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Pedro L. Valls Pereira

Personal Details

First Name:Pedro
Middle Name:L.
Last Name:Valls Pereira
Suffix:
RePEc Short-ID:pva43
https://sites.google.com/site/pedrovallspereira
Sao Paulo School of Economics - FGV Rua Itapeva 474 - room 1006 01332-000, São Paulo, S.P. BRAZIL
+55+11+37993244
Terminal Degree:1983 Economics Department; London School of Economics (LSE) (from RePEc Genealogy)

Affiliation

Escola de Economia de São Paulo (EESP)
Fundação Getulio Vargas (FGV)

São Paulo, Brazil
http://economics-sp.fgv.br/

: 55 (011) 3799-3350
55 (011) 3799-3357
Rua Itapeva, 474, 13o andar, CEP 01332-000, São Paulo - SP
RePEc:edi:eegvfbr (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Oliveira, André Barbosa & Pereira, Pedro L. Valls, 2018. "Uncertainty times for portfolio selection at financial market," Textos para discussão 473, FGV/EESP - Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil).
  2. Orefice, Marcelo de Castro & Pereira, Pedro L. Valls, 2018. "Portfolio pumping no mercado acionário brasileiro," Textos para discussão 475, FGV/EESP - Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil).
  3. Oliveira, André Barbosa & Pereira, Pedro L. Valls, 2018. "Mudança de regime e efeito ARCH em volatilidade: um estudo dos choques das cotações do Petróleo," Textos para discussão 472, FGV/EESP - Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil).
  4. Trucíos Maza, Carlos César & Hotta, Luiz Koodi & Pereira, Pedro L. Valls, 2018. "On the robustness of the principal volatility components," Textos para discussão 474, FGV/EESP - Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil).
  5. Oliveira, André Barbosa & Pereira, Pedro L. Valls, 2018. "Asset allocation with Markovian regime switching: efficient frontier and tangent portfolio with regime switching," Textos para discussão 471, FGV/EESP - Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil).
  6. Azevedo, Luis Fernando Pereira & Pereira, Pedro L. Valls, 2018. "Effects of official and unofficial central bank communication on the Brazilian interest rate curve," Textos para discussão 470, FGV/EESP - Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil).
  7. Tófoli, Paula Virgínia & Ziegelmann, Flávio Augusto & Silva Filho, Osvaldo Candido & Pereira, Pedro L. Valls, 2016. "Dynamic D-Vine copula model with applications to Value-at-Risk (VaR)," Textos para discussão 424, FGV/EESP - Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil).
  8. Kohn, Maximilian-Benedikt Herwarth Detlef & Pereira, Pedro L. Valls, 2016. "Speculative bubbles and contagion: analysis of volatility's clusters during the DotCom bubble based on the dynamic conditional correlation model," Textos para discussão 418, FGV/EESP - Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil).
  9. Collussi, Pedro BarguilR & Pereira, Pedro L. Valls, 2015. "The Brazilian foreign exchange market through the microstructure perspective," Textos para discussão 396, FGV/EESP - Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil).
  10. Rocha, Jordano Vieira & Pereira, Pedro L. Valls, 2015. "Forecast comparison with nonlinear methods for Brazilian industrial production," Textos para discussão 397, FGV/EESP - Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil).
  11. Cunha, Ronan & Pereira, Pedro L. Valls, 2015. "Automatic model selection for forecasting Brazilian stock returns," Textos para discussão 398, FGV/EESP - Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil).
  12. A. C. Harvey & Pedro L. Valls Pereira, 2015. "Trend, Seasonality and Seasonal Adjustment," Discussion Papers 0019, Instituto de Pesquisa Econômica Aplicada - IPEA.
  13. Fonseca, Marcelo Gonçalves da Silva & Pereira, Pedro L. Valls, 2014. "Credit shocks and monetary policy in Brazil: a structural FAVAR approach," Textos para discussão 358, FGV/EESP - Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil).
  14. Collussi, Pedro Barguil & Pereira, Pedro L. Valls, 2014. "O mercado de câmbio brasileiro pela ótica da microestutura," Textos para discussão 365, FGV/EESP - Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil).
  15. Vieira, Heleno Piazentini & Pereira, Pedro L. Valls, 2014. "Um estudo sobre os ciclos de negócios brasileiro (1900-2012)," Textos para discussão 357, FGV/EESP - Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil).
  16. Rotta, Pedro Nielsen & Pereira, Pedro L. Valls, 2013. "Analysis of contagion from the constant conditional correlation model with Markov regime switching," Textos para discussão 340, FGV/EESP - Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil).
  17. Wink Junior, Marcos Vinício & Pereira, Pedro L. Valls, 2012. "Realized volatility: evidence from Brazil," Textos para discussão 320, FGV/EESP - Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil).
  18. Oliveira, André Barbosa & Pereira, Pedro L. Valls, 2012. "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 SWAR," Textos para discussão 312, FGV/EESP - Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil).
  19. Azevedo, Luis Fernando Pereira & Pereira, Pedro L. Valls, 2012. "Testando o poder preditivo do VIX: uma aplicação do modelo de erro multiplicativo," Textos para discussão 315, FGV/EESP - Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil).
  20. Pereira, Pedro L. Valls & Sulzbach, Vanessa Neumann & Mergulhão, João de Mendonça, 2012. "O conteúdo informacional das transações no mercado futuro de câmbio: uma investigação do caso brasileiro," Textos para discussão 316, FGV/EESP - Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil).
  21. Pereira, Pedro L. Valls & Arruda, Bruno Pontes de, 2012. "Análise da estrutura de dependência da volatilidade entre setores durante a crise do subprime," Textos para discussão 311, FGV/EESP - Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil).
  22. Marçal, Emerson Fernandes & Pereira, Pedro L. Valls, 2012. "Evaluating the existence of structural change in the brazilian term structure of interest: evidence based on cointegration models with structural break," Textos para discussão 314, FGV/EESP - Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil).
  23. Wink Junior, Marcos Vinício & Pereira, Pedro L. Valls, 2012. "Modelagem e previsão de volatilidade realizada: evidências para o Brasil," Textos para discussão 313, FGV/EESP - Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil).
  24. Denísio Augusto Liberato Delfino & Márcio Holland & Pedro Valls, 2011. "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] 162, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
  25. Santos, Ricardo Pires de Souza & Pereira, Pedro L. Valls, 2011. "Modelando contágio financeiro através de cópulas," Textos para discussão 292, FGV/EESP - Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil).
  26. Cappa, Leonardo & Pereira, Pedro L. Valls, 2010. "Modelando a volatilidade dos retornos de Petrobrás usando dados de alta frequência," Textos para discussão 258, FGV/EESP - Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil).
  27. Serafini, Daniel Guedine & Pereira, Pedro L. Valls, 2010. "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 260, FGV/EESP - Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil).
  28. Ribeiro, Priscila Fernandes & Pereira, Pedro L. Valls, 2010. "Economic cycles and term structure: application to Brazil," Textos para discussão 259, FGV/EESP - Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil).
  29. Pereira, Pedro L. Valls & Marçal, Emerson Fernandes & Martin, Diógenes Manoel Leiva & Nakamura, Wilson Toshiro, 2009. "Evaluation of contagion or interdependence in the financial crises of Asia and Latin America, considering the macroeconomic fundamentals," Textos para discussão 177, FGV/EESP - Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil).
  30. Valls Pereira, Pedro L. & Chicaroli, Rodrigo, 2009. "Predictability of Equity Models," MPRA Paper 10955, University Library of Munich, Germany.
  31. Pereira, Pedro L. Valls, 2009. "Cópulas: uma alternativa para a estimação de modelos de risco multivariados," Textos para discussão 179, FGV/EESP - Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil).
  32. Pereira, Pedro L. Valls, 2009. "Previsão de retornos intradiários através de regressões usando funções-núcleo," Textos para discussão 178, FGV/EESP - Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil).
  33. 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, FGV/EESP - Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil).
  34. 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 technical anal
    ," MPRA Paper 15653, University Library of Munich, Germany.
  35. 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.
  36. 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.
  37. 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 Intr
    ," MPRA Paper 10351, University Library of Munich, Germany.
  38. 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.
  39. Laurini, Márcio P. & Valls Pereira, Pedro L., 2007. "Conditional Stochastic Kernel Estimation by Nonparametric Methods," Insper Working Papers wpe_90, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
  40. 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, Insper Instituto de Ensino e Pesquisa.
  41. 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)," Insper Working Papers wpe_43, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
  42. Laurini, Márcio & Andrade, Eduardo & Pedro L. Valls Pereira, 2003. "Clubes de Convergência de Renda para os Municípios Brasileiros: Uma Análise Não-Paramétrica," Insper Working Papers wpe_41, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
  43. Galvão, Ana Beatriz C., 2003. "Structural Break Threshold VARs for Predicting US Recessions using the Spread," Insper Working Papers wpe_39, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
  44. Hwang. S. & Pedro L. Valls Pereira, 2003. "Small Sample Properties of GARCH Estimates and Persistence," Finance Lab Working Papers flwp_48, Finance Lab, Insper Instituto de Ensino e Pesquisa.
  45. Andrade, Eduardo. & Laurini, Márcio & Pedro L. Valls Pereira & Madalozzo, Regina., 2003. "Convergence Clubs Among Brazilian Municipalities," Insper Working Papers wpe_36, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
  46. Nuno Almeida & Pedro Valls Pereira, 2002. "Switching Regime Models: applications to trading rules," Computing in Economics and Finance 2002 175, Society for Computational Economics.
  47. Andrade, Eduardo & Laurini, Márcio & Madalozzo, Regina & Pedro L. Valls Pereira, 2002. "Testing Convergence Across Municipalities in Brazil Using Quantile Regression," Insper Working Papers wpe_25, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
  48. 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, Insper Instituto de Ensino e Pesquisa.
  49. Almeida, N. & Pedro L. Valls Pereira, 2000. "SWGARCH Models an application to IBOVESPA," Finance Lab Working Papers flwp_20, Finance Lab, Insper Instituto de Ensino e Pesquisa.
  50. Rabi Jr, L. & Pedro L. Valls Pereira, 2000. "Markovian Switch Models: applications to financial time series," Finance Lab Working Papers flwp_25, Finance Lab, Insper Instituto de Ensino e Pesquisa.
  51. 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, Insper Instituto de Ensino e Pesquisa.
  52. 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, Insper Instituto de Ensino e Pesquisa.
  53. Viera Neto, C.A. & Pedro L. Valls Pereira, 2000. "Modeling the Term Structure of Interest Rate," Finance Lab Working Papers flwp_26, Finance Lab, Insper Instituto de Ensino e Pesquisa.
  54. 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, Insper Instituto de Ensino e Pesquisa.
  55. Marçal, E.F. & Pedro L. Valls Pereira & Canuto, O., 2000. "Purchasing Parity Power: the empirical evidence for Brazil," Insper Working Papers wpe_1, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
  56. 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, Insper Instituto de Ensino e Pesquisa.
  57. 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, Insper Instituto de Ensino e Pesquisa.
  58. 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, Insper Instituto de Ensino e Pesquisa.
  59. Almeida, N. & Pedro L. Valls Pereira, 1999. "Switching Regime in Volatility: the SWGARCH Models," Finance Lab Working Papers flwp_9, Finance Lab, Insper Instituto de Ensino e Pesquisa.
  60. 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).
  61. 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, Insper Instituto de Ensino e Pesquisa.
  62. 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, Insper Instituto de Ensino e Pesquisa.
  63. Sallum, Elvia Mureb & Barbosa, Fernando de Holanda & Pereira, Pedro L. Valls, 1993. "A substituição de moeda no Brasil: a moeda indexada," FGV/EPGE Economics Working Papers (Ensaios Economicos da EPGE) 224, FGV/EPGE - Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
  64. Barbosa, Fernando de Holanda & Pereira, Pedro L. Valls, 1987. "Insucesso do plano cruzado : a evidência empírica da inflação 100% inércia para o Brasil," FGV/EPGE Economics Working Papers (Ensaios Economicos da EPGE) 98, FGV/EPGE - Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).

