Details about Pedro L. Valls Pereira

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 Getúlio Vargas (FGV) (Getulio Vargas Foundation), (more information at EDIRC)

Access statistics for papers by Pedro L. Valls Pereira.

Last updated 2024-06-07. Update your information in the RePEc Author Service.

Short-id: pva43

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Jump to Journal Articles

Working Papers

2024

1. Forecasting VaR and ES through Markov-switching GARCH models: does the specication matter?
   Textos para discussão, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil)

2020

2. Robustness and the general dynamic factor model with infinite-dimensional space: identification, estimation, and forecasting
   Textos para discussão, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil) View citations (2)
   See also Journal Article Robustness and the general dynamic factor model with infinite-dimensional space: Identification, estimation, and forecasting, International Journal of Forecasting, Elsevier (2021) View citations (2) (2021)

2019

3. Forecasting Conditional Covariance Matrices in High-Dimensional Time Series: a General Dynamic Factor Approach
   Working Papers ECARES, ULB -- Universite Libre de Bruxelles View citations (3)
   Also in Textos para discussão, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil) (2019) View citations (3)
   See also Journal Article Forecasting Conditional Covariance Matrices in High-Dimensional Time Series: A General Dynamic Factor Approach, Journal of Business & Economic Statistics, Taylor & Francis Journals (2022) View citations (1) (2022)
4. On the robustness of the general dynamic factor model with infinite-dimensional space: identification, estimation, and forecasting
   Working Papers ECARES, ULB -- Universite Libre de Bruxelles

2018

5. Asset allocation with Markovian regime switching: efficient frontier and tangent portfolio with regime switching
   Textos para discussão, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil)
   See also Journal Article Asset Allocation with Markovian Regime Switching: Efficient Frontier and Tangent Portfolio with Regime Switching, Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE (2018) (2018)
6. Effects of official and unofficial central bank communication on the Brazilian interest rate curve
   Textos para discussão, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil)
7. Mudança de regime e efeito ARCH em volatilidade: um estudo dos choques das cotações do Petróleo
   Textos para discussão, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil)
8. On the robustness of the principal volatility components
   Textos para discussão, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil) View citations (3)
   See also Journal Article On the robustness of the principal volatility components, Journal of Empirical Finance, Elsevier (2019) View citations (9) (2019)
9. Portfolio pumping no mercado acionário brasileiro
   Textos para discussão, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil)
10. Uncertainty times for portfolio selection at financial market
    Textos para discussão, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil)

2016

11. Dynamic D-Vine copula model with applications to Value-at-Risk (VaR)
    Textos para discussão, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil)
    See also Journal Article Dynamic D-Vine Copula Model with Applications to Value-at-Risk (VaR), Journal of Time Series Econometrics, De Gruyter (2019) View citations (1) (2019)
12. Speculative bubbles and contagion: analysis of volatility's clusters during the DotCom bubble based on the dynamic conditional correlation model
    Textos para discussão, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil)
    See also Journal Article Speculative bubbles and contagion: Analysis of volatility’s clusters during the DotCom bubble based on the dynamic conditional correlation model, Cogent Economics & Finance, Taylor & Francis Journals (2017) View citations (4) (2017)

2015

13. Automatic model selection for forecasting Brazilian stock returns
    Textos para discussão, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil)
14. Forecast comparison with nonlinear methods for Brazilian industrial production
    Textos para discussão, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil)
15. The Brazilian foreign exchange market through the microstructure perspective
    Textos para discussão, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil)
16. Trend, Seasonality and Seasonal Adjustment
    Discussion Papers, Instituto de Pesquisa Econômica Aplicada - IPEA

2014

17. 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 Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics]
    Also in Textos para discussão, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil) (2012)
18. Credit shocks and monetary policy in Brazil: a structural FAVAR approach
    Textos para discussão, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil)
    See also Journal Article Credit Shocks and Monetary Policy in Brazil: A Structural Favar Approach, Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE (2012) View citations (2) (2012)
19. O mercado de câmbio brasileiro pela ótica da microestutura
    Textos para discussão, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil)
20. Um estudo sobre os ciclos de negócios brasileiro (1900-2012)
    Textos para discussão, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil)

