Pedro L. Valls Pereira : Citation Profile


Are you Pedro L. Valls Pereira?

Fundação Getúlio Vargas (FGV)

7

H index

6

i10 index

184

Citations

RESEARCH PRODUCTION:

37

Articles

76

Papers

RESEARCH ACTIVITY:

   35 years (1984 - 2019). See details.
   Cites by year: 5
   Journals where Pedro L. Valls Pereira has often published
   Relations with other researchers
   Recent citing documents: 16.    Total self citations: 16 (8 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pva43
   Updated: 2020-05-23    RAS profile: 2020-03-01    
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Relations with other researchers


Works with:

Hotta, Luiz (4)

Oliveira, Andre (4)

Hallin, Marc (4)

Trucíos, Carlos (3)

Candido, Osvaldo (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Pedro L. Valls Pereira.

Is cited by:

Resende, Guilherme (12)

Laurini, Márcio (12)

Cravo, Túlio (9)

Morita Sakowski, Patricia (6)

Fantazzini, Dean (5)

Fajardo, José (3)

Tzeremes, Nickolaos (3)

Wisniewski, Tomasz (3)

Zhu, Jie (3)

HALKOS, GEORGE (3)

Gottschalk, Katrin (3)

Cites to:

Hallin, Marc (49)

Forni, Mario (49)

Lippi, Marco (39)

Engle, Robert (37)

Bollerslev, Tim (25)

Reichlin, Lucrezia (21)

Barigozzi, Matteo (18)

Reinhart, Carmen (15)

Hendry, David (15)

Hotta, Luiz (14)

Hamilton, James (12)

Main data


Where Pedro L. Valls Pereira has published?


Journals with more than one article published# docs
Brazilian Review of Econometrics13
Brazilian Review of Finance6
Applied Economics4
Economics Letters3
Revista Brasileira de Economia - RBE3
Journal of Business Finance & Accounting2

Working Papers Series with more than one paper published# docs
Textos para discusso / FGV EESP - Escola de Economia de So Paulo, Fundao Getulio Vargas (Brazil)37
MPRA Paper / University Library of Munich, Germany6
FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) / EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil)3
Working Papers ECARES / ULB -- Universite Libre de Bruxelles2

Recent works citing Pedro L. Valls Pereira (2020 and 2019)


YearTitle of citing document
2019The accuracy of asymmetric GARCH model estimation. (2019). Darné, Olivier ; Darne, Olivier ; Charles, Amelie. In: International Economics. RePEc:cii:cepiie:2019-q1-157-11.

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2018Which information matters to market risk spreading in Brazil? Volatility transmission modelling using MGARCH-BEKK, DCC, t-Copulas. (2018). de Oliveira, Felipe A ; Da, Cassio ; de Jesus, Diego P ; Maia, Sinezio F. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:45:y:2018:i:c:p:83-100.

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2018Energy consumption and CO2 emissions convergence in European Union member countries. A tonneau des Danaides?. (2018). Kounetas, Kostantinos. In: Energy Economics. RePEc:eee:eneeco:v:69:y:2018:i:c:p:111-127.

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2019Forecasting Bitcoin risk measures: A robust approach. (2019). Trucíos, Carlos ; Trucios, Carlos. In: International Journal of Forecasting. RePEc:eee:intfor:v:35:y:2019:i:3:p:836-847.

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2019Integration and risk contagion in financial crises: Evidence from international stock markets. (2019). Vortelinos, Dimitrios I ; Tsagkanos, Athanasios ; Gkillas, Konstantinos. In: Journal of Business Research. RePEc:eee:jbrese:v:104:y:2019:i:c:p:350-365.

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2017Mutual information and persistence in the stochastic volatility of market returns: An emergent market example. (2017). Dima, Bogdan. In: International Review of Economics & Finance. RePEc:eee:reveco:v:51:y:2017:i:c:p:36-59.

