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Information about:
Pedro L. Valls Pereira

Personal Details | Affiliation | Works
This is information that was supplied by Pedro Valls Pereira in registering through RePEc. If you are Pedro L. Valls Pereira , you may change this information at RePEc. Or if you are not registered and would like to be listed as well, register at RePEc. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

Other registered authors

Personal Details

First Name: Pedro
Middle Name: L.
Last Name: Valls Pereira
Suffix:

RePEc Short-ID: pva43

Email:
Homepage: http://pedrovalls.webs.com
Postal Address: São Paulo School of Economics - FGV Rua Itapeva 474 - room 1202 01332-000, São Paulo, S.P. BRAZIL
Phone: +55+11+32813726

Affiliation

(in no particular order)

Works

| Working papers | Articles | Access and download statistics | Citations (if any)| NEP Fields |
Download all references for this author: available formats: HTML (with abstracts), plain text (with abstracts), BibTeX, RIS (EndNote), ReDIF

Working papers

  1. Pereira, Pedro L. Valls, 2009. "Comparação de carteiras otimizadas segundo o critério média-variância formadas através de estimativas robustas de risco e retorno," Textos para discussão 180, Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil). [Downloadable!]

  2. Boainain, Pedro G. & Valls Pereira , Pedro L., 2009. "“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 tec    ," MPRA Paper 15653, University Library of Munich, Germany. [Downloadable!]
    Other versions:

  3. Marçal , Emerson F. & Valls Pereira , Pedro L. & Abbara, Omar, 2009. "Testing the long-run implications of the expectation hypothesis using cointegration techniques with structural change," MPRA Paper 15624, University Library of Munich, Germany. [Downloadable!]
    Other versions:

  4. Pereira, Pedro L. Valls, 2009. "Previsão de retornos intradiários através de regressões usando funções-núcleo," Textos para discussão 178, Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil). [Downloadable!]

  5. Pereira, Pedro L. Valls, 2009. "Evaluation of contagion or interdependence in the financial crises of asia and latin america, considering the Macroeconomic fundamentals," Textos para discussão 177, Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil). [Downloadable!]

  6. Pereira, Pedro L. Valls, 2009. "Cópulas - uma alternativa para a estimação de modelos de risco multivariados," Textos para discussão 179, Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil). [Downloadable!]

  7. Valls Pereira, Pedro L. & Chicaroli, Rodrigo, 2009. "Predictability of Equity Models," MPRA Paper 10955, University Library of Munich, Germany. [Downloadable!]
    Other versions:

  8. Baptista , Ricardo F. de F. & Valls Pereira , Pedro L., 2008. "Análise do Desempenho de Regras de Análise Técnica Aplicada ao Mercado Intradiário do Contrato Futuro do Índice Bovespa
    [Analysis of the performance of Technical Analysis startegies applied to    ," MPRA Paper 10351, University Library of Munich, Germany. [Downloadable!]
    Other versions:

  9. Marçal, Emerson F. & Valls Pereira , Pedro L., 2008. "Testing the Hypothesis of Contagion using Multivariate Volatility Models," MPRA Paper 15623, University Library of Munich, Germany. [Downloadable!]
    Other versions:

  10. Marçal, Emerson F. & Valls Pereira, Pedro L., 2008. "Testando A Hipótese De Contágio A Partir De Modelos Multivariados De Volatilidade
    [Testing the contagion hypotheses using multivariate volatility models]    ," MPRA Paper 10356, University Library of Munich, Germany. [Downloadable!]

  11. Laurini, Márcio P. & Valls Pereira, Pedro L., 2007. "Conditional Stochastic Kernel Estimation by Nonparametric Methods," Ibmec Working Papers wpe_88, Ibmec Working Paper, Ibmec São Paulo. [Downloadable!]

  12. Pedro L. Valls Pereira, 2004. "How Persistent is Volatility? An Answer with Stochastic Volatility Models with Markov Regime Switching State Equations," Finance Lab Working Papers flwp_59, Finance Lab, Ibmec São Paulo. [Downloadable!]
    Other versions:

  13. Laurini, M. & Andrade, E & Pedro L. Valls Pereira, 2004. "Income Convergence Clubs for Brazilian Municipalities: A Non-Parametric Analysis (english version of WPE-6/2003)," Ibmec Working Papers wpe_41, Ibmec Working Paper, Ibmec São Paulo. [Downloadable!]

  14. Laurini, Márcio & Andrade, Eduardo & Pedro L. Valls Pereira, 2003. "Clubes de Convergência de Renda para os Municípios Brasileiros: Uma Análise Não-Paramétrica," Ibmec Working Papers wpe_39, Ibmec Working Paper, Ibmec São Paulo. [Downloadable!]