2013

21. Analysis of contagion from the constant conditional correlation model with Markov regime switching
    Textos para discussão, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil)

2012

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

2011

28. Modelando contágio financeiro através de cópulas
    Textos para discussão, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil) View citations (1)
29. 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 Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics]

2010

30. Economic cycles and term structure: application to Brazil
    Textos para discussão, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil) View citations (4)
31. Modelando a volatilidade dos retornos de Petrobrás usando dados de alta frequência
    Textos para discussão, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil)
32. 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, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil)

2009

33. Análise do desempenho de regras da análise técnica aplicada ao mercado intradiário do contrato futuro do índice Ibovespa
    Textos para discussão, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil)
    Also in MPRA Paper, University Library of Munich, Germany (2008) View citations (3)
34. Comparação de carteiras otimizadas segundo o critério média-variância formadas através de estimativas robustas de risco e retorno
    Textos para discussão, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil)
35. Cópulas: uma alternativa para a estimação de modelos de risco multivariados
    Textos para discussão, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil)
36. Evaluation of contagion or interdependence in the financial crises of Asia and Latin America, considering the macroeconomic fundamentals
    Textos para discussão, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil)
    See also Journal Article Evaluation of contagion or interdependence in the financial crises of Asia and Latin America, considering the macroeconomic fundamentals, Applied Economics, Taylor & Francis Journals (2011) View citations (12) (2011)
37. Ombro-cabeça-ombro: testando a lucratividade do padrão gráfico de análise técnica no mercado de ações brasileiro
    Textos para discussão, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil)
    Also in MPRA Paper, University Library of Munich, Germany (2009) View citations (2)
38. Predictability of Equity Models
    MPRA Paper, University Library of Munich, Germany
    Also in Textos para discussão, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil) (2009)
    See also Journal Article Predictability of Equity Models, Journal of Forecasting, John Wiley & Sons, Ltd. (2015) (2015)
39. Previsão de retornos intradiários através de regressões usando funções-núcleo
    Textos para discussão, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil)
40. Testing the hypothesis of contagion using multivariate volatility models
    Textos para discussão, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil) View citations (1)
    Also in MPRA Paper, University Library of Munich, Germany (2008) View citations (2)
    See also Journal Article Testing the Hypothesis of Contagion Using Multivariate Volatility Models, Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE (2008) View citations (4) (2008)
41. Testing the long-run implications of the expectation hypothesis using cointegration techniques with structural change
    Textos para discussão, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil)
    Also in MPRA Paper, University Library of Munich, Germany (2009)

2008

42. 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 View citations (1)

2007

43. Conditional Stochastic Kernel Estimation by Nonparametric Methods
    Insper Working Papers, Insper Working Paper, Insper Instituto de Ensino e Pesquisa View citations (2)
    See also Journal Article Conditional stochastic kernel estimation by nonparametric methods, Economics Letters, Elsevier (2009) View citations (12) (2009)

2004

44. 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 View citations (2)
    Also in Econometric Society 2004 Latin American Meetings, Econometric Society (2004) View citations (6)
45. 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

2003

46. 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 View citations (4)
47. Convergence Clubs Among Brazilian Municipalities
    Insper Working Papers, Insper Working Paper, Insper Instituto de Ensino e Pesquisa
    See also Journal Article Convergence clubs among Brazilian municipalities, Economics Letters, Elsevier (2004) View citations (29) (2004)
48. Small Sample Properties of GARCH Estimates and Persistence
    Finance Lab Working Papers, Finance Lab, Insper Instituto de Ensino e Pesquisa View citations (10)
    See also Journal Article Small sample properties of GARCH estimates and persistence, The European Journal of Finance, Taylor & Francis Journals (2006) View citations (64) (2006)
49. Structural Break Threshold VARs for Predicting US Recessions using the Spread
    Insper Working Papers, Insper Working Paper, Insper Instituto de Ensino e Pesquisa View citations (1)

2002

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

2001

52. 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

2000

53. 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
54. Markovian Switch Models: applications to financial time series
    Finance Lab Working Papers, Finance Lab, Insper Instituto de Ensino e Pesquisa
55. Modeling the Term Structure of Interest Rate
    Finance Lab Working Papers, Finance Lab, Insper Instituto de Ensino e Pesquisa
56. 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 View citations (2)
57. Purchasing Parity Power: the empirical evidence for Brazil
    Insper Working Papers, Insper Working Paper, Insper Instituto de Ensino e Pesquisa
58. SWGARCH Models an application to IBOVESPA
    Finance Lab Working Papers, Finance Lab, Insper Instituto de Ensino e Pesquisa
59. 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 View citations (1)
60. 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

