8
H index
8
i10 index
254
Citations
Pedro L. Valls Pereira : Citation Profile
Fundação Getúlio Vargas (FGV) | RESEARCH PRODUCTION: 39 Articles 75 Papers RESEARCH ACTIVITY:
EXPERT IN:
MORE DETAILS IN: ABOUT THIS REPORT:
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40 years (1984 - 2024). 
Relations with other researchers
Works with:
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:
| Cites to:
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Main data
Where Pedro L. Valls Pereira has published?
| Journals with more than one article published | # docs |
|---|---|
| Brazilian Review of Econometrics | 13 |
| Brazilian Review of Finance | 6 |
| Applied Economics | 4 |
| Revista Brasileira de Economia - RBE | 3 |
| Economics Letters | 3 |
Recent works citing Pedro L. Valls Pereira (2024 and 2023)
| Year | Title of citing document |
|---|---|
| 2024 | Dynamic Factor Models: a Genealogy. (2023). Hallin, Marc ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2310.17278. Full description at Econpapers || Download paper |
| 2023 | Dynamic Factor Models: a Genealogy. (2023). Hallin, Marc ; Barigozzi, Matteo. In: Working Papers ECARES. RePEc:eca:wpaper:2013/364359. Full description at Econpapers || Download paper |
| 2023 | Stablecoins as a tool to mitigate the downside risk of cryptocurrency portfolios. (2023). Huelamo, Diego ; Esparcia, Carlos ; Diaz, Antonio. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:64:y:2023:i:c:s1062940822001735. Full description at Econpapers || Download paper |
| 2023 | Forecasting value-at-risk and expected shortfall in large portfolios: A general dynamic factor model approach. (2023). Trucíos, Carlos ; Hallin, Marc ; Trucios, Carlos. In: Econometrics and Statistics. RePEc:eee:ecosta:v:27:y:2023:i:c:p:1-15. Full description at Econpapers || Download paper |
| 2024 | Robust interactive fixed effects. (2024). Boudt, Kris ; Heyndels, Ewoud. In: Econometrics and Statistics. RePEc:eee:ecosta:v:29:y:2024:i:c:p:206-223. Full description at Econpapers || Download paper |
| 2023 | How important is green awareness in energy investment decisions? An environmentally-based rebalancing portfolio study. (2023). Esparcia, Carlos ; Diaz, Antonio ; Alonso, Daniel. In: Energy Economics. RePEc:eee:eneeco:v:128:y:2023:i:c:s0140988323006722. Full description at Econpapers || Download paper |
| 2023 | Dating financial bubbles via online multiple testing procedures. (2023). Vacca, Gianmarco ; Quatto, Piero ; Genoni, Giulia. In: Finance Research Letters. RePEc:eee:finlet:v:58:y:2023:i:pa:s1544612323006104. Full description at Econpapers || Download paper |
| 2023 | Which COVID-19 information really impacts stock markets?. (2023). Brzeszczynski, Janusz ; Brzeszczyski, Janusz ; Bwanya, Princess Rutendo ; Charteris, Ailie ; Szczygielski, Jan Jakub. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:84:y:2023:i:c:s1042443122000749. Full description at Econpapers || Download paper |
| 2023 | A pairs trading strategy based on mixed copulas. (2023). Caldeira, Joo F ; Ziegelmann, Flavio A. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:87:y:2023:i:c:p:16-34. Full description at Econpapers || Download paper |
| 2023 | Firm-level business uncertainty and the predictability of the aggregate U.S. stock market volatility during the COVID-19 pandemic. (2023). Salisu, Afees ; GUPTA, RANGAN ; Demirer, Riza ; van Eyden, Renee. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:88:y:2023:i:c:p:295-302. Full description at Econpapers || Download paper |
| 2023 | Modeling dynamic environment effects on dependent failure processes with varying failure thresholds. (2023). Bai, Sijun ; Zhang, Yamei ; Wei, Xiaohua ; Wu, Bei. In: Reliability Engineering and System Safety. RePEc:eee:reensy:v:229:y:2023:i:c:s0951832022004653. Full description at Econpapers || Download paper |
| 2023 | A novel shock-dependent preventive maintenance policy for degraded systems subject to dynamic environments and N-critical shocks. (2023). Wu, Bei ; Bai, Sijun ; Wei, Xiaohua. In: Reliability Engineering and System Safety. RePEc:eee:reensy:v:239:y:2023:i:c:s0951832023004490. Full description at Econpapers || Download paper |