  15. Andrade, Eduardo. & Laurini, Márcio & Pedro L. Valls Pereira & Madalozzo, Regina., 2003. "Convergence Clubs Among Brazilian Municipalities," Ibmec Working Papers wpe_34, Ibmec Working Paper, Ibmec São Paulo. [Downloadable!]
    Published as:

  16. Hwang. S. & Pedro L. Valls Pereira, 2003. "Small Sample Properties of GARCH Estimates and Persistence," Finance Lab Working Papers flwp_48, Finance Lab, Ibmec São Paulo. [Downloadable!]
    Published as:

  17. Andrade, Eduardo & Laurini, Márcio & Madalozzo, Regina & Pedro L. Valls Pereira, 2002. "Testing Convergence Across Municipalities in Brazil Using Quantile Regression," Ibmec Working Papers wpe_25, Ibmec Working Paper, Ibmec São Paulo. [Downloadable!]

  18. Nuno Almeida & Pedro Valls Pereira, 2002. "Switching Regime Models: applications to trading rules," Computing in Economics and Finance 2002 175, Society for Computational Economics.

  19. Mollica, M & Pedro L. Valls Pereira, 2001. "Evaluating Value-at-Risk Models: a comparison between traditional models and conditional variance models," Finance Lab Working Papers flwp_35, Finance Lab, Ibmec São Paulo. [Downloadable!]

  20. Viera Neto, C.A. & Pedro L. Valls Pereira, 2000. "Modeling the Term Structure of Interest Rate," Finance Lab Working Papers flwp_26, Finance Lab, Ibmec São Paulo. [Downloadable!]

  21. Marçal, E.F. & Pedro L. Valls Pereira & Canuto, O., 2000. "Purchasing Parity Power: the empirical evidence for Brazil," Ibmec Working Papers wpe_1, Ibmec Working Paper, Ibmec São Paulo. [Downloadable!]

  22. Vieira Neto, C.A. & Pedro L. Valls Pereira, 2000. "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 flwp_27, Finance Lab, Ibmec São Paulo. [Downloadable!]

  23. Viera Neto, C.A. & Pedro L. Valls Pereira, 2000. "Options on the One Day Interfinancial Deposits Index: Derivation of a Formula for the Calculation of the Arbitrage Free Price," Finance Lab Working Papers flwp_22, Finance Lab, Ibmec São Paulo. [Downloadable!]

  24. Rabi Jr, L. & Pedro L. Valls Pereira, 2000. "Markovian Switch Models: applications to financial time series," Finance Lab Working Papers flwp_25, Finance Lab, Ibmec São Paulo. [Downloadable!]

  25. Almeida, N. & Pedro L. Valls Pereira, 2000. "Switching Regimes Models for financial time series: an empirical study for trading rules," Finance Lab Working Papers flwp_21, Finance Lab, Ibmec São Paulo. [Downloadable!]

  26. Almeida, N. & Pedro L. Valls Pereira, 2000. "SWGARCH Models an application to IBOVESPA," Finance Lab Working Papers flwp_20, Finance Lab, Ibmec São Paulo. [Downloadable!]

  27. Schor, A. & Bonomo, M. & Pedro L. Valls Pereira, 2000. "Arbitrage Pricing Theory (APT) and Macroeconomics Variables: an empirical study for the Brazilian stock market," Finance Lab Working Papers flwp_19, Finance Lab, Ibmec São Paulo. [Downloadable!]

  28. Viera Neto, C. A. & Pedro L. Valls Pereira, 1999. "Closed Form Formula for the Arbitrage Free Price of an Option for the One Day Interfinancial Deposits Index," Finance Lab Working Papers flwp_8, Finance Lab, Ibmec São Paulo. [Downloadable!]

  29. Pedro L. Valls Pereira & Hotta, L.K. & Souza, L.A.R., 1999. "Alternative Models to extract asset volatility: a comparative study," Finance Lab Working Papers flwp_14, Finance Lab, Ibmec São Paulo. [Downloadable!]

  30. Almeida, N. & Pedro L. Valls Pereira, 1999. "Switching Regime in Volatility: the SWGARCH Models," Finance Lab Working Papers flwp_9, Finance Lab, Ibmec São Paulo. [Downloadable!]

  31. Da Luz Correa, M. M. R. & Pedro L. Valls Pereira, 1998. "Nonlinear Models in Finance: previsibility of financial markets and applications to risk management," Finance Lab Working Papers flwp_5, Finance Lab, Ibmec São Paulo. [Downloadable!]

  32. Schor, A. & Bonomo, M. & Pedro L. Valls Pereira, 1998. "Arbitrage Pricing Theory (APT) and Macroeconomics Variables: a comparative study for the brazilian stock market," Finance Lab Working Papers flwp_1, Finance Lab, Ibmec São Paulo. [Downloadable!]

