4 6 31
Robustness and the general dynamic factor model with infinite-dimensional space: Identification, estimation, and forecasting 0 0 0 4 1 2 3 24
Small sample properties of GARCH estimates and persistence 2 3 4 317 9 15 25 1,158
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 1 4 34
Taxa de Câmbio Real e Paridade de Poder de Compra no Brasil 0 0 1 5 0 0 2 34
Testing the Hypothesis of Contagion Using Multivariate Volatility Models 0 0 0 1 0 4 5 38
Testing the predict power of VIX: an application of multiplicative error model 0 0 1 15 2 2 7 71
The Effect of Overlapping Aggregation on Time Series Models: An Application to the Unemployment Rate in Brazil 0 0 0 7 2 5 9 72
The Informational Content of Trades on Foreign Exchange Futures: an Application to the Brazilian Market 0 0 0 13 2 3 6 70
The estimation of dynamic models with missing observations 0 0 0 0 1 3 3 16
Variáveis "dummies" em regressão: uma consideração metodológica 0 0 1 4 0 1 5 15
Total Journal Articles 5 7 21 1,049 50 92 194 4,086

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Statistics updated 2026-01-09