| 2023 | The time-varying correlation between popular narratives and TRY/USD FX rate: Evidence from a DCC-GARCH model. (2023). Ulusoy, Veysel ; Kklerli, Kazam Berk. In: Journal of Applied Finance & Banking. RePEc:spt:apfiba:v:13:y:2023:i:4:f:13_4_3. Full description at Econpapers || Download paper |
| 2024 | A comparison of Range Value at Risk (RVaR) forecasting models. (2024). Santos, Samuel Solgon ; Gossling, Thalles Weber ; Muller, Fernanda Maria ; Righi, Marcelo Brutti. In: Journal of Forecasting. RePEc:wly:jforec:v:43:y:2024:i:3:p:509-543. Full description at Econpapers || Download paper |
Works by Pedro L. Valls Pereira:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2011 | ORIGINAL 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]. [Full Text][Citation analysis] | paper | 0 |
| 2014 | ANÃLISE 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]. [Full Text][Citation analysis] | paper | 0 |
| 2012 | Análise da estrutura de dependência da volatilidade entre setores durante a crise do subprime.(2012) In: Textos para discussão. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2007 | How Persistent is Stock Return Volatility? An Answer with Markov Regime Switching Stochastic Volatility Models In: Journal of Business Finance & Accounting. [Full Text][Citation analysis] | article | 10 |
| 2019 | Dynamic D-Vine Copula Model with Applications to Value-at-Risk (VaR) In: Journal of Time Series Econometrics. [Full Text][Citation analysis] | article | 1 |
| 2016 | Dynamic D-Vine copula model with applications to Value-at-Risk (VaR).(2016) In: Textos para discussão. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
| 2015 | Testing the predict power of VIX: an application of multiplicative error model In: Brazilian Review of Finance. [Full Text][Citation analysis] | article | 0 |
| 2016 | The Informational Content of Trades on Foreign Exchange Futures: an Application to the Brazilian Market In: Brazilian Review of Finance. [Full Text][Citation analysis] | article | 0 |
| 2005 | Modeling the Interest Rate Term Structure: Derivatives Contracts Dynamics and Evaluation In: Brazilian Review of Finance. [Full Text][Citation analysis] | article | 0 |
| 2008 | Analysis of performance of technical trading rules applied to the market of intraday Ibovespa index futures contracts In: Brazilian Review of Finance. [Full Text][Citation analysis] | article | 1 |
| 2009 | Head and Shoulders: Testing the Profitability of this Chart Pattern of Technical Analysis in the Brazilian Stock Market In: Brazilian Review of Finance. [Full Text][Citation analysis] | article | 0 |
| 2011 | Modeling Financial Contagion using Copula In: Brazilian Review of Finance. [Full Text][Citation analysis] | article | 1 |
| 2019 | Forecasting Conditional Covariance Matrices in High-Dimensional Time Series: a General Dynamic Factor Approach In: Working Papers ECARES. [Full Text][Citation analysis] | paper | 1 |
| 2019 | Forecasting conditional covariance matrices in high-dimensional time series: a general dynamic factor approach.(2019) In: Textos para discussão. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
| 2022 | Forecasting Conditional Covariance Matrices in High-Dimensional Time Series: A General Dynamic Factor Approach.(2022) In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | article | |
| 2004 | How Persistent is Volatility? An Answer with Stochastic Volatility Models with Markov Regime Switching State Equations In: Econometric Society 2004 Latin American Meetings. [Full Text][Citation analysis] | paper | 7 |
| 2004 | How Persistent is Volatility? An Answer with Stochastic Volatility Models with Markov Regime Switching State Equations.(2004) In: Finance Lab Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 7 | paper | |
| 2009 | Conditional stochastic kernel estimation by nonparametric methods In: Economics Letters. [Full Text][Citation analysis] | article | 13 |