Articles

  1. Oliveira, André Barbosa & Valls Pereira, Pedro Luiz, 2018. "Asset Allocation with Markovian Regime Switching: Efficient Frontier and Tangent Portfolio with Regime Switching," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 38(1), May.
  2. Vanessa Neumann Sulzbach & João Mergulhão & Pedro L. Valls Pereira, 2016. "The Informational Content of Trades on Foreign Exchange Futures: an Application to the Brazilian Market," Brazilian Review of Finance, Brazilian Society of Finance, vol. 14(1), pages 7-43.
  3. Pedro Nielsen Rotta & Pedro L. Valls Pereira, 2016. "Analysis of contagion from the dynamic conditional correlation model with Markov Regime switching," Applied Economics, Taylor & Francis Journals, vol. 48(25), pages 2367-2382, May.
  4. Luis Fernando Pereira Azevedo & Pedro L. Valls Pereira, 2015. "Testing the predict power of VIX: an application of multiplicative error model," Brazilian Review of Finance, Brazilian Society of Finance, vol. 13(4), pages 571-630.
  5. Rodrigo Chicaroli & Pedro L. Valls Pereira, 2015. "Predictability of Equity Models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 34(6), pages 427-440, September.
  6. Valls Pereira, Pedro L. & Vieira, Heleno Piazentini, 2013. "A Study of the Brazilian business cycles (1900 – 2012)," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 33(2), November.
  7. Bruno P. Arruda & Pedro L. Valls Pereira, 2013. "Analysis of the volatility's dependency structure during the subprime crisis," Applied Economics, Taylor & Francis Journals, vol. 45(36), pages 5031-5045, December.
  8. Valls Pereira, Pedro L. & da Silva Fonseca, Marcelo Gonçalves, 2012. "Credit Shocks and Monetary Policy in Brazil: A Structural Favar Approach," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 32(2), April.
  9. Wink Junior, Marcos Vinício & Pereira, Pedro Luiz Valls, 2011. "Modeling and Forecasting of Realized Volatility: Evidence from Brazil," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 31(2), December.
  10. Pedro Luiz Valls Pereira & Ricardo Pires de Souza Santos, 2011. "Modeling Financial Contagion using Copula," Brazilian Review of Finance, Brazilian Society of Finance, vol. 9(3), pages 335-363.
  11. Emerson Fernandes Marcal & Pedro Valls Pereira & Diogenes Manoel Leiva Martin & Wilson Toshiro Nakamura, 2011. "Evaluation of contagion or interdependence in the financial crises of Asia and Latin America, considering the macroeconomic fundamentals," Applied Economics, Taylor & Francis Journals, vol. 43(19), pages 2365-2379.
  12. Pedro Gabriel Boainain & Pedro L. Valls Pereira, 2009. "Head and Shoulders: Testing the Profitability of this Chart Pattern of Technical Analysis in the Brazilian Stock Market," Brazilian Review of Finance, Brazilian Society of Finance, vol. 7(3), pages 265-303.
  13. Poletti Laurini, Márcio & Valls Pereira, Pedro L., 2009. "Conditional stochastic kernel estimation by nonparametric methods," Economics Letters, Elsevier, vol. 105(3), pages 234-238, December.
  14. Marçal, Emerson Fernandes & Pereira, Pedro L. Valls, 2008. "Testing the Hypothesis of Contagion Using Multivariate Volatility Models," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 28(2), November.
  15. Ricardo Fuscaldi de Figueiredo Baptista & Pedro L. Valls Pereira, 2008. "Analysis of performance of technical trading rules applied to the market of intraday Ibovespa index futures contracts," Brazilian Review of Finance, Brazilian Society of Finance, vol. 6(2), pages 205-234.
  16. 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, Wiley Blackwell, vol. 34(5-6), pages 1002-1024.
  17. Soosung Hwang & Pedro L. Valls Pereira, 2006. "Small sample properties of GARCH estimates and persistence," The European Journal of Finance, Taylor & Francis Journals, vol. 12(6-7), pages 473-494.
  18. Marcio Laurini & Eduardo Andrade & Pedro L. Valls Pereira, 2005. "Income convergence clubs for Brazilian Municipalities: a non-parametric analysis," Applied Economics, Taylor & Francis Journals, vol. 37(18), pages 2099-2118.
  19. Cícero Augusto Vieira Neto & Pedro L. Valls Pereira, 2005. "Modeling the Interest Rate Term Structure: Derivatives Contracts Dynamics and Evaluation," Brazilian Review of Finance, Brazilian Society of Finance, vol. 3(1), pages 19-54.
  20. 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.
  21. 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;Sociedad de Estadística e Investigación Operativa, vol. 13(2), pages 371-402, December.
  22. Marçal, Emerson Fernandes & Pereira, Pedro Luiz Valls & Filho, Otaviano Canuto dos Santos, 2003. "Paridade do Poder de Compra: Testando Dados Brasileiros," Revista Brasileira de Economia - RBE, FGV/EPGE - Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil), vol. 57(1), January.
  23. Neto, Cícero Augusto Vieira & Pereira, Pedro L. Valls, 2001. "Review of major results of Martingale theory applied to the valuation of contingent claims," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 21(2), November.
  24. Pereira, Pedro L. Valls & Hotta, Luiz K. & Souza, Luiz Alvares R. de & Almeida, Nuno Miguel C. G. de, 1999. "Alternative Models To Extract Asset Volatility: A Comparative Study," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 19(1), May.
  25. Pereira, Pedro L. Valls & Holland, Márcio, 1999. "Taxa de Câmbio Real e Paridade de Poder de Compra no Brasil," Revista Brasileira de Economia - RBE, FGV/EPGE - Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil), vol. 53(3), July.
  26. Herencia, Maurício Zevallos & Hotta, Luiz K. & Pereira, Pedro L. Valls, 1998. "Filtragem e Previsão com Modelos de Voltalidade: Voltalidade Estocastica versus GARCH," Revista Brasileira de Economia - RBE, FGV/EPGE - Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil), vol. 52(2), April.
  27. Hotta, Luiz K. & Morettin, Pedro A. & Pereira, Pedro L. Valls, 1992. "The Effect of Overlapping Aggregation on Time Series Models: An Application to the Unemployment Rate in Brazil," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 12(2), November.
