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Details about Pedro L. Valls Pereira

E-mail:
Homepage:https://sites.google.com/site/pedrovallspereira
Phone:+55+11+37993244
Postal address:Sao Paulo School of Economics - FGV Rua Itapeva 474 - room 1006 01332-000, São Paulo, S.P. BRAZIL
Workplace:Escola de Economia de São Paulo (EESP) (Sao Paulo School of Economics), Fundação Getulio Vargas (FGV) (Getulio Vargas Foundation), (more information at EDIRC)

Access statistics for papers by Pedro L. Valls Pereira.

Last updated 2016-12-27. Update your information in the RePEc Author Service.

Short-id: pva43


Jump to Journal Articles

Working Papers

2016

  1. Dynamic D-Vine copula model with applications to Value-at-Risk (VaR)
    Textos para discussão, Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil) Downloads
  2. Speculative bubbles and contagion: analysis of volatility's clusters during the DotCom bubble based on the dynamic conditional correlation model
    Textos para discussão, Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil) Downloads

2015

  1. Automatic model selection for forecasting Brazilian stock returns
    Textos para discussão, Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil) Downloads
  2. Forecast comparison with nonlinear methods for Brazilian industrial production
    Textos para discussão, Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil) Downloads
  3. The Brazilian foreign exchange market through the microstructure perspective
    Textos para discussão, Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil) Downloads
  4. Trend, Seasonality and Seasonal Adjustment
    Discussion Papers, Instituto de Pesquisa Econômica Aplicada - IPEA Downloads

2014

  1. ANÁLISE DA ESTRUTURA DE DEPENDÊNCIA DAVOLATILIDADE ENTRE SETORES DURANTE A CRISE DO SUBPRIME
    Anais do XL Encontro Nacional de Economia [Proceedings of the 40th Brazilian Economics Meeting], ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics] Downloads
    Also in Textos para discussão, Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil) (2012) Downloads
  2. Credit shocks and monetary policy in Brazil: a structural FAVAR approach
    Textos para discussão, Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil) Downloads
  3. O mercado de câmbio brasileiro pela ótica da microestutura
    Textos para discussão, Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil) Downloads
  4. Um estudo sobre os ciclos de negócios brasileiro (1900-2012)
    Textos para discussão, Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil) Downloads

2013

  1. Analysis of contagion from the constant conditional correlation model with Markov regime switching
    Textos para discussão, Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil) Downloads

2012

  1. Evaluating the existence of structural change in the brazilian term structure of interest: evidence based on cointegration models with structural break
    Textos para discussão, Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil) Downloads
  2. Modelagem e previsão de volatilidade realizada: evidências para o Brasil
    Textos para discussão, Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil) Downloads View citations (1)
  3. 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
    Textos para discussão, Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil) Downloads
  4. O conteúdo informacional das transações no mercado futuro de câmbio: uma investigação do caso brasileiro
    Textos para discussão, Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil) Downloads
  5. Realized volatility: evidence from Brazil
    Textos para discussão, Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil) Downloads
  6. Testando o poder preditivo do VIX: uma aplicação do modelo de erro multiplicativo
    Textos para discussão, Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil) Downloads

2011

  1. Modelando contágio financeiro através de cópulas
    Textos para discussão, Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil) Downloads View citations (1)
  2. ORIGINAL SIN E PRICE DISCOVERY NOMERCADO DE BONDS SOBERANOS EM REAIS
    Anais do XXXVIII Encontro Nacional de Economia [Proceedings of the 38th Brazilian Economics Meeting], ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics] Downloads

2010

  1. Economic cycles and term structure: application to Brazil
    Textos para discussão, Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil) Downloads View citations (4)
  2. Modelando a volatilidade dos retornos de Petrobrás usando dados de alta frequência
    Textos para discussão, Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil) Downloads
  3. 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
    Textos para discussão, Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil) Downloads

