Pedro L. Valls Pereira

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Emerson Fernandes MarçalFGV-EESPVerified email at fgv.br
Márcio LauriniFEA-RP USPVerified email at fearp.usp.br
Carlos Trucíos MazaUniversity of CampinasVerified email at unicamp.br
Soosung HwangDepatment of Economics, Sungkyunkwan UniveristyVerified email at skku.edu
Marco BonomoInsperVerified email at insper.edu.br
Regina MadalozzoInsper Instituto de Ensino e PesquisaVerified email at insper.edu.br
Marc HallinUniversité libre de BruxellesVerified email at ulb.ac.be
João Henrique Gonçalves MazzeuUniversidad Carlos III de MadridVerified email at est-econ.uc3m.es
Mauricio ZevallosDepartment of Statistics, University of Campinas (UNICAMP)Verified email at ime.unicamp.br
Adriana SchorInstituto de Relações Internacionais, Universidade de São PauloVerified email at usp.br
Flavio ZiegelmannUniversidade Federal do Rio Grande do SulVerified email at ufrgs.br
Fernando de holanda barbosaProfessor de Economia, Fundação Getúlio VargasVerified email at fgv.br
Luiz Alvares Rezende de SouzaNumbersTalkVerified email at numberstalk.com.br
Marcos Vinicio Wink JuniorProfessor de Economia, Universidade do Estado de Santa CatarinaVerified email at udesc.br
Diogo de PrincePhD in Economics, Getulio Vargas Foundation (Sao Paulo School of Economics), Researcher at MacroLabVerified email at unifesp.br
Osvaldo CandidoCatholic University of Brasilia - UCBVerified email at ucb.br
João MergulhãoSao Paulo School of Economics - FGVVerified email at fgv.br
marislei nishijimaProfessora ATitular da Universidade de São PauloVerified email at usp.br
Hedibert Freitas LopesProfessor of Statistics and Econometrics - INSPER Institute of Education and ResearchVerified email at insper.edu.br
Vitor Borges MonteiroUniversidade Federal do CearáVerified email at ufc.br

Pedro L. Valls Pereira

Full Professor at São Paulo School of Economcis and Director of CEQEF at Fundação Getulio Vargas

Verified email at fgv.br - Homepage

Forecasting Financial Econometrics Empirical Finance Computational Finance Time Series Econometrics


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Small sample properties of GARCH estimates and persistence S Hwang, PL Valls Pereira The European Journal of Finance 12 (6-7), 473-494, 2006	181	2006
Convergence clubs among Brazilian municipalities E Andrade, M Laurini, R Madalozzo, PLV Pereira Economics Letters 83 (2), 179-184, 2004	110*	2004
Income convergence clubs for Brazilian municipalities: a non-parametric analysis M Laurini, E Andrade, PL Valls Pereira Applied Economics 37 (18), 2099-2118, 2005	104*	2005
Evaluation of contagion or interdependence in the financial crises of Asia and Latin America, considering the macroeconomic fundamentals EF Marçal, PL Valls Pereira, DML Martin, WT Nakamura Applied Economics 43 (19), 2365-2379, 2011	64	2011
How persistent is stock return volatility? an answer with markov regime switching stochastic volatility models S Hwang, SE Satchell, PL Valls Pereira Journal of Business Finance & Accounting 34 (5‐6), 1002-1024, 2007	58*	2007
Analysis of contagion from the dynamic conditional correlation model with Markov Regime switching PN Rotta, PL Valls Pereira Applied Economics 48 (25), 2367-2382, 2016	42	2016
APT e variáveis macroeconômicas: Um estudo empírico sobre o mercado acionário brasileiro A Schor, M BONOMO, PLV Pereira Finanças aplicadas ao Brasil 2, 2004	39*	2004
Testing the hypothesis of contagion using multivariate volatility models EF Marçal, PLV Pereira Brazilian Review of Econometrics 28 (2), 191-216, 2008	36	2008
A estrutura a termo das taxas de juros no brasil: Testando a hipótese de expectativas EF Marçal, PLV Pereira Instituto de Pesquisa Econômica Aplicada (Ipea), 2007	35	2007
Alternative models to extract asset volatility: A comparative study PLV Pereira, LK Hotta, LAR de Souza, NMCG de Almeida Brazilian review of econometrics 19 (1), 57-109, 1999	33*	1999
Taxa de câmbio real e paridade de poder de compra no Brasil PLV Pereira, M Holland Revista Brasileira de Economia 53 (3), 259-285, 1999	33	1999
Paridade do poder de compra: Testando dados brasileiros EF Marçal, PLV Pereira, OC Santos Filho Revista Brasileira de Economia 57, 159-190, 2003	30	2003
Co-integração: uma resenha com aplicações a séries brasileiras PLV Pereira Brazilian Review of Econometrics 8 (2), 7-29, 1988	29	1988
Forecasting conditional covariance matrices in high-dimensional time series: a general dynamic factor approach C Trucíos, JHG Mazzeu, M Hallin, LK Hotta, PL Valls Pereira, M Zevallos Journal of Business & Economic Statistics 41 (1), 40-52, 2023	24	2023
The effects of structural breaks in ARCH and GARCH parameters on persistence of GARCH models S Hwang, PL Valls Pereira Communications in Statistics—Simulation and Computation 37 (3), 571-578, 2008	24	2008
“Ombro-cabeça-ombro”: Testando a lucratividade do padrão gráfico de análise técnica no mercado de ações brasileiro PG Boainain	23*	2007
Modeling and forecasting of realized volatility: evidence from Brazil MVW Junior, PLV Pereira Brazilian Review of Econometrics 31 (2), 315-337, 2011	22*	2011
Effect of outliers on forecasting temporally aggregated flow variables LK Hotta, PLV Pereira, R Ota Test 13, 371-402, 2004	22	2004
Modeling Financial Contagion Using Copula PLV Pereira, RP de Souza Santos Brazilian Review of Finance 9 (3), 335-363, 2011	21*	2011
On the robustness of the principal volatility components C Trucíos, LK Hotta, PLV Pereira Journal of Empirical Finance 52, 201-219, 2019	20	2019

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