Access Statistics for Pedro L. Valls Pereira

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	0	0	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	0	100
Análise da estrutura de dependência da volatilidade entre setores durante a crise do subprime	0	0	0	35	0	1	1	96
Análise do Desempenho de Regras de Análise Técnica Aplicada ao Mercado Intradiário do Contrato Futuro do Índice Bovespa	0	0	0	81	0	0	2	256
Análise do desempenho de regras da análise técnica aplicada ao mercado intradiário do contrato futuro do índice Ibovespa	0	0	0	52	0	0	0	182
Arbitrage Pricing Theory (APT) and Macroeconomics Variables: a comparative study for the brazilian stock market	0	0	0	316	0	0	2	880
Arbitrage Pricing Theory (APT) and Macroeconomics Variables: an empirical study for the Brazilian stock market	0	0	0	411	1	1	1	967
Arbitrage Pricing Theory (APT) e variáveis macroeconômicas. Um estudo empírico sobre o mercado acionário brasileiro	0	0	6	498	0	0	8	1,436
Arbitrage Pricing Theory (APT) e variáveis macroeconômicas: um estudo empírico sobre o mercado acionário brasileiro	0	0	0	23	0	1	3	422
Asset allocation with Markovian regime switching: efficient frontier and tangent portfolio with regime switching	0	1	3	17	0	1	6	64
Automatic model selection for forecasting Brazilian stock returns	0	0	0	37	0	0	3	60
Closed Form Formula for the Arbitrage Free Price of an Option for the One Day Interfinancial Deposits Index	0	0	1	110	0	0	2	494
Clubes de Convergência de Renda para os Municípios Brasileiros: Uma Análise Não-Paramétrica	0	0	0	87	0	0	4	270
Comparação de carteiras otimizadas segundo o critério média-variância formadas através de estimativas robustas de risco e retorno	0	0	0	46	0	1	1	126
Conditional Stochastic Kernel Estimation by Nonparametric Methods	0	0	1	76	0	0	1	166
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	0	64	0	1	2	124
Cópulas: uma alternativa para a estimação de modelos de risco multivariados	0	0	1	43	0	0	1	136
Dynamic D-Vine copula model with applications to Value-at-Risk (VaR)	0	0	2	53	1	1	4	128
Economic cycles and term structure: application to Brazil	0	0	0	69	0	0	1	163
Effects of official and unofficial central bank communication on the Brazilian interest rate curve	0	0	0	33	0	1	1	65
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	0	0	1	82
Evaluation of contagion or interdependence in the financial crises of Asia and Latin America, considering the macroeconomic fundamentals	0	0	0	90	0	0	1	222
Forecast comparison with nonlinear methods for Brazilian industrial production	0	0	0	20	0	0	1	110
Forecasting Conditional Covariance Matrices in High-Dimensional Time Series: a General Dynamic Factor Approach	0	0	0	93	0	0	2	245
Forecasting VaR and ES through Markov-switching GARCH models: does the specication matter?	0	0	2	2	1	2	6	6
Forecasting conditional covariance matrices in high-dimensional time series: a general dynamic factor approach	0	0	0	15	0	0	1	67
How Persistent is Volatility? An Answer with Stochastic Volatility Models with Markov Regime Switching State Equations	0	0	0	272	0	0	2	633
How Persistent is Volatility? An Answer with Stochastic Volatility Models with Markov Regime Switching State Equations	0	0	0	327	0	0	0	670
Income Convergence Clubs for Brazilian Municipalities: A Non-Parametric Analysis (english version of WPE-6/2003)	0	0	0	32	0	1	1	215
Insucesso do plano cruzado: a evidência empírica da inflação 100% inércia para o Brasil	0	0	1	22	0	0	3	743
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	0	1	35	0	0	3	127
Modelando a volatilidade dos retornos de Petrobrás usando dados de alta frequência	0	0	0	54	0	0	1	119
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	1	7	0	0	1	23
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	1	38	0	0	1	127
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	0	1	100
O mercado de câmbio brasileiro pela ótica da microestutura	0	0	0	17	0	0	0	40
ORIGINAL SIN E PRICE DISCOVERY NOMERCADO DE BONDS SOBERANOS EM REAIS	0	0	1	28	0	0	1	69
Ombro-cabeça-ombro: testando a lucratividade do padrão gráfico de análise técnica no mercado de ações brasileiro	0	0	1	61	0	0	6	232
On the robustness of the general dynamic factor model with infinite-dimensional space: identification, estimation, and forecasting	0	0	0	57	0	0	5	95
On the robustness of the principal volatility components	0	0	0	25	0	0	1	70
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	0	23
Predictability of Equity Models	0	0	0	65	0	0	0	170
Predictability of equity models	0	0	0	45	0	0	1	97
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	2	723
Realized volatility: evidence from Brazil	0	0	0	62	0	0	2	95
Robustness and the general dynamic factor model with infinite-dimensional space: identification, estimation, and forecasting	0	0	1	16	0	0	2	45
SWGARCH Models an application to IBOVESPA	0	0	0	136	0	0	1	329
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	60	0	0	1	156