2009

  1. Análise do desempenho de regras da análise técnica aplicada ao mercado intradiário do contrato futuro do índice Ibovespa
    Textos para discussão, Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil) Downloads
    Also in MPRA Paper, University Library of Munich, Germany (2008) Downloads View citations (3)
  2. Comparação de carteiras otimizadas segundo o critério média-variância formadas através de estimativas robustas de risco e retorno
    Textos para discussão, Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil) Downloads
  3. Cópulas: uma alternativa para a estimação de modelos de risco multivariados
    Textos para discussão, Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil) Downloads
  4. Evaluation of contagion or interdependence in the financial crises of Asia and Latin America, considering the macroeconomic fundamentals
    Textos para discussão, Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil) Downloads
    See also Journal Article in Applied Economics (2011)
  5. Predictability of Equity Models
    MPRA Paper, University Library of Munich, Germany Downloads
    Also in Textos para discussão, Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil) (2009) Downloads

    See also Journal Article in Journal of Forecasting (2015)
  6. Previsão de retornos intradiários através de regressões usando funções-núcleo
    Textos para discussão, Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil) Downloads
  7. Testing the hypothesis of contagion using multivariate volatility models
    Textos para discussão, Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil) Downloads
    Also in MPRA Paper, University Library of Munich, Germany (2008) Downloads
  8. Testing the long-run implications of the expectation hypothesis using cointegration techniques with structural change
    MPRA Paper, University Library of Munich, Germany Downloads
    Also in Textos para discussão, Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil) (2009) Downloads
  9. “Ombro-Cabeça-Ombro”: Testando a Lucratividade do Padrão Gráfico de Análise Técnica no Mercado de Ações Brasileiro
    (Head and Shoulder: testing the profitability of graphic pattern of technical analysis for the Brazilian Stock Exchange)
    MPRA Paper, University Library of Munich, Germany Downloads View citations (2)
    Also in Textos para discussão, Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil) (2009) Downloads

2008

  1. TESTANDO A HIPÓTESE DE CONTÁGIO A PARTIR DE MODELOS MULTIVARIADOS DE VOLATILIDADE
    (Testing the contagion hypotheses using multivariate volatility models)
    MPRA Paper, University Library of Munich, Germany Downloads View citations (1)

2007

  1. Conditional Stochastic Kernel Estimation by Nonparametric Methods
    Insper Working Papers, Insper Working Paper, Insper Instituto de Ensino e Pesquisa Downloads View citations (1)
    See also Journal Article in Economics Letters (2009)

2004

  1. How Persistent is Volatility? An Answer with Stochastic Volatility Models with Markov Regime Switching State Equations
    Finance Lab Working Papers, Finance Lab, Insper Instituto de Ensino e Pesquisa Downloads View citations (1)
    Also in Econometric Society 2004 Latin American Meetings, Econometric Society (2004) Downloads View citations (1)
  2. Income Convergence Clubs for Brazilian Municipalities: A Non-Parametric Analysis (english version of WPE-6/2003)
    Insper Working Papers, Insper Working Paper, Insper Instituto de Ensino e Pesquisa Downloads

2003

  1. Clubes de Convergência de Renda para os Municípios Brasileiros: Uma Análise Não-Paramétrica
    Insper Working Papers, Insper Working Paper, Insper Instituto de Ensino e Pesquisa Downloads View citations (3)
  2. Convergence Clubs Among Brazilian Municipalities
    Insper Working Papers, Insper Working Paper, Insper Instituto de Ensino e Pesquisa Downloads
    See also Journal Article in Economics Letters (2004)
  3. Small Sample Properties of GARCH Estimates and Persistence
    Finance Lab Working Papers, Finance Lab, Insper Instituto de Ensino e Pesquisa Downloads View citations (10)
    See also Journal Article in The European Journal of Finance (2006)
  4. Structural Break Threshold VARs for Predicting US Recessions using the Spread
    Insper Working Papers, Insper Working Paper, Insper Instituto de Ensino e Pesquisa Downloads View citations (1)