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2019A Test of Using Markov-Switching GARCH Models in Oil and Natural Gas Trading. (2019). Alvarez-Garcia, Jose ; Galeana-Figueroa, Evaristo ; de la Torre-Torres, Oscar V. In: Energies. RePEc:gam:jeners:v:13:y:2019:i:1:p:129-:d:302172.

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2020The Geography of Well-being in Colombia. (2020). Tortosa-Ausina, Emili ; Picazo-Tadeo, Andres ; Peiro-Palomino, Jesus . In: Working Papers. RePEc:jau:wpaper:2020/03.

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2017Earnings quality and the heterogeneous relation between earnings and stock returns. (2017). Isidro, Helena ; Dias, Jose G. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:49:y:2017:i:4:d:10.1007_s11156-017-0619-z.

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2018 The Role of Loan Supply Shocks in Pacific Alliance Countries: A TVP-VAR-SV Approach. (2018). Rodríguez, Gabriel ; Guevara, Carlos. In: Documentos de Trabajo / Working Papers. RePEc:pcp:pucwps:wp00467.

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2019A multivariate approach for the simultaneous modelling of market risk and credit risk for cryptocurrencies. (2019). Fantazzini, Dean ; Zimin, Stephan. In: MPRA Paper. RePEc:pra:mprapa:95988.

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2019The importance of being informed: forecasting market risk measures for the Russian RTS index future using online data and implied volatility over two decades. (2019). Fantazzini, Dean ; Shangina, Tamara. In: MPRA Paper. RePEc:pra:mprapa:95992.

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2019The importance of being informed: forecasting market risk measures for the Russian RTS index future using online data and implied volatility over two decades. (2019). Fantazzini, Dean ; Shangina, Tamara. In: Applied Econometrics. RePEc:ris:apltrx:0372.

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2020A multivariate approach for the simultaneous modelling of market risk and credit risk for cryptocurrencies. (2020). Fantazzini, Dean ; Zimin, Stephan. In: Economia e Politica Industriale: Journal of Industrial and Business Economics. RePEc:spr:epolin:v:47:y:2020:i:1:d:10.1007_s40812-019-00136-8.

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2019Correcting outliers in GARCH models: a weighted forward approach. (2019). Grossi, Luigi ; Crosato, Lisa. In: Statistical Papers. RePEc:spr:stpapr:v:60:y:2019:i:6:d:10.1007_s00362-017-0903-y.

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Works by Pedro L. Valls Pereira:


YearTitleTypeCited
2011ORIGINAL SIN E PRICE DISCOVERY NOMERCADO DE BONDS SOBERANOS EM REAIS In: Anais do XXXVIII Encontro Nacional de Economia [Proceedings of the 38th Brazilian Economics Meeting].
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2014ANÁLISE DA ESTRUTURA DE DEPENDÊNCIA DAVOLATILIDADE ENTRE SETORES DURANTE A CRISE DO SUBPRIME In: Anais do XL Encontro Nacional de Economia [Proceedings of the 40th Brazilian Economics Meeting].
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2012Análise da estrutura de dependência da volatilidade entre setores durante a crise do subprime.(2012) In: Textos para discussão.
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2007How Persistent is Stock Return Volatility? An Answer with Markov Regime Switching Stochastic Volatility Models In: Journal of Business Finance & Accounting.
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2007How Persistent is Stock Return Volatility? An Answer with Markov Regime Switching Stochastic Volatility Models.(2007) In: Journal of Business Finance & Accounting.
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2019Dynamic D-Vine Copula Model with Applications to Value-at-Risk (VaR) In: Journal of Time Series Econometrics.
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2016Dynamic D-Vine copula model with applications to Value-at-Risk (VaR).(2016) In: Textos para discussão.
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2015Testing the predict power of VIX: an application of multiplicative error model In: Brazilian Review of Finance.
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2016The Informational Content of Trades on Foreign Exchange Futures: an Application to the Brazilian Market In: Brazilian Review of Finance.
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2005Modeling the Interest Rate Term Structure: Derivatives Contracts Dynamics and Evaluation In: Brazilian Review of Finance.
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2008Analysis of performance of technical trading rules applied to the market of intraday Ibovespa index futures contracts In: Brazilian Review of Finance.
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2009Head and Shoulders: Testing the Profitability of this Chart Pattern of Technical Analysis in the Brazilian Stock Market In: Brazilian Review of Finance.
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2011Modeling Financial Contagion using Copula In: Brazilian Review of Finance.
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2019Forecasting Conditional Covariance Matrices in High-Dimensional Time Series: a General Dynamic Factor Approach In: Working Papers ECARES.
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2019Forecasting conditional covariance matrices in high-dimensional time series: a general dynamic factor approach.(2019) In: Textos para discussão.
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2019On the robustness of the general dynamic factor model with infinite-dimensional space: identification, estimation, and forecasting In: Working Papers ECARES.
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2004How Persistent is Volatility? An Answer with Stochastic Volatility Models with Markov Regime Switching State Equations In: Econometric Society 2004 Latin American Meetings.
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2004How Persistent is Volatility? An Answer with Stochastic Volatility Models with Markov Regime Switching State Equations.(2004) In: Finance Lab Working Papers.
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This paper has another version. Agregated cites: 3
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2009Conditional stochastic kernel estimation by nonparametric methods In: Economics Letters.
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2007Conditional Stochastic Kernel Estimation by Nonparametric Methods.(2007) In: Insper Working Papers.
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1987Exact likelihood function for a regression model with MA(1) errors In: Economics Letters.
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2004Convergence clubs among Brazilian municipalities In: Economics Letters.
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article26
2003Convergence Clubs Among Brazilian Municipalities.(2003) In: Insper Working Papers.
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2019On the robustness of the principal volatility components In: Journal of Empirical Finance.
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2018On the robustness of the principal volatility components.(2018) In: Textos para discussão.
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2009Análise do desempenho de regras da análise técnica aplicada ao mercado intradiário do contrato futuro do índice Ibovespa In: Textos para discussão.
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2008Análise do Desempenho de Regras de Análise Técnica Aplicada ao Mercado Intradiário do Contrato Futuro do Índice Bovespa.(2008) In: MPRA Paper.
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2009Testing the hypothesis of contagion using multivariate volatility models In: Textos para discussão.
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2008Testing the Hypothesis of Contagion using Multivariate Volatility Models.(2008) In: MPRA Paper.
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2008Testing the Hypothesis of Contagion Using Multivariate Volatility Models.(2008) In: Brazilian Review of Econometrics.
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This paper has another version. Agregated cites: 5
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2009Testing the long-run implications of the expectation hypothesis using cointegration techniques with structural change In: Textos para discussão.
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2009Testing the long-run implications of the expectation hypothesis using cointegration techniques with structural change.(2009) In: MPRA Paper.
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2009Predictability of equity models In: Textos para discussão.
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2009Predictability of Equity Models.(2009) In: MPRA Paper.
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2015Predictability of Equity Models.(2015) In: Journal of Forecasting.
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2009Evaluation of contagion or interdependence in the financial crises of Asia and Latin America, considering the macroeconomic fundamentals In: Textos para discussão.