  28. Pereira, Pedro L. Valls, 1991. "Co-Integração e suas Representações: Uma Resenha," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 11(2), November.
  29. 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.
  30. Pereira, Pedro L. Valls, 1987. "Missing observations in stochastic difference equation with arma errors," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 7(1), April.
  31. Pereira, Pedro L. Valls, 1987. "Application of Kalman Filter," Econometric Theory, Cambridge University Press, vol. 3(02), pages 306-309, April.
  32. Pereira, Pedro Luiz Valls, 1986. "Estimação do hiato do produto via componentes não observados," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 6(2), November.
  33. Harvey, A. C. & Pereira, Pedro Luiz Valls, 1985. "The estimation of dynamic models with missing observations," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 5(2), November.
  34. Pereira, Pedro Luiz Valls, 1984. "Variáveis "dummies" em regressão: uma consideração metodológica," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 4(2), November.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Wink Junior, Marcos Vinício & Pereira, Pedro L. Valls, 2012. "Realized volatility: evidence from Brazil," Textos para discussão 320, FGV/EESP - Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil).

    Cited by:

    1. Ziegelmann, Flávio Augusto & Borges, Bruna & Caldeira, João F., 2015. "Selection of Minimum Variance Portfolio Using Intraday Data: An Empirical Comparison Among Different Realized Measures for BM&FBovespa Data," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 35(1), October.

  2. Wink Junior, Marcos Vinício & Pereira, Pedro L. Valls, 2012. "Modelagem e previsão de volatilidade realizada: evidências para o Brasil," Textos para discussão 313, FGV/EESP - Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil).

    Cited by:

    1. Márcio Gomes Pinto Garcia & Marcelo Cunha Medeiros & Francisco Eduardo de Luna e Almeida Santos, 2014. "Economic gains of realized volatility in the Brazilian stock market," Brazilian Review of Finance, Brazilian Society of Finance, vol. 12(3), pages 319-349.

  3. Santos, Ricardo Pires de Souza & Pereira, Pedro L. Valls, 2011. "Modelando contágio financeiro através de cópulas," Textos para discussão 292, FGV/EESP - Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil).

    Cited by:

    1. Rotta, Pedro Nielsen & Pereira, Pedro L. Valls, 2013. "Analysis of contagion from the constant conditional correlation model with Markov regime switching," Textos para discussão 340, FGV/EESP - Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil).

  4. Ribeiro, Priscila Fernandes & Pereira, Pedro L. Valls, 2010. "Economic cycles and term structure: application to Brazil," Textos para discussão 259, FGV/EESP - Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil).

    Cited by:

    1. Bilgili, Faik, 2012. "Linear and nonlinear TAR panel unit root analyses for solid biomass energy supply of European countries," Renewable and Sustainable Energy Reviews, Elsevier, vol. 16(9), pages 6775-6781.
    2. Bilgili, Faik & Tülüce, Nadide Sevil Halıcı & Doğan, İbrahim, 2012. "The determinants of FDI in Turkey: A Markov Regime-Switching approach," Economic Modelling, Elsevier, vol. 29(4), pages 1161-1169.
    3. Rodrigo Cabral & Richard Munclinger & Luiz Alves & Marco Rodriguez Waldo, 2011. "On Brazil’s Term Structure; Stylized Facts and Analysis of Macroeconomic Interactions," IMF Working Papers 11/113, International Monetary Fund.
    4. Marçal, Emerson Fernandes & Pereira, Pedro L. Valls, 2012. "Evaluating the existence of structural change in the brazilian term structure of interest: evidence based on cointegration models with structural break," Textos para discussão 314, FGV/EESP - Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil).

  5. Pereira, Pedro L. Valls & Marçal, Emerson Fernandes & Martin, Diógenes Manoel Leiva & Nakamura, Wilson Toshiro, 2009. "Evaluation of contagion or interdependence in the financial crises of Asia and Latin America, considering the macroeconomic fundamentals," Textos para discussão 177, FGV/EESP - Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil).

    Cited by:

    1. Nistor, Costel & Dumitriu, Ramona & Stefanescu, Razvan, 2012. "Impact of the global crisis on the linkages between CAC 40 and indexes from CEE countries," MPRA Paper 42511, University Library of Munich, Germany, revised 18 Sep 2012.
    2. A. Maghyereh & B. Awartani, 2012. "Return and volatility spillovers between Dubai financial market and Abu Dhabi Stock Exchange in the UAE," Applied Financial Economics, Taylor & Francis Journals, vol. 22(10), pages 837-848, May.
    3. Boubaker, Heni & Raza, Syed Ali, 2016. "On the dynamic dependence and asymmetric co-movement between the US and Central and Eastern European transition markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 459(C), pages 9-23.
    4. Rotta, Pedro Nielsen & Pereira, Pedro L. Valls, 2013. "Analysis of contagion from the constant conditional correlation model with Markov regime switching," Textos para discussão 340, FGV/EESP - Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil).
    5. Ribeiro, André L.P. & Hotta, Luiz K., 2013. "An analysis of contagion among Asian countries using the canonical model of contagion," International Review of Financial Analysis, Elsevier, vol. 29(C), pages 62-69.
    6. Ahmad, Wasim & Sehgal, Sanjay & Bhanumurthy, N.R., 2013. "Eurozone crisis and BRIICKS stock markets: Contagion or market interdependence?," Economic Modelling, Elsevier, vol. 33(C), pages 209-225.
    7. Wasim Ahmad & N.R. Bhanumurthy & Sanjay Sehgal, 2014. "The Eurozone crisis and its contagion effects on the European stock markets," Studies in Economics and Finance, Emerald Group Publishing, vol. 31(3), pages 325-352, July.
    8. Woon Sau Leung & Nicholas Taylor, 2013. "Testing for contagion: the impact of US structured markets on international financial markets," Chapters,in: Handbook of Research Methods and Applications in Empirical Finance, chapter 11, pages 256-284 Edward Elgar Publishing.