2002

  1. Switching Regime Models: applications to trading rules
    Computing in Economics and Finance 2002, Society for Computational Economics
  2. Testing Convergence Across Municipalities in Brazil Using Quantile Regression
    Insper Working Papers, Insper Working Paper, Insper Instituto de Ensino e Pesquisa Downloads View citations (4)

2001

  1. Evaluating Value-at-Risk Models: a comparison between traditional models and conditional variance models
    Finance Lab Working Papers, Finance Lab, Insper Instituto de Ensino e Pesquisa Downloads

2000

  1. Arbitrage Pricing Theory (APT) and Macroeconomics Variables: an empirical study for the Brazilian stock market
    Finance Lab Working Papers, Finance Lab, Insper Instituto de Ensino e Pesquisa Downloads
  2. Markovian Switch Models: applications to financial time series
    Finance Lab Working Papers, Finance Lab, Insper Instituto de Ensino e Pesquisa Downloads
  3. Modeling the Term Structure of Interest Rate
    Finance Lab Working Papers, Finance Lab, Insper Instituto de Ensino e Pesquisa Downloads
  4. Options on the One Day Interfinancial Deposits Index: Derivation of a Formula for the Calculation of the Arbitrage Free Price
    Finance Lab Working Papers, Finance Lab, Insper Instituto de Ensino e Pesquisa Downloads
  5. Purchasing Parity Power: the empirical evidence for Brazil
    Insper Working Papers, Insper Working Paper, Insper Instituto de Ensino e Pesquisa Downloads
  6. SWGARCH Models an application to IBOVESPA
    Finance Lab Working Papers, Finance Lab, Insper Instituto de Ensino e Pesquisa Downloads
  7. Switching Regimes Models for financial time series: an empirical study for trading rules
    Finance Lab Working Papers, Finance Lab, Insper Instituto de Ensino e Pesquisa Downloads View citations (1)
  8. Uma Resenha sobre os Principais Resultados da Teoria de Martingals aplicada à Avaliação de Derivativos em Mercados Completos e Livre de Arbitragem
    Finance Lab Working Papers, Finance Lab, Insper Instituto de Ensino e Pesquisa Downloads

1999

  1. Alternative Models to extract asset volatility: a comparative study
    Finance Lab Working Papers, Finance Lab, Insper Instituto de Ensino e Pesquisa Downloads View citations (5)
  2. Arbitrage Pricing Theory (APT) e variáveis macroeconômicas: um estudo empírico sobre o mercado acionário brasileiro
    Economics Working Papers (Ensaios Economicos da EPGE), FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil) Downloads
    Also in Textos para discussão, Department of Economics PUC-Rio (Brazil) (1998) Downloads
  3. Closed Form Formula for the Arbitrage Free Price of an Option for the One Day Interfinancial Deposits Index
    Finance Lab Working Papers, Finance Lab, Insper Instituto de Ensino e Pesquisa Downloads View citations (2)
  4. Switching Regime in Volatility: the SWGARCH Models
    Finance Lab Working Papers, Finance Lab, Insper Instituto de Ensino e Pesquisa Downloads

1998

  1. Arbitrage Pricing Theory (APT) and Macroeconomics Variables: a comparative study for the brazilian stock market
    Finance Lab Working Papers, Finance Lab, Insper Instituto de Ensino e Pesquisa Downloads
  2. Nonlinear Models in Finance: previsibility of financial markets and applications to risk management
    Finance Lab Working Papers, Finance Lab, Insper Instituto de Ensino e Pesquisa Downloads

1993

  1. A substituição de moeda no Brasil: a moeda indexada
    Economics Working Papers (Ensaios Economicos da EPGE), FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil) Downloads View citations (10)