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2009Previsão de retornos intradiários através de regressões usando funções-núcleo In: Textos para discussão.
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2009Cópulas: uma alternativa para a estimação de modelos de risco multivariados In: Textos para discussão.
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2009Comparação de carteiras otimizadas segundo o critério média-variância formadas através de estimativas robustas de risco e retorno In: Textos para discussão.
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2009Ombro-cabeça-ombro: testando a lucratividade do padrão gráfico de análise técnica no mercado de ações brasileiro In: Textos para discussão.
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2009“Ombro-Cabeça-Ombro”: Testando a Lucratividade do Padrão Gráfico de Análise Técnica no Mercado de Ações Brasileiro.(2009) In: MPRA Paper.
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2010Modelando a volatilidade dos retornos de Petrobrás usando dados de alta frequência In: Textos para discussão.
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2010Economic cycles and term structure: application to Brazil In: Textos para discussão.
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2010Sistemas 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 In: Textos para discussão.
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2011Modelando contágio financeiro através de cópulas In: Textos para discussão.
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2012Mudanças 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 – M In: Textos para discussão.
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2012Modelagem e previsão de volatilidade realizada: evidências para o Brasil In: Textos para discussão.
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2012Evaluating the existence of structural change in the brazilian term structure of interest: evidence based on cointegration models with structural break In: Textos para discussão.
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2012Testando o poder preditivo do VIX: uma aplicação do modelo de erro multiplicativo In: Textos para discussão.
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2012O conteúdo informacional das transações no mercado futuro de câmbio: uma investigação do caso brasileiro In: Textos para discussão.
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2012Realized volatility: evidence from Brazil In: Textos para discussão.
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2013Analysis of contagion from the constant conditional correlation model with Markov regime switching In: Textos para discussão.
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2014Um estudo sobre os ciclos de negócios brasileiro (1900-2012) In: Textos para discussão.
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2014Credit shocks and monetary policy in Brazil: a structural FAVAR approach In: Textos para discussão.
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2012Credit Shocks and Monetary Policy in Brazil: A Structural Favar Approach.(2012) In: Brazilian Review of Econometrics.
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2014O mercado de câmbio brasileiro pela ótica da microestutura In: Textos para discussão.
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2015The Brazilian foreign exchange market through the microstructure perspective In: Textos para discussão.
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2015Forecast comparison with nonlinear methods for Brazilian industrial production In: Textos para discussão.
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2015Automatic model selection for forecasting Brazilian stock returns In: Textos para discussão.
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2016Speculative bubbles and contagion: analysis of volatilitys clusters during the DotCom bubble based on the dynamic conditional correlation model In: Textos para discussão.
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2018Effects of official and unofficial central bank communication on the Brazilian interest rate curve In: Textos para discussão.
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2018Asset allocation with Markovian regime switching: efficient frontier and tangent portfolio with regime switching In: Textos para discussão.
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2018Asset Allocation with Markovian Regime Switching: Efficient Frontier and Tangent Portfolio with Regime Switching.(2018) In: Brazilian Review of Econometrics.
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2018Mudança de regime e efeito ARCH em volatilidade: um estudo dos choques das cotações do Petróleo In: Textos para discussão.
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2018Uncertainty times for portfolio selection at financial market In: Textos para discussão.
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2018Portfolio pumping no mercado acionário brasileiro In: Textos para discussão.
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2020Robustness and the general dynamic factor model with infinite-dimensional space: identification, estimation, and forecasting In: Textos para discussão.
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1993A substituição de moeda no Brasil: a moeda indexada In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE).
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1999Arbitrage Pricing Theory (APT) e variáveis macroeconômicas: um estudo empírico sobre o mercado acionário brasileiro In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE).
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1998Arbitrage Pricing Theory (APT) e variáveis macroeconômicas. Um estudo empírico sobre o mercado acionário brasileiro.(1998) In: Textos para discussão.
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1987Insucesso do plano cruzado : a evidência empírica da inflação 100% inércia para o Brasil In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE).
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1998Filtragem e Previsão com Modelos de Voltalidade: Voltalidade Estocastica versus GARCH In: Revista Brasileira de Economia - RBE.
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1999Taxa de Câmbio Real e Paridade de Poder de Compra no Brasil In: Revista Brasileira de Economia - RBE.
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2003Paridade do Poder de Compra: Testando Dados Brasileiros In: Revista Brasileira de Economia - RBE.