  6. 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 technical anal
    ," MPRA Paper 15653, University Library of Munich, Germany.

    Cited by:

    1. Pereira, Pedro L. Valls, 2009. "Predictability of equity models," Textos para discussão 176, FGV/EESP - Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil).

  7. 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.

    Cited by:

    1. Pereira, Pedro L. Valls & Marçal, Emerson Fernandes & Martin, Diógenes Manoel Leiva & Nakamura, Wilson Toshiro, 2009. "Evaluation of contagion or interdependence in the financial crises of Asia and Latin America, considering the macroeconomic fundamentals," Textos para discussão 177, FGV/EESP - Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil).

  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 Intr
    ," MPRA Paper 10351, University Library of Munich, Germany.

    Cited by:

    1. Pereira, Pedro L. Valls, 2009. "Predictability of equity models," Textos para discussão 176, FGV/EESP - Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil).
    2. Pereira, Pedro L. Valls, 2009. "Ombro-cabeça-ombro: testando a lucratividade do padrão gráfico de análise técnica no mercado de ações brasileiro," Textos para discussão 181, FGV/EESP - Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil).

  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.

    Cited by:

    1. Rafał SIEDLECKI & Daniel PAPLA, 2016. "Conditional Correlation Coefficient As A Tool For Analysis Of Contagion In Financial Markets And Real Economy Indexes Based On The Synthetic Ratio," ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH, Faculty of Economic Cybernetics, Statistics and Informatics, vol. 50(4), pages 287-299.
    2. Carvalho, João Vinícius de França & Chiann, Chang, 2013. "Redes Bayesianas: Um método para avaliação de interdependência e contágio em séries temporais multivariadas," Revista Brasileira de Economia - RBE, FGV/EPGE - Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil), vol. 67(2), June.
    3. Boubaker, Heni & Raza, Syed Ali, 2016. "On the dynamic dependence and asymmetric co-movement between the US and Central and Eastern European transition markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 459(C), pages 9-23.

  10. Laurini, Márcio P. & Valls Pereira, Pedro L., 2007. "Conditional Stochastic Kernel Estimation by Nonparametric Methods," Insper Working Papers wpe_90, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.

    Cited by:

    1. Márcio Poletti Laurini, 2017. "A spatial error model with continuous random effects and an application to growth convergence," Journal of Geographical Systems, Springer, vol. 19(4), pages 371-398, October.
    2. Halkos, George & Tzeremes, Nickolaos, 2011. "Measuring regional environmental efficiency: A directional distance function approach," MPRA Paper 32934, University Library of Munich, Germany.
    3. George Halkos & Nickolaos Tzeremes, 2012. "Measuring German regions’ environmental efficiency: a directional distance function approach," Letters in Spatial and Resource Sciences, Springer, vol. 5(1), pages 7-16, March.
    4. José Villaverde & Adolfo Maza & María Hierro, 2014. "Health care expenditure disparities in the European Union and underlying factors: a distribution dynamics approach," International Journal of Health Economics and Management, Springer, vol. 14(3), pages 251-268, September.
    5. Jesús Peiró-Palomino, 2016. "European regional convergence revisited: the role of intangible assets," The Annals of Regional Science, Springer;Western Regional Science Association, vol. 57(1), pages 165-194, July.
    6. Halkos, George & Tzeremes, Nickolaos, 2011. "Regional environmental efficiency and economic growth: NUTS2 evidence from Germany, France and the UK," MPRA Paper 33698, University Library of Munich, Germany.
    7. Jesús Peiró-Palomino, 2013. "European regional convergence revisited: The role of space and the intangible assets," Working Papers 2013/11, Economics Department, Universitat Jaume I, Castellón (Spain).

  11. 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, Insper Instituto de Ensino e Pesquisa.

    Cited by:

    1. Łukasz Kwiatkowski, 2010. "Markov Switching In-Mean Effect. Bayesian Analysis in Stochastic Volatility Framework," Central European Journal of Economic Modelling and Econometrics, CEJEME, vol. 2(1), pages 59-94, January.

  12. Laurini, Márcio & Andrade, Eduardo & Pedro L. Valls Pereira, 2003. "Clubes de Convergência de Renda para os Municípios Brasileiros: Uma Análise Não-Paramétrica," Insper Working Papers wpe_41, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.

    Cited by:

    1. Penna, Christiano Modesto & Linhares, Fabricio Carneiro, 2013. "Há controvérsia entre análises de Beta e Sigma-Convergência no Brasil?," Revista Brasileira de Economia - RBE, FGV/EPGE - Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil), vol. 67(1), April.
    2. Maria Alice Móz Christofoletti & Humberto Francisco Silva Spolador, 2011. "Income convergence among Brazilian states after the economic openness in the 1990s," ERSA conference papers ersa10p172, European Regional Science Association.
    3. João Luis Brasil Gondim & Flávio Ataliba Barreto, 2004. "O Uso Do Núcleo Estocástico Para Identificação De Clubes De Convergência Entre Estados E Municípios Brasileiros," Anais do XXXII Encontro Nacional de Economia [Proceedings of the 32nd Brazilian Economics Meeting] 053, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
    4. Da Silva Catela, Eva Yamila & Porcile, Gabriel & Gonçalves, Flávio, 2010. "Brazilian municipalities: agglomeration economies and development levels in 1997 and 2007," Revista CEPAL, Naciones Unidas Comisión Económica para América Latina y el Caribe (CEPAL), August.

  13. Galvão, Ana Beatriz C., 2003. "Structural Break Threshold VARs for Predicting US Recessions using the Spread," Insper Working Papers wpe_39, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.

    Cited by:

    1. Duarte, Agustin & Venetis, Ioannis A. & Paya, Ivan, 2005. "Predicting real growth and the probability of recession in the Euro area using the yield spread," International Journal of Forecasting, Elsevier, vol. 21(2), pages 261-277.

  14. Hwang. S. & Pedro L. Valls Pereira, 2003. "Small Sample Properties of GARCH Estimates and Persistence," Finance Lab Working Papers flwp_48, Finance Lab, Insper Instituto de Ensino e Pesquisa.

    Cited by:

    1. Geoff Willcocks, 2009. "UK Housing Market: Time Series Processes with Independent and Identically Distributed Residuals," The Journal of Real Estate Finance and Economics, Springer, vol. 39(4), pages 403-414, November.
    2. Jie Zhu, 2008. "FIEGARCH-M and and International Crises: A Cross-Country Analysis," CREATES Research Papers 2008-16, Department of Economics and Business Economics, Aarhus University.
    3. Chau, Frankie & Deesomsak, Rataporn & Wang, Jun, 2014. "Political uncertainty and stock market volatility in the Middle East and North African (MENA) countries," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 28(C), pages 1-19.
    4. Essaddam, Naceur & Karagianis, John M., 2014. "Terrorism, country attributes, and the volatility of stock returns," Research in International Business and Finance, Elsevier, vol. 31(C), pages 87-100.
    5. Peter Hans Matthews, 2004. "Paradise Lost and Found? The Econometric Contributions of Clive W.J. Granger and Robert F. Engle," Middlebury College Working Paper Series 0416, Middlebury College, Department of Economics.
    6. David E. Rapach & Jack K. Strauss, 2008. "Structural breaks and GARCH models of exchange rate volatility," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 23(1), pages 65-90.
    7. Sen, Chitrakalpa & Chakrabarti, Gagari & Sarkar, Amitava, 1981. "Asymmetric Response in Foreign Exchange Volatility under Structural Break," MPRA Paper 26817, University Library of Munich, Germany.
    8. Phantratanamongkol, Supanan & Casalin, Fabrizio & Pang, Gu & Sanderson, Joseph, 2018. "The price-volume relationship for new and remanufactured smartphones," International Journal of Production Economics, Elsevier, vol. 199(C), pages 78-94.
    9. Bialkowski, Jedrzej & Gottschalk, Katrin & Wisniewski, Tomasz Piotr, 2006. "Stock Market Volatility around National Elections," Working Paper Series 2006,2, European University Viadrina Frankfurt (Oder), The Postgraduate Research Programme Capital Markets and Finance in the Enlarged Europe.
    10. Jie Zhu, 2008. "Testing for Expected Return and Market Price of Risk in Chinese A-B Share Market: A Geometric Brownian Motion and Multivariate GARCH Model Approach," CREATES Research Papers 2008-15, Department of Economics and Business Economics, Aarhus University.
    11. Stefan Bruder, 2018. "Inference for structural impulse responses in SVAR-GARCH models," ECON - Working Papers 281, Department of Economics - University of Zurich.
    12. Benjamin R. Auer & Benjamin Mögel, 2016. "How Accurate are Modern Value-at-Risk Estimators Derived from Extreme Value Theory?," CESifo Working Paper Series 6288, CESifo Group Munich.
    13. Soosung Hwang & Steve Satchell, 2005. "GARCH model with cross-sectional volatility: GARCHX models," Applied Financial Economics, Taylor & Francis Journals, vol. 15(3), pages 203-216.
    14. Hartmann, Matthias & Herwartz, Helmut, 2012. "Causal relations between inflation and inflation uncertainty—Cross sectional evidence in favour of the Friedman–Ball hypothesis," Economics Letters, Elsevier, vol. 115(2), pages 144-147.
    15. Rodrigo Alfaro & Carmen Gloria Silva, 2008. "Measuring Equity Volatility: the case of Chilean Stock Index," Working Papers Central Bank of Chile 462, Central Bank of Chile.
    16. Bouri, Elie & Chen, Qian & Lien, Donald & Lv, Xin, 2017. "Causality between oil prices and the stock market in China: The relevance of the reformed oil product pricing mechanism," International Review of Economics & Finance, Elsevier, vol. 48(C), pages 34-48.
    17. Lee, Seohyun, 2017. "Three essays on uncertainty: real and financial effects of uncertainty shocks," MPRA Paper 83617, University Library of Munich, Germany.
    18. Benjamin Mögel & Benjamin R. Auer, 2018. "How accurate are modern Value-at-Risk estimators derived from extreme value theory?," Review of Quantitative Finance and Accounting, Springer, vol. 50(4), pages 979-1030, May.
    19. Bouri, Elie & de Boyrie, Maria E. & Pavlova, Ivelina, 2017. "Volatility transmission from commodity markets to sovereign CDS spreads in emerging and frontier countries," International Review of Financial Analysis, Elsevier, vol. 49(C), pages 155-165.
    20. Mnasri, Ayman & Nechi, Salem, 2016. "Impact of terrorist attacks on stock market volatility in emerging markets," Emerging Markets Review, Elsevier, vol. 28(C), pages 184-202.
    21. Davide De Gaetano, 2017. "Forecasting With Garch Models Under Structural Breaks: An Approach Based On Combinations Across Estimation Windows," Departmental Working Papers of Economics - University 'Roma Tre' 0219, Department of Economics - University Roma Tre.
    22. Anthony N. Rezitis & Shaikh Mostak Ahammad, 2016. "Investigating The Interdependency Of Agricultural Production Volatility Spillovers Between Bangladesh, India, And Pakistan," Review of Urban & Regional Development Studies, Wiley Blackwell, vol. 28(1), pages 32-54, March.
    23. Rodrigo A. Alfaro & Carmen Gloria Silva, 2008. "Volatilidad de Indices Accionarios: El caso del IPSA," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 45(132), pages 217-233.
    24. K. Batu Tunay, 2010. "Banking Crises and Early Warning Systems: A Model Suggestion for Turkish Banking Sector," Journal of BRSA Banking and Financial Markets, Banking Regulation and Supervision Agency, vol. 4(1), pages 9-46.
    25. Michail Karoglou & Panicos Demetriades & Siong Law, 2011. "One date, one break?," Empirical Economics, Springer, vol. 41(1), pages 7-24, August.
    26. Jie Zhu, 2009. "Pricing volatility of stock returns with volatile and persistent components," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 23(3), pages 243-269, September.
    27. Jie Zhu, 2008. "Pricing Volatility of Stock Returns with Volatile and Persistent Components," CREATES Research Papers 2008-14, Department of Economics and Business Economics, Aarhus University.
    28. Krzysztof DRACHAL, 2017. "Volatility Clustering, Leverage Effects and Risk-Return Tradeoff in the Selected Stock Markets in the CEE Countries," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(3), pages 37-53, September.
    29. Umberto Triacca, 2009. "Volatility Persistence and Predictability of Squared Returns in GARCH(1,1) Models," Central European Journal of Economic Modelling and Econometrics, CEJEME, vol. 1(3), pages 285-291, November.
    30. Sriananthakumar, Sivagowry & Narayan, Seema, 2015. "Are prolonged conflict and tension deterrents for stock market integration? The case of Sri Lanka," International Review of Economics & Finance, Elsevier, vol. 39(C), pages 504-520.
    31. Fantazzini, Dean, 2009. "The effects of misspecified marginals and copulas on computing the value at risk: A Monte Carlo study," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 2168-2188, April.

  15. Andrade, Eduardo. & Laurini, Márcio & Pedro L. Valls Pereira & Madalozzo, Regina., 2003. "Convergence Clubs Among Brazilian Municipalities," Insper Working Papers wpe_36, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.

    Cited by:

    1. Philippe De Vreyer & Gilles Spielvogel, 2005. "Spatial externalities between Brazilian municipios and their neighbours," Working Papers DT/2005/11, DIAL (Développement, Institutions et Mondialisation).
    2. Márcio Poletti Laurini, 2017. "A spatial error model with continuous random effects and an application to growth convergence," Journal of Geographical Systems, Springer, vol. 19(4), pages 371-398, October.
    3. Bird, Julia & Straub, Stephane, 2014. "The Brasilia experiment : road access and the spatial pattern of long-term local development in Brazil," Policy Research Working Paper Series 6964, The World Bank.
    4. Guilherme Mendes Resende & Alexandre Xavier Ywata de Carvalho & Patrícia Alessandra Morita Sakowski, 2013. "Evaluating Multiple Spatial Dimensions of Economic Growth in Brazil Using Spatial Panel Data Models (1970 - 2000)," Discussion Papers 1830a, Instituto de Pesquisa Econômica Aplicada - IPEA.
    5. Juessen Falko, 2005. "A distribution dynamics approach to regional GDP convergence in reunified Germany," Urban/Regional 0506008, EconWPA.
    6. Túlio Cravo & Guilherme Resende, 2013. "Economic growth in Brazil: a spatial filtering approach," The Annals of Regional Science, Springer;Western Regional Science Association, vol. 50(2), pages 555-575, April.
    7. Eckey, Hans-Friedrich & Kosfeld, Reinhold & Türck, Matthias, 2004. "Regionale Produktionsfunktionen mit Spillover-Effekten für Deutschland," Volkswirtschaftliche Diskussionsbeiträge 64, University of Kassel, Faculty of Economics and Management.
    8. Kounetas, Konstantinos Elias, 2018. "Energy consumption and CO2 emissions convergence in European Union member countries. A tonneau des Danaides?," Energy Economics, Elsevier, vol. 69(C), pages 111-127.
    9. Guilherme Mendes Resende & Alexandre Xavier Ywata Carvalho & Patrícia Alessandra Morita Sakowski & Túlio Antonio Cravo, 2016. "Evaluating multiple spatial dimensions of economic growth in Brazil using spatial panel data models," The Annals of Regional Science, Springer;Western Regional Science Association, vol. 56(1), pages 1-31, January.
    10. Falko Juessen, 2005. "A distribution dynamics approach to regional income convergence in reunified Germany," ERSA conference papers ersa05p411, European Regional Science Association.
    11. Carlos Mendez-Guerra, 2017. "Heterogeneous Growth and Regional (Di)Convergence in Bolivia: A Distribution Dynamics Approach," Economía Coyuntural,Revista de temas de perspectivas y coyuntura, Instituto de Investigaciones Económicas y Sociales 'José Ortiz Mercado' (IIES-JOM), Facultad de Ciencias Económicas, Administrativas y Financieras, Universidad Autónoma Gabriel René Moreno, vol. 2(4), pages 81-108.
    12. Eduardo de Carvalho Andrade & Márcio Laurini, 2010. "New Evidence on the Role of Cognitive Skill in Economic Development," IBMEC RJ Economics Discussion Papers 2010-01, Economics Research Group, IBMEC Business School - Rio de Janeiro.
    13. Sabyasachi Kar & Debajit Jha & Alpana Kateja, 2010. "Club-Convergence and Polarisation of States : A Nonparametric Analysis of Post-Reform India," Development Economics Working Papers 23036, East Asian Bureau of Economic Research.
    14. Bandyopadhyay, Sanghamitra, 2012. "Convergence clubs in incomes across Indian states: Is there evidence of a neighbours’ effect?," Economics Letters, Elsevier, vol. 116(3), pages 565-570.
    15. Laurini, Márcio P., 2007. "A note on the use of quantile regression in beta convergence analysis," Insper Working Papers wpe_95, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
    16. Philippe De Vreyer & Sandrine Mesplé-Somps & Gilles Spielvogel, 2005. "Spatial externalities between Brazilian municipios and their neighbours," ERSA conference papers ersa05p573, European Regional Science Association.
    17. Christiano M. Penna & Fabricio Linhares, 2011. "Convergênciae Formação de Clubes no Brasil sob aHipótese de Heterogeneidade no DesenvolvimentoTecnológico," Anais do XXXVII Encontro Nacional de Economia [Proceedings of the 37th Brazilian Economics Meeting] 87, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
    18. Manso, Carlos Alberto & Barreto, Flávio Ataliba & de França, João Mário, 2010. "Retornos da Educação e o Desequilíbrio Regional no Brasil," Revista Brasileira de Economia - RBE, FGV/EPGE - Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil), vol. 64(2), June.
    19. Fotopoulos, Georgios, 2006. "Nonparametric analysis of regional income dynamics: The case of Greece," Economics Letters, Elsevier, vol. 91(3), pages 450-457, June.
    20. Tulio A. Cravo & Elias Soukiazis, 2009. "Educational Thresholds and Economic Growth: Empirical Evidence from Brazilian States," Working Papers 2009.1, International Network for Economic Research - INFER.

  16. Andrade, Eduardo & Laurini, Márcio & Madalozzo, Regina & Pedro L. Valls Pereira, 2002. "Testing Convergence Across Municipalities in Brazil Using Quantile Regression," Insper Working Papers wpe_25, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.

    Cited by:

    1. Guilherme Mendes Resende & Lízia de Figueiredo, 2008. "Economic Growth Of Minas Gerais: A Quantile Regression Approach Between 1980 And 2000," Anais do XIII Seminário sobre a Economia Mineira [Proceedings of the 13th Seminar on the Economy of Minas Gerais],in: Anais do XIII Seminário sobre a Economia Mineira [Proceedings of the 13th Seminar on the Economy of Minas Gerais] Cedeplar, Universidade Federal de Minas Gerais.
    2. Tamas Dusek, 2006. "Regional Income Differences in Hungary - A Multi-Level Spatio-Temporal Analysis," ERSA conference papers ersa06p284, European Regional Science Association.
    3. Laurini, Márcio P., 2007. "A note on the use of quantile regression in beta convergence analysis," Insper Working Papers wpe_95, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.

  17. 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, Insper Instituto de Ensino e Pesquisa.

    Cited by:

    1. Fernando Henrique De Paula E Silva Mendes & Guilherme Valle Mour, 2014. "Evidências De Bull E Bear Market No Índice Bovespa: Uma Aplicação De Modelos De Regime Markoviano E Duration Dependence," Anais do XLI Encontro Nacional de Economia [Proceedings of the 41st Brazilian Economics Meeting] 138, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].

  18. 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, Insper Instituto de Ensino e Pesquisa.

    Cited by:

    1. Marçal, Emerson Fernandes & Pereira, Pedro L. Valls, 2008. "Testing the Hypothesis of Contagion Using Multivariate Volatility Models," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 28(2), November.
    2. José Fajardo & Aquiles Farias, 2002. "Generalized Hyperbolic Distributions and Brazilian Data," Working Papers Series 52, Central Bank of Brazil, Research Department.
    3. 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.
    4. Douglas Gomes dos Santos & Flávio Augusto Ziegelmann, 2008. "Estimação de volatilidade em períodos de crise: Modelos aditivos semi-paramétricos versus modelos versus modelo Garch," Anais do XXXVI Encontro Nacional de Economia [Proceedings of the 36th Brazilian Economics Meeting] 200807201932370, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
    5. Maurício Yoshinori Une & Marcelo Savino Portugal, 2005. "Fear of disruption: a model of Markov-switching regimes for the Brazilian country risk conditional volatility," Econometrics 0509005, EconWPA.
    6. Oliveira, André Barbosa & Pereira, Pedro L. Valls, 2018. "Uncertainty times for portfolio selection at financial market," Textos para discussão 473, FGV/EESP - Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil).
    7. Fajardo, J. & Cajueiro, D. O., 2003. "Volatility Estimation and Option Pricing with Fractional Brownian Motion," Finance Lab Working Papers flwp_53, Finance Lab, Insper Instituto de Ensino e Pesquisa.
    8. Barbachan, José Fajardo & Schuschny, Andrés Ricardo & Silva, André de Castro, 2001. "Lévy processes and the Brazilian market," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 21(2), November.

  19. 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, Insper Instituto de Ensino e Pesquisa.

    Cited by:

    1. Claudio Henrique da Silveira Barbedo & José Valentim Machado Vicente & Octávio Manuel Bessada Lion, 2009. "Pricing Asian Interest Rate Options with a Three-Factor HJM Model," Working Papers Series 188, Central Bank of Brazil, Research Department.

  20. Sallum, Elvia Mureb & Barbosa, Fernando de Holanda & Pereira, Pedro L. Valls, 1993. "A substituição de moeda no Brasil: a moeda indexada," FGV/EPGE Economics Working Papers (Ensaios Economicos da EPGE) 224, FGV/EPGE - Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).