1999

61. Alternative Models to extract asset volatility: a comparative study
    Finance Lab Working Papers, Finance Lab, Insper Instituto de Ensino e Pesquisa View citations (9)
    See also Journal Article ALTERNATIVE MODELS TO EXTRACT ASSET VOLATILITY: A COMPARATIVE STUDY, Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE (1999) View citations (8) (1999)
62. Arbitrage Pricing Theory (APT) e variáveis macroeconômicas: um estudo empírico sobre o mercado acionário brasileiro
    FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE), EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil)
    Also in Textos para discussão, Department of Economics PUC-Rio (Brazil) (1998)
63. 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 View citations (3)
64. Switching Regime in Volatility: the SWGARCH Models
    Finance Lab Working Papers, Finance Lab, Insper Instituto de Ensino e Pesquisa

1998

65. 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
66. 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

1993

67. A substituição de moeda no Brasil: a moeda indexada
    FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE), EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil) View citations (10)

1987

68. Insucesso do plano cruzado: a evidência empírica da inflação 100% inércia para o Brasil
    FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE), EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil) View citations (5)

Journal Articles

2022

1. Forecasting Conditional Covariance Matrices in High-Dimensional Time Series: A General Dynamic Factor Approach
   Journal of Business & Economic Statistics, 2022, 41, (1), 40-52 View citations (1)
   See also Working Paper Forecasting Conditional Covariance Matrices in High-Dimensional Time Series: a General Dynamic Factor Approach, Working Papers ECARES (2019) View citations (3) (2019)
2. Forecasting Industrial Production Using Its Aggregated and Disaggregated Series or a Combination of Both: Evidence from One Emerging Market Economy
   Econometrics, 2022, 10, (2), 1-34

2021

3. Robustness and the general dynamic factor model with infinite-dimensional space: Identification, estimation, and forecasting
   International Journal of Forecasting, 2021, 37, (4), 1520-1534 View citations (2)
   See also Working Paper Robustness and the general dynamic factor model with infinite-dimensional space: identification, estimation, and forecasting, Textos para discussão (2020) View citations (2) (2020)

2019

4. Dynamic D-Vine Copula Model with Applications to Value-at-Risk (VaR)
   Journal of Time Series Econometrics, 2019, 11, (2), 34 View citations (1)
   See also Working Paper Dynamic D-Vine copula model with applications to Value-at-Risk (VaR), Textos para discussão (2016) (2016)
5. On the robustness of the principal volatility components
   Journal of Empirical Finance, 2019, 52, (C), 201-219 View citations (9)
   See also Working Paper On the robustness of the principal volatility components, Textos para discussão (2018) View citations (3) (2018)

2018

6. Asset Allocation with Markovian Regime Switching: Efficient Frontier and Tangent Portfolio with Regime Switching
   Brazilian Review of Econometrics, 2018, 38, (1)
   See also Working Paper Asset allocation with Markovian regime switching: efficient frontier and tangent portfolio with regime switching, Textos para discussão (2018) (2018)

2017

7. Speculative bubbles and contagion: Analysis of volatility’s clusters during the DotCom bubble based on the dynamic conditional correlation model
   Cogent Economics & Finance, 2017, 5, (1), 1411453 View citations (4)
   See also Working Paper Speculative bubbles and contagion: analysis of volatility's clusters during the DotCom bubble based on the dynamic conditional correlation model, Textos para discussão (2016) (2016)

2016

8. Analysis of contagion from the dynamic conditional correlation model with Markov Regime switching
   Applied Economics, 2016, 48, (25), 2367-2382 View citations (13)
9. The Informational Content of Trades on Foreign Exchange Futures: an Application to the Brazilian Market
   Brazilian Review of Finance, 2016, 14, (1), 7-43