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1998Arbitrage Pricing Theory (APT) and Macroeconomics Variables: a comparative study for the brazilian stock market In: Finance Lab Working Papers.
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1999Alternative Models to extract asset volatility: a comparative study In: Finance Lab Working Papers.
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1999ALTERNATIVE MODELS TO EXTRACT ASSET VOLATILITY: A COMPARATIVE STUDY.(1999) In: Brazilian Review of Econometrics.
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2000Arbitrage Pricing Theory (APT) and Macroeconomics Variables: an empirical study for the Brazilian stock market In: Finance Lab Working Papers.
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2000SWGARCH Models an application to IBOVESPA In: Finance Lab Working Papers.
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2000Switching Regimes Models for financial time series: an empirical study for trading rules In: Finance Lab Working Papers.
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2000Options on the One Day Interfinancial Deposits Index: Derivation of a Formula for the Calculation of the Arbitrage Free Price In: Finance Lab Working Papers.
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2000Markovian Switch Models: applications to financial time series In: Finance Lab Working Papers.
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2000Modeling the Term Structure of Interest Rate In: Finance Lab Working Papers.
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2000Uma Resenha sobre os Principais Resultados da Teoria de Martingals aplicada à Avaliação de Derivativos em Mercados Completos e Livre de Arbitragem In: Finance Lab Working Papers.
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2001Evaluating Value-at-Risk Models: a comparison between traditional models and conditional variance models. In: Finance Lab Working Papers.
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2003Small Sample Properties of GARCH Estimates and Persistence In: Finance Lab Working Papers.
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2006Small sample properties of GARCH estimates and persistence.(2006) In: The European Journal of Finance.
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1998Nonlinear Models in Finance: previsibility of financial markets and applications to risk management In: Finance Lab Working Papers.
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1999Closed Form Formula for the Arbitrage Free Price of an Option for the One Day Interfinancial Deposits Index In: Finance Lab Working Papers.
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1999Switching Regime in Volatility: the SWGARCH Models In: Finance Lab Working Papers.
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2000Purchasing Parity Power: the empirical evidence for Brazil In: Insper Working Papers.
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2002Testing Convergence Across Municipalities in Brazil Using Quantile Regression In: Insper Working Papers.
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2003Structural Break Threshold VARs for Predicting US Recessions using the Spread In: Insper Working Papers.
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2003Clubes de Convergência de Renda para os Municípios Brasileiros: Uma Análise Não-Paramétrica In: Insper Working Papers.
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2004Income Convergence Clubs for Brazilian Municipalities: A Non-Parametric Analysis (english version of WPE-6/2003) In: Insper Working Papers.
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2015Trend, Seasonality and Seasonal Adjustment In: Discussion Papers.
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2008TESTANDO A HIPÓTESE DE CONTÁGIO A PARTIR DE MODELOS MULTIVARIADOS DE VOLATILIDADE. In: MPRA Paper.
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1991Co-Integração e suas Representações: Uma Resenha In: Brazilian Review of Econometrics.
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1992The Effect of Overlapping Aggregation on Time Series Models: An Application to the Unemployment Rate in Brazil In: Brazilian Review of Econometrics.
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2001Review of major results of Martingale theory applied to the valuation of contingent claims In: Brazilian Review of Econometrics.
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2011Modeling and Forecasting of Realized Volatility: Evidence from Brazil In: Brazilian Review of Econometrics.
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2013A Study of the Brazilian business cycles (1900 – 2012) In: Brazilian Review of Econometrics.
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1984Variáveis dummies em regressão: uma consideração metodológica In: Brazilian Review of Econometrics.
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1985The estimation of dynamic models with missing observations In: Brazilian Review of Econometrics.
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1986Estimação do hiato do produto via componentes não observados In: Brazilian Review of Econometrics.
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1987Missing observations in stochastic difference equation with arma errors In: Brazilian Review of Econometrics.
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2002Switching Regime Models: applications to trading rules In: Computing in Economics and Finance 2002.
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2004Effect of outliers on forecasting temporally aggregated flow variables In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research.
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2005Income convergence clubs for Brazilian Municipalities: a non-parametric analysis In: Applied Economics.
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2011Evaluation of contagion or interdependence in the financial crises of Asia and Latin America, considering the macroeconomic fundamentals In: Applied Economics.
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2013Analysis of the volatilitys dependency structure during the subprime crisis In: Applied Economics.
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2016Analysis of contagion from the dynamic conditional correlation model with Markov Regime switching In: Applied Economics.
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2017Speculative bubbles and contagion: Analysis of volatility’s clusters during the DotCom bubble based on the dynamic conditional correlation model In: Cogent Economics & Finance.
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