    Cited by:

    1. Fernandez, Brena Paula Magno & Silveira, Antonio Maria da, 1994. "The economist Machiavelli," FGV/EPGE Economics Working Papers (Ensaios Economicos da EPGE) 250, FGV/EPGE - Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
    2. Ohana, Eduardo Felipe, 1997. "The Brazilian 1994 stabilization plan: an analytical view," FGV/EPGE Economics Working Papers (Ensaios Economicos da EPGE) 307, FGV/EPGE - Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
    3. Cardoso, Renato Fragelli, 1995. "Entrepreneurial risk and labour's share in output," FGV/EPGE Economics Working Papers (Ensaios Economicos da EPGE) 252, FGV/EPGE - Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
    4. Silveira, Antonio Maria da, 1994. "Pure economic theories:the temporary half-thuth," FGV/EPGE Economics Working Papers (Ensaios Economicos da EPGE) 244, FGV/EPGE - Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
    5. Ferreira, Pedro Cavalcanti, 1997. "A note on growth, welfare and public policy," FGV/EPGE Economics Working Papers (Ensaios Economicos da EPGE) 298, FGV/EPGE - Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
    6. Ferreira, Pedro Cavalcanti, 1996. "Sustained growth, government expenditure and inflation," FGV/EPGE Economics Working Papers (Ensaios Economicos da EPGE) 278, FGV/EPGE - Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
    7. Sandroni, Alvaro & Werlang, Sérgio Ribeiro da Costa, 1995. "A comment on 'Rational learning lead to nash equilibrium' by professors Ehud Kalai and Ehud Lehrer," FGV/EPGE Economics Working Papers (Ensaios Economicos da EPGE) 256, FGV/EPGE - Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
    8. Ferreira, Pedro Cavalcanti, 1994. "Public expenditures taxation and welfare measurement," FGV/EPGE Economics Working Papers (Ensaios Economicos da EPGE) 239, FGV/EPGE - Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
    9. Ferreira, Pedro Cavalcanti, 1994. "A note on policy, the composition of public expenditures and economic growth," FGV/EPGE Economics Working Papers (Ensaios Economicos da EPGE) 240, FGV/EPGE - Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
    10. Ferreira, Pedro Cavalcanti, 1995. "Welfare and fiscal policy with public goods and infrastructure," FGV/EPGE Economics Working Papers (Ensaios Economicos da EPGE) 264, FGV/EPGE - Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).

  21. Barbosa, Fernando de Holanda & Pereira, Pedro L. Valls, 1987. "Insucesso do plano cruzado : a evidência empírica da inflação 100% inércia para o Brasil," FGV/EPGE Economics Working Papers (Ensaios Economicos da EPGE) 98, FGV/EPGE - Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).

    Cited by:

    1. Werlang, Sérgio Ribeiro da Costa, 1988. "Common knowledge," FGV/EPGE Economics Working Papers (Ensaios Economicos da EPGE) 118, FGV/EPGE - Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
    2. Rocha, Roberto de Rezende, 1991. "Inflation and stabilization in Yugoslavia," Policy Research Working Paper Series 752, The World Bank.
    3. Cysne, Rubens Penha, 1988. "Brazilian economy in the eighties and the debt crisis," FGV/EPGE Economics Working Papers (Ensaios Economicos da EPGE) 130, FGV/EPGE - Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
    4. Cysne, Rubens Penha, 1988. "Income and demand policies in Brazil," FGV/EPGE Economics Working Papers (Ensaios Economicos da EPGE) 129, FGV/EPGE - Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
    5. Tullio, Giuseppe & Ronci, Marcio Valerio, 1994. "Macroeconomic policy and credibility: a comparative study of the factors affecting brazilian and italian inflation after 1970," FGV/EPGE Economics Working Papers (Ensaios Economicos da EPGE) 247, FGV/EPGE - Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).

Articles

  1. Pedro Nielsen Rotta & Pedro L. Valls Pereira, 2016. "Analysis of contagion from the dynamic conditional correlation model with Markov Regime switching," Applied Economics, Taylor & Francis Journals, vol. 48(25), pages 2367-2382, May.

    Cited by:

    1. Maximilian-Benedikt Herwarth Kohn & Pedro L. Valls Pereira & Xibin Zhang, 2017. "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, vol. 5(1), pages 1411453-141, January.
    2. Renee Fry-McKibbin & Cody Yu-Ling Hsiao & Vance L. Martin, 2017. "Joint tests of contagion with applications to financial crises," CAMA Working Papers 2017-23, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    3. Gu, Huaying & Liu, Zhixue & Weng, Yingliang, 2017. "Time-varying correlations in global real estate markets: A multivariate GARCH with spatial effects approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 471(C), pages 460-472.

  2. Bruno P. Arruda & Pedro L. Valls Pereira, 2013. "Analysis of the volatility's dependency structure during the subprime crisis," Applied Economics, Taylor & Francis Journals, vol. 45(36), pages 5031-5045, December.

    Cited by:

    1. Maximilian-Benedikt Herwarth Kohn & Pedro L. Valls Pereira & Xibin Zhang, 2017. "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, vol. 5(1), pages 1411453-141, January.

  3. Emerson Fernandes Marcal & Pedro Valls Pereira & Diogenes Manoel Leiva Martin & Wilson Toshiro Nakamura, 2011. "Evaluation of contagion or interdependence in the financial crises of Asia and Latin America, considering the macroeconomic fundamentals," Applied Economics, Taylor & Francis Journals, vol. 43(19), pages 2365-2379.
    See citations under working paper version above.
  4. Poletti Laurini, Márcio & Valls Pereira, Pedro L., 2009. "Conditional stochastic kernel estimation by nonparametric methods," Economics Letters, Elsevier, vol. 105(3), pages 234-238, December.
    See citations under working paper version above.
  5. Marçal, Emerson Fernandes & Pereira, Pedro L. Valls, 2008. "Testing the Hypothesis of Contagion Using Multivariate Volatility Models," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 28(2), November.
    See citations under working paper version above.
  6. 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, Wiley Blackwell, vol. 34(5-6), pages 1002-1024.

    Cited by:

    1. Dendramis, Yiannis & Kapetanios, George & Tzavalis, Elias, 2015. "Shifts in volatility driven by large stock market shocks," Journal of Economic Dynamics and Control, Elsevier, vol. 55(C), pages 130-147.
    2. Massimo Guidolin, 2011. "Markov Switching Models in Empirical Finance," Working Papers 415, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    3. Subbotin, Alexandre, 2009. "Volatility Models: from Conditional Heteroscedasticity to Cascades at Multiple Horizons," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 15(3), pages 94-138.
    4. Pan, Qi & Li, Yong, 2013. "Testing volatility persistence on Markov switching stochastic volatility models," Economic Modelling, Elsevier, vol. 35(C), pages 45-50.
    5. Gulten Mero & Serge Darolles & Gaëlle Le Fol, 2015. "Financial Market Liquidity: Who Is Acting Strategically?," THEMA Working Papers 2015-14, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
    6. Anne Peguin-Feissolle & Gilles Dufrénot & Dominique Guegan, 2006. "Changing-regime volatility : A fractionally integrated SETAR model," Working Papers halshs-00410540, HAL.
    7. Alexander Subbotin & Thierry Chauveau & Kateryna Shapovalova, 2009. "Volatility Models : from GARCH to Multi-Horizon Cascades," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00390636, HAL.
    8. Helena Isidro & José G. Dias, 2017. "Earnings quality and the heterogeneous relation between earnings and stock returns," Review of Quantitative Finance and Accounting, Springer, vol. 49(4), pages 1143-1165, November.
    9. Korkmaz, Turhan & Cevik, Emrah Ismail & Birkan, Elif & Özataç, Nesrin, 2010. "Testing CAPM using Markov switching model: the case of coal firms," MPRA Paper 71479, University Library of Munich, Germany, revised 2010.
    10. Dima, Bogdan & Dima, Ştefana Maria, 2017. "Mutual information and persistence in the stochastic volatility of market returns: An emergent market example," International Review of Economics & Finance, Elsevier, vol. 51(C), pages 36-59.

  7. Soosung Hwang & Pedro L. Valls Pereira, 2006. "Small sample properties of GARCH estimates and persistence," The European Journal of Finance, Taylor & Francis Journals, vol. 12(6-7), pages 473-494.
    See citations under working paper version above.
  8. Marcio Laurini & Eduardo Andrade & Pedro L. Valls Pereira, 2005. "Income convergence clubs for Brazilian Municipalities: a non-parametric analysis," Applied Economics, Taylor & Francis Journals, vol. 37(18), pages 2099-2118.