2015

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

2013

12. A Study of the Brazilian business cycles (1900 – 2012)
    Brazilian Review of Econometrics, 2013, 33, (2)
13. Analysis of the volatility's dependency structure during the subprime crisis
    Applied Economics, 2013, 45, (36), 5031-5045 View citations (3)

2012

14. Credit Shocks and Monetary Policy in Brazil: A Structural Favar Approach
    Brazilian Review of Econometrics, 2012, 32, (2) View citations (2)
    See also Working Paper Credit shocks and monetary policy in Brazil: a structural FAVAR approach, Textos para discussão (2014) (2014)

2011

15. 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 View citations (12)
    See also Working Paper Evaluation of contagion or interdependence in the financial crises of Asia and Latin America, considering the macroeconomic fundamentals, Textos para discussão (2009) (2009)
16. Modeling Financial Contagion using Copula
    Brazilian Review of Finance, 2011, 9, (3), 335-363 View citations (1)
17. Modeling and Forecasting of Realized Volatility: Evidence from Brazil
    Brazilian Review of Econometrics, 2011, 31, (2)

2009

18. Conditional stochastic kernel estimation by nonparametric methods
    Economics Letters, 2009, 105, (3), 234-238 View citations (12)
    See also Working Paper Conditional Stochastic Kernel Estimation by Nonparametric Methods, Insper Working Papers (2007) View citations (2) (2007)
19. 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

2008

20. 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 View citations (1)
21. Testing the Hypothesis of Contagion Using Multivariate Volatility Models
    Brazilian Review of Econometrics, 2008, 28, (2) View citations (4)
    See also Working Paper Testing the hypothesis of contagion using multivariate volatility models, Textos para discussão (2009) View citations (1) (2009)

2007

22. 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 View citations (11)

2006

23. Small sample properties of GARCH estimates and persistence
    The European Journal of Finance, 2006, 12, (6-7), 473-494 View citations (64)
    See also Working Paper Small Sample Properties of GARCH Estimates and Persistence, Finance Lab Working Papers (2003) View citations (10) (2003)

2005

24. Income convergence clubs for Brazilian Municipalities: a non-parametric analysis
    Applied Economics, 2005, 37, (18), 2099-2118 View citations (25)
25. Modeling the Interest Rate Term Structure: Derivatives Contracts Dynamics and Evaluation
    Brazilian Review of Finance, 2005, 3, (1), 19-54

2004

26. Convergence clubs among Brazilian municipalities
    Economics Letters, 2004, 83, (2), 179-184 View citations (29)
    See also Working Paper Convergence Clubs Among Brazilian Municipalities, Insper Working Papers (2003) (2003)
27. 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 View citations (2)

2003

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

2001

29. Review of major results of Martingale theory applied to the valuation of contingent claims
    Brazilian Review of Econometrics, 2001, 21, (2) View citations (2)

1999

30. ALTERNATIVE MODELS TO EXTRACT ASSET VOLATILITY: A COMPARATIVE STUDY
    Brazilian Review of Econometrics, 1999, 19, (1) View citations (8)
    See also Working Paper Alternative Models to extract asset volatility: a comparative study, Finance Lab Working Papers (1999) View citations (9) (1999)
31. Taxa de Câmbio Real e Paridade de Poder de Compra no Brasil
    Revista Brasileira de Economia - RBE, 1999, 53, (3) View citations (1)

1998

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

1992

33. The Effect of Overlapping Aggregation on Time Series Models: An Application to the Unemployment Rate in Brazil
    Brazilian Review of Econometrics, 1992, 12, (2) View citations (2)

1991

34. Co-Integração e suas Representações: Uma Resenha
    Brazilian Review of Econometrics, 1991, 11, (2)

1987

35. Exact likelihood function for a regression model with MA(1) errors
    Economics Letters, 1987, 24, (2), 145-149
36. Missing observations in stochastic difference equation with arma errors
    Brazilian Review of Econometrics, 1987, 7, (1)

1986

37. Estimação do hiato do produto via componentes não observados
    Brazilian Review of Econometrics, 1986, 6, (2)

1985

38. The estimation of dynamic models with missing observations
    Brazilian Review of Econometrics, 1985, 5, (2) View citations (1)

1984

39. Variáveis "dummies" em regressão: uma consideração metodológica
    Brazilian Review of Econometrics, 1984, 4, (2)