1987

  1. Insucesso do plano cruzado: a evidência empírica da inflação 100% inércia para o Brasil
    Economics Working Papers (Ensaios Economicos da EPGE), FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil) Downloads View citations (5)

Journal Articles

2016

  1. Analysis of contagion from the dynamic conditional correlation model with Markov Regime switching
    Applied Economics, 2016, 48, (25), 2367-2382 Downloads View citations (1)
  2. The Informational Content of Trades on Foreign Exchange Futures: an Application to the Brazilian Market
    Brazilian Review of Finance, 2016, 14, (1), 7-43 Downloads

2015

  1. Predictability of Equity Models
    Journal of Forecasting, 2015, 34, (6), 427-440 Downloads
    See also Working Paper (2009)
  2. Testing the predict power of VIX: an application of multiplicative error model
    Brazilian Review of Finance, 2015, 13, (4), 571-630 Downloads

2013

  1. Analysis of the volatility's dependency structure during the subprime crisis
    Applied Economics, 2013, 45, (36), 5031-5045 Downloads

2011

  1. Evaluation of contagion or interdependence in the financial crises of Asia and Latin America, considering the macroeconomic fundamentals
    Applied Economics, 2011, 43, (19), 2365-2379 Downloads View citations (8)
    See also Working Paper (2009)
  2. Modeling Financial Contagion using Copula
    Brazilian Review of Finance, 2011, 9, (3), 335-363 Downloads

2009

  1. Conditional stochastic kernel estimation by nonparametric methods
    Economics Letters, 2009, 105, (3), 234-238 Downloads View citations (5)
    See also Working Paper (2007)
  2. Head and Shoulders: Testing the Profitability of this Chart Pattern of Technical Analysis in the Brazilian Stock Market
    Brazilian Review of Finance, 2009, 7, (3), 265-303 Downloads

2008

  1. Analysis of performance of technical trading rules applied to the market of intraday Ibovespa index futures contracts
    Brazilian Review of Finance, 2008, 6, (2), 205-234 Downloads

2007

  1. How Persistent is Stock Return Volatility? An Answer with Markov Regime Switching Stochastic Volatility Models
    Journal of Business Finance & Accounting, 2007, 34, (5-6), 1002-1024 Downloads View citations (9)

2006

  1. Small sample properties of GARCH estimates and persistence
    The European Journal of Finance, 2006, 12, (6-7), 473-494 Downloads View citations (16)
    See also Working Paper (2003)

2005

  1. Income convergence clubs for Brazilian Municipalities: a non-parametric analysis
    Applied Economics, 2005, 37, (18), 2099-2118 Downloads View citations (15)
  2. Modeling the Interest Rate Term Structure: Derivatives Contracts Dynamics and Evaluation
    Brazilian Review of Finance, 2005, 3, (1), 19-54 Downloads

2004

  1. Convergence clubs among Brazilian municipalities
    Economics Letters, 2004, 83, (2), 179-184 Downloads View citations (22)
    See also Working Paper (2003)
  2. Effect of outliers on forecasting temporally aggregated flow variables
    TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, 2004, 13, (2), 371-402 Downloads View citations (2)

2003

  1. Paridade do Poder de Compra: Testando Dados Brasileiros
    Revista Brasileira de Economia, 2003, 57, (1) Downloads View citations (2)

1999

  1. Taxa de Câmbio Real e Paridade de Poder de Compra no Brasil
    Revista Brasileira de Economia, 1999, 53, (3) Downloads View citations (1)

1998

  1. Filtragem e Previsão com Modelos de Voltalidade: Voltalidade Estocastica versus GARCH
    Revista Brasileira de Economia, 1998, 52, (2) Downloads

1987

  1. Application of Kalman Filter
    Econometric Theory, 1987, 3, (02), 306-309 Downloads
  2. Exact likelihood function for a regression model with MA(1) errors
    Economics Letters, 1987, 24, (2), 145-149 Downloads
 
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