| 2007 | Conditional Stochastic Kernel Estimation by Nonparametric Methods.(2007) In: Insper Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 13 | paper | |
| 1987 | Exact likelihood function for a regression model with MA(1) errors In: Economics Letters. [Full Text][Citation analysis] | article | 0 |
| 2004 | Convergence clubs among Brazilian municipalities In: Economics Letters. [Full Text][Citation analysis] | article | 29 |
| 2003 | Convergence Clubs Among Brazilian Municipalities.(2003) In: Insper Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 29 | paper | |
| 2019 | On the robustness of the principal volatility components In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 5 |
| 2018 | On the robustness of the principal volatility components.(2018) In: Textos para discussão. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | paper | |
| 2021 | Robustness and the general dynamic factor model with infinite-dimensional space: Identification, estimation, and forecasting In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 4 |
| 2020 | Robustness and the general dynamic factor model with infinite-dimensional space: identification, estimation, and forecasting.(2020) In: Textos para discussão. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | paper | |
| 2009 | Análise do desempenho de regras da análise técnica aplicada ao mercado intradiário do contrato futuro do índice Ibovespa In: Textos para discussão. [Full Text][Citation analysis] | paper | 0 |
| 2008 | Análise do Desempenho de Regras de Análise Técnica Aplicada ao Mercado Intradiário do Contrato Futuro do Índice Bovespa.(2008) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2009 | Testing the hypothesis of contagion using multivariate volatility models In: Textos para discussão. [Full Text][Citation analysis] | paper | 6 |
| 2008 | Testing the Hypothesis of Contagion using Multivariate Volatility Models.(2008) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | paper | |
| 2008 | Testing the Hypothesis of Contagion Using Multivariate Volatility Models.(2008) In: Brazilian Review of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | article | |
| 2009 | Testing the long-run implications of the expectation hypothesis using cointegration techniques with structural change In: Textos para discussão. [Full Text][Citation analysis] | paper | 0 |
| 2009 | Testing the long-run implications of the expectation hypothesis using cointegration techniques with structural change.(2009) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2009 | Predictability of equity models In: Textos para discussão. [Full Text][Citation analysis] | paper | 0 |
| 2009 | Predictability of Equity Models.(2009) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2015 | Predictability of Equity Models.(2015) In: Journal of Forecasting. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
| 2009 | Evaluation of contagion or interdependence in the financial crises of Asia and Latin America, considering the macroeconomic fundamentals In: Textos para discussão. [Full Text][Citation analysis] | paper | 11 |
| 2011 | Evaluation of contagion or interdependence in the financial crises of Asia and Latin America, considering the macroeconomic fundamentals.(2011) In: Applied Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 11 | article | |
| 2009 | Previsão de retornos intradiários através de regressões usando funções-núcleo In: Textos para discussão. [Full Text][Citation analysis] | paper | 0 |
| 2009 | Cópulas: uma alternativa para a estimação de modelos de risco multivariados In: Textos para discussão. [Full Text][Citation analysis] | paper | 0 |
| 2009 | Comparação de carteiras otimizadas segundo o critério média-variância formadas através de estimativas robustas de risco e retorno In: Textos para discussão. [Full Text][Citation analysis] | paper | 0 |
| 2009 | Ombro-cabeça-ombro: testando a lucratividade do padrão gráfico de análise técnica no mercado de ações brasileiro In: Textos para discussão. [Full Text][Citation analysis] | paper | 0 |