  33. Adriana Schor & Marco Bonomo & Pedro L. Valls Pereira, 1998. "Arbitrage Pricing Theory (APT) e variáveis macroeconômicas. Um estudo empírico sobre o mercado acionário brasileiro," Textos para discussão 391, Department of Economics PUC-Rio (Brazil). [Downloadable!]
    Other versions:

  34. Sallum, Elvia Mureb & Barbosa, Fernando de Holanda & Pereira, Pedro L. Valls, 1993. "A Substituição de Moeda no Brasil: A Moeda Indexada," Economics Working Papers (Ensaios Economicos da EPGE) 224, Graduate School of Economics, Getulio Vargas Foundation (Brazil). [Downloadable!]

  35. Barbosa, Fernando de Holanda & Pereira, Pedro L. Valls, 1987. "Insucesso do Plano Cruzado: A Evidência Empírica da Inflação 100% Inércia Para o Brasil," Economics Working Papers (Ensaios Economicos da EPGE) 98, Graduate School of Economics, Getulio Vargas Foundation (Brazil).

Articles

  1. Soosung Hwang & Steve E. Satchell & Pedro L. Valls Pereira, 2007. "How Persistent is Stock Return Volatility? An Answer with Markov Regime Switching Stochastic Volatility Models," Journal of Business Finance & Accounting, Blackwell Publishing, vol. 34(5-6), pages 1002-1024. [Downloadable!] (restricted)

  2. Soosung Hwang & Pedro Valls Pereira, 2006. "Small sample properties of GARCH estimates and persistence," European Journal of Finance, Taylor and Francis Journals, vol. 12(6-7), pages 473-494, October. [Downloadable!] (restricted)
    Other versions:

  3. Márcio Laurini & Eduardo Andrade & Pedro L. Valls Pereira, 2005. "Income convergence clubs for Brazilian Municipalities: a non-parametric analysis," Applied Economics, Taylor and Francis Journals, vol. 37(18), pages 2099-2118, October. [Downloadable!] (restricted)
    Other versions:

  4. Andrade, Eduardo & Laurini, Marcio & Madalozzo, Regina & Valls Pereira, Pedro L., 2004. "Convergence clubs among Brazilian municipalities," Economics Letters, Elsevier, vol. 83(2), pages 179-184, May. [Downloadable!] (restricted)
    Other versions:

  5. Luiz Hotta & Pedro Pereira & Rissa Ota, 2004. "Effect of outliers on forecasting temporally aggregated flow variables," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer, vol. 13(2), pages 371-402, December. [Downloadable!] (restricted)

  6. Emerson Fernandes Marçal & Pedro Luiz Valls Pereira & Otaviano Canuto dos Santos Filho, 2003. "Paridade do Poder de Compra: Testando Dados Brasileiros," Revista Brasileira de Economia, Graduate School of Economics, Getulio Vargas Foundation (Brazil), vol. 57(1), April. [Downloadable!]

  7. Márcio Holland & Pedro L. Valls Pereira, 1999. "Taxa de Câmbio Real e Paridade de Poder de Compra no Brasil," Revista Brasileira de Economia, Graduate School of Economics, Getulio Vargas Foundation (Brazil), vol. 53(3), April.

  8. Maurício Zevallos Herencia & Luiz K. Hotta & Pedro L. Valls Pereira, 1998. "Filtragem e Previsão com Modelos de Voltalidade: Voltalidade Estocastica versus GARCH," Revista Brasileira de Economia, Graduate School of Economics, Getulio Vargas Foundation (Brazil), vol. 52(2), April.

  9. Valls Pereira, Pedro L., 1987. "Exact likelihood function for a regression model with MA(1) errors," Economics Letters, Elsevier, vol. 24(2), pages 145-149. [Downloadable!] (restricted)

  10. Pereira, Pedro L. Valls, 1987. "Application of Kalman Filter," Econometric Theory, Cambridge University Press, vol. 3(02), pages 306-309, April. [Downloadable!]

NEP Fields

19 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-CMP: Computational Economics (2) 2009-06-17 2009-07-03
  2. NEP-ECM: Econometrics (3) 2003-01-12 2004-02-01 2007-05-26
  3. NEP-ETS: Econometric Time Series (5) 2003-01-12 2004-02-01 2004-08-16 2008-09-13 2009-07-03 Author is listed
  4. NEP-FIN: Finance (1) 2004-08-16
  5. NEP-FMK: Financial Markets (1) 2004-02-01
  6. NEP-GEO: Economic Geography (1) 2003-02-18
  7. NEP-HIS: Business, Economic & Financial History (1) 2009-07-03
  8. NEP-MAC: Macroeconomics (1) 2009-07-03
  9. NEP-MST: Market Microstructure (1) 2008-09-13
  10. NEP-RMG: Risk Management (3) 2002-10-23 2003-01-12 2004-02-01
  11. NEP-SEA: South East Asia (1) 2009-07-03
  12. NEP-URE: Urban & Real Estate Economics (2) 2003-02-18 2004-02-01
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This page was last updated on 2009-11-29.

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