Small Sample Properties of GARCH Estimates and Persistence	0	0	1	353	0	1	4	710
Speculative bubbles and contagion: analysis of volatility's clusters during the DotCom bubble based on the dynamic conditional correlation model	0	0	0	18	0	0	1	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	1	223
TESTANDO A HIPÓTESE DE CONTÁGIO A PARTIR DE MODELOS MULTIVARIADOS DE VOLATILIDADE	0	0	0	63	0	0	0	217
Testando o poder preditivo do VIX: uma aplicação do modelo de erro multiplicativo	0	0	0	23	0	0	0	76
Testing Convergence Across Municipalities in Brazil Using Quantile Regression	0	0	0	148	0	0	1	399
Testing the Hypothesis of Contagion using Multivariate Volatility Models	0	0	0	58	0	0	0	191
Testing the hypothesis of contagion using multivariate volatility models	0	0	0	37	0	0	0	125
Testing the long-run implications of the expectation hypothesis using cointegration techniques with structural change	0	0	0	55	1	2	2	180
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	29
Trend, Seasonality and Seasonal Adjustment	0	0	0	96	0	0	0	104
Um estudo sobre os ciclos de negócios brasileiro (1900-2012)	0	0	0	31	0	0	1	57
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	0	23	0	0	0	30
“Ombro-Cabeça-Ombro”: Testando a Lucratividade do Padrão Gráfico de Análise Técnica no Mercado de Ações Brasileiro	0	0	1	66	0	0	4	301
Total Working Papers	0	1	26	6,932	4	14	105	19,204

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	0	2	35
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	0	2	39
Analysis of performance of technical trading rules applied to the market of intraday Ibovespa index futures contracts	1	1	2	10	1	1	3	41
Analysis of the volatility's dependency structure during the subprime crisis	0	0	0	20	0	0	0	65
Asset Allocation with Markovian Regime Switching: Efficient Frontier and Tangent Portfolio with Regime Switching	0	0	1	5	0	0	2	33
Co-Integração e suas Representações: Uma Resenha	0	0	0	3	0	0	0	17
Conditional stochastic kernel estimation by nonparametric methods	0	0	2	126	0	0	3	353
Convergence clubs among Brazilian municipalities	0	0	0	73	0	1	2	288
Credit Shocks and Monetary Policy in Brazil: A Structural Favar Approach	0	0	0	6	0	0	0	31
Dynamic D-Vine Copula Model with Applications to Value-at-Risk (VaR)	0	0	4	33	0	1	12	123
Effect of outliers on forecasting temporally aggregated flow variables	0	0	1	33	1	2	4	125
Estimação do hiato do produto via componentes não observados	0	0	0	0	0	0	0	6
Evaluation of contagion or interdependence in the financial crises of Asia and Latin America, considering the macroeconomic fundamentals	0	0	0	57	0	0	0	182
Exact likelihood function for a regression model with MA(1) errors	0	0	0	108	0	1	1	322
Filtragem e Previsão com Modelos de Voltalidade: Voltalidade Estocastica versus GARCH	0	0	0	2	0	0	0	22
Forecasting Conditional Covariance Matrices in High-Dimensional Time Series: A General Dynamic Factor Approach	0	0	2	3	2	2	13	25
Forecasting Industrial Production Using Its Aggregated and Disaggregated Series or a Combination of Both: Evidence from One Emerging Market Economy	0	2	6	11	1	3	18	35
Head and Shoulders: Testing the Profitability of this Chart Pattern of Technical Analysis in the Brazilian Stock Market	0	0	2	16	0	0	6	62
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	0	1	0	0	0	9
Modeling Financial Contagion using Copula	0	0	2	22	1	1	6	73
Modeling and Forecasting of Realized Volatility: Evidence from Brazil	0	0	0	5	0	0	2	39
Modeling the Interest Rate Term Structure: Derivatives Contracts Dynamics and Evaluation	0	0	0	3	0	0	1	21
On the robustness of the principal volatility components	0	0	1	8	0	0	2	34
Paridade do Poder de Compra: Testando Dados Brasileiros	0	0	0	7	1	1	1	52
Predictability of Equity Models	0	0	0	15	0	0	0	42
Review of major results of Martingale theory applied to the valuation of contingent claims	0	0	0	5	0	0	0	25
Robustness and the general dynamic factor model with infinite-dimensional space: Identification, estimation, and forecasting	0	0	1	4	0	0	1	21
Small sample properties of GARCH estimates and persistence	0	0	4	312	2	6	35	1,131
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	0	0	30
Taxa de Câmbio Real e Paridade de Poder de Compra no Brasil	0	0	1	4	0	1	3	32
Testing the Hypothesis of Contagion Using Multivariate Volatility Models	0	0	0	1	0	0	0	33
Testing the predict power of VIX: an application of multiplicative error model	0	0	0	14	0	0	2	64
The Effect of Overlapping Aggregation on Time Series Models: An Application to the Unemployment Rate in Brazil	0	0	1	7	0	0	5	63
The Informational Content of Trades on Foreign Exchange Futures: an Application to the Brazilian Market	0	0	2	13	0	1	5	63
The estimation of dynamic models with missing observations	0	0	0	0	0	0	1	13
Variáveis "dummies" em regressão: uma consideração metodológica	0	0	0	3	0	0	0	9
Total Journal Articles	1	3	32	1,022	9	21	132	3,862