    Cited by:

    1. Roberta Colavecchio & Declan Curran & Michael Funke, 2005. "Drifting Together or Falling Apart? The Empirics of Regional Economic Growth in Post-Unification Germany," CESifo Working Paper Series 1533, CESifo Group Munich.
    2. Túlio Cravo, 2011. "Are Small Firms more cyclically Sensitive than Large Ones? National, Regional and Sectoral Evidence from Brazil," ERSA conference papers ersa10p507, European Regional Science Association.
    3. Márcio Poletti Laurini, 2017. "A spatial error model with continuous random effects and an application to growth convergence," Journal of Geographical Systems, Springer, vol. 19(4), pages 371-398, October.
    4. Guilherme Mendes Resende & Alexandre Xavier Ywata de Carvalho & Patrícia Alessandra Morita Sakowski, 2013. "Evaluating Multiple Spatial Dimensions of Economic Growth in Brazil Using Spatial Panel Data Models (1970 - 2000)," Discussion Papers 1830a, Instituto de Pesquisa Econômica Aplicada - IPEA.
    5. Túlio Cravo & Guilherme Resende, 2013. "Economic growth in Brazil: a spatial filtering approach," The Annals of Regional Science, Springer;Western Regional Science Association, vol. 50(2), pages 555-575, April.
    6. Cravo, Túlio A., 2011. "Are small employers more cyclically sensitive? Evidence from Brazil," Journal of Macroeconomics, Elsevier, vol. 33(4), pages 754-769.
    7. Túlio Cravo, 2011. "Regional Economic Growth and SMEs in Brazil: a Spatial Analysis (Submission for the Refereed Y-session Papers)," ERSA conference papers ersa10p508, European Regional Science Association.
    8. Guilherme Mendes Resende & Alexandre Xavier Ywata Carvalho & Patrícia Alessandra Morita Sakowski & Túlio Antonio Cravo, 2016. "Evaluating multiple spatial dimensions of economic growth in Brazil using spatial panel data models," The Annals of Regional Science, Springer;Western Regional Science Association, vol. 56(1), pages 1-31, January.
    9. Aparna Lolayekar & Pranab Mukhopadhyay, 2017. "Growth Convergence and Regional Inequality in India (1981–2012)," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 15(2), pages 307-328, June.
    10. Thomas Gries & Manfred Kraft & Christina Pieck, 2011. "Interregional migration, self-selection and the returns to education in Brazil," The Annals of Regional Science, Springer;Western Regional Science Association, vol. 46(3), pages 707-732, June.
    11. Túlio A. Cravo, 2010. "SMEs and economic growth in the Brazilian micro-regions," Papers in Regional Science, Wiley Blackwell, vol. 89(4), pages 711-734, November.
    12. Laurini, Márcio P., 2007. "A note on the use of quantile regression in beta convergence analysis," Insper Working Papers wpe_95, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
    13. Guillermo E. Perry & Omar S. Arias & J. Humberto López & William F. Maloney & Luis Servén, 2006. "Poverty Reduction and Growth : Virtuous and Vicious Circles," World Bank Publications, The World Bank, number 6997, July.
    14. Chenglin Qin & Xinyue Ye & Yingxia Liu, 2017. "Spatial Club Convergence of Regional Economic Growth in Inland China," Sustainability, MDPI, Open Access Journal, vol. 9(7), pages 1-14, July.
    15. Răileanu-Szeles, Monica & Albu, Lucian, 2015. "Nonlinearities and divergences in the process of European financial integration," Economic Modelling, Elsevier, vol. 46(C), pages 416-425.

  9. 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.
    See citations under working paper version above.
  10. 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;Sociedad de Estadística e Investigación Operativa, vol. 13(2), pages 371-402, December.

    Cited by:

    1. Andrea, SILVESTRINI, 2005. "Temporal aggregaton of univariate linear time series models," Discussion Papers (ECON - Département des Sciences Economiques) 2005044, Université catholique de Louvain, Département des Sciences Economiques.

  11. Marçal, Emerson Fernandes & Pereira, Pedro Luiz Valls & Filho, Otaviano Canuto dos Santos, 2003. "Paridade do Poder de Compra: Testando Dados Brasileiros," Revista Brasileira de Economia - RBE, FGV/EPGE - Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil), vol. 57(1), January.

    Cited by:

    1. Simões, Oscar R. & Marçal, Emerson Fernandes, 2012. "Agregação temporal e não-linearidade afetam os testes da paridade do poder de compra: Evidência a partir de dados brasileiros," Revista Brasileira de Economia - RBE, FGV/EPGE - Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil), vol. 66(3), October.

  12. Neto, Cícero Augusto Vieira & Pereira, Pedro L. Valls, 2001. "Review of major results of Martingale theory applied to the valuation of contingent claims," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 21(2), November.

    Cited by:

    1. Laurini, Márcio Poletti & Mauad, Roberto Baltieri, 2012. "Non-Parametric Pricing of Interest Rates Options," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 32(2), April.
    2. Zimmer, Christian Johannes, 2003. "The Use of Martingale Theory for the Superreplication of Exotic Options in Incomplete Markets," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 23(2), November.

  13. Pereira, Pedro L. Valls & Hotta, Luiz K. & Souza, Luiz Alvares R. de & Almeida, Nuno Miguel C. G. de, 1999. "Alternative Models To Extract Asset Volatility: A Comparative Study," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 19(1), May.
    See citations under working paper version above.
  14. Pereira, Pedro L. Valls & Holland, Márcio, 1999. "Taxa de Câmbio Real e Paridade de Poder de Compra no Brasil," Revista Brasileira de Economia - RBE, FGV/EPGE - Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil), vol. 53(3), July.

    Cited by:

    1. Simões, Oscar R. & Marçal, Emerson Fernandes, 2012. "Agregação temporal e não-linearidade afetam os testes da paridade do poder de compra: Evidência a partir de dados brasileiros," Revista Brasileira de Economia - RBE, FGV/EPGE - Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil), vol. 66(3), October.
    2. Felipe S. Bastos & Elano F. Arruda & Rafael B. Barbosa & Roberto T. Ferreira, 2018. "Speed of Reversion to PPP with Structural Breaks for Brazilian Cities," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 10(4), pages 15-24, April.

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Rankings

This author is among the top 5% authors according to these criteria:
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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 48 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-ETS: Econometric Time Series (8) 2003-01-12 2004-02-01 2004-08-16 2008-09-13 2009-07-03 2013-12-15 2015-05-22 2018-04-16. Author is listed
  2. NEP-FOR: Forecasting (5) 2010-07-10 2012-11-17 2015-09-05 2015-09-05 2018-04-16. Author is listed
  3. NEP-RMG: Risk Management (5) 2002-10-23 2003-01-12 2004-02-01 2010-07-10 2016-07-09. Author is listed
  4. NEP-MAC: Macroeconomics (4) 2003-04-21 2009-07-03 2010-07-10 2014-05-17
  5. NEP-FMK: Financial Markets (3) 2004-02-01 2015-09-05 2018-03-26
  6. NEP-LAM: Central & South America (3) 2003-04-21 2007-07-13 2018-03-19
  7. NEP-CBA: Central Banking (2) 2014-05-17 2018-03-19
  8. NEP-CMP: Computational Economics (2) 2009-06-17 2009-07-03
  9. NEP-ECM: Econometrics (2) 2003-01-12 2004-02-01
  10. NEP-HIS: Business, Economic & Financial History (2) 2009-07-03 2014-04-18
  11. NEP-MON: Monetary Economics (2) 2014-05-17 2018-03-19
  12. NEP-BAN: Banking (1) 2014-05-17
  13. NEP-ENE: Energy Economics (1) 2018-03-26
  14. NEP-FIN: Finance (1) 2004-08-16
  15. NEP-GEO: Economic Geography (1) 2007-07-13
  16. NEP-MST: Market Microstructure (1) 2008-09-13
  17. NEP-SEA: South East Asia (1) 2009-07-03
  18. NEP-URE: Urban & Real Estate Economics (1) 2004-02-01

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