| 2009 | “Ombro-Cabeça-Ombro”: Testando a Lucratividade do Padrão Gráfico de Análise Técnica no Mercado de Ações Brasileiro.(2009) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2010 | Modelando a volatilidade dos retornos de Petrobrás usando dados de alta frequência In: Textos para discussão. [Full Text][Citation analysis] | paper | 0 |
| 2010 | Economic cycles and term structure: application to Brazil In: Textos para discussão. [Full Text][Citation analysis] | paper | 3 |
| 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 In: Textos para discussão. [Full Text][Citation analysis] | paper | 0 |
| 2011 | Modelando contágio financeiro através de cópulas In: Textos para discussão. [Full Text][Citation analysis] | paper | 0 |
| 2012 | Modelagem e previsão de volatilidade realizada: evidências para o Brasil In: Textos para discussão. [Full Text][Citation analysis] | paper | 1 |
| 2012 | Evaluating the existence of structural change in the brazilian term structure of interest: evidence based on cointegration models with structural break In: Textos para discussão. [Full Text][Citation analysis] | paper | 0 |
| 2012 | Testando o poder preditivo do VIX: uma aplicação do modelo de erro multiplicativo In: Textos para discussão. [Full Text][Citation analysis] | paper | 0 |
| 2012 | O conteúdo informacional das transações no mercado futuro de câmbio: uma investigação do caso brasileiro In: Textos para discussão. [Full Text][Citation analysis] | paper | 0 |
| 2012 | Realized volatility: evidence from Brazil In: Textos para discussão. [Full Text][Citation analysis] | paper | 2 |
| 2013 | Analysis of contagion from the constant conditional correlation model with Markov regime switching In: Textos para discussão. [Full Text][Citation analysis] | paper | 0 |
| 2014 | Um estudo sobre os ciclos de negócios brasileiro (1900-2012) In: Textos para discussão. [Full Text][Citation analysis] | paper | 0 |
| 2014 | Credit shocks and monetary policy in Brazil: a structural FAVAR approach In: Textos para discussão. [Full Text][Citation analysis] | paper | 2 |
| 2012 | Credit Shocks and Monetary Policy in Brazil: A Structural Favar Approach.(2012) In: Brazilian Review of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | article | |
| 2014 | O mercado de câmbio brasileiro pela ótica da microestutura In: Textos para discussão. [Full Text][Citation analysis] | paper | 0 |
| 2015 | The Brazilian foreign exchange market through the microstructure perspective In: Textos para discussão. [Full Text][Citation analysis] | paper | 0 |
| 2015 | Forecast comparison with nonlinear methods for Brazilian industrial production In: Textos para discussão. [Full Text][Citation analysis] | paper | 0 |
| 2015 | Automatic model selection for forecasting Brazilian stock returns In: Textos para discussão. [Full Text][Citation analysis] | paper | 0 |
| 2016 | Speculative bubbles and contagion: analysis of volatilitys clusters during the DotCom bubble based on the dynamic conditional correlation model In: Textos para discussão. [Full Text][Citation analysis] | paper | 4 |
| 2017 | Speculative bubbles and contagion: Analysis of volatility’s clusters during the DotCom bubble based on the dynamic conditional correlation model.(2017) In: Cogent Economics & Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | article | |
| 2018 | Effects of official and unofficial central bank communication on the Brazilian interest rate curve In: Textos para discussão. [Full Text][Citation analysis] | paper | 0 |
| 2018 | Asset allocation with Markovian regime switching: efficient frontier and tangent portfolio with regime switching In: Textos para discussão. [Full Text][Citation analysis] | paper | 0 |
| 2018 | Asset Allocation with Markovian Regime Switching: Efficient Frontier and Tangent Portfolio with Regime Switching.(2018) In: Brazilian Review of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
| 2018 | Mudança de regime e efeito ARCH em volatilidade: um estudo dos choques das cotações do Petróleo In: Textos para discussão. [Full Text][Citation analysis] | paper | 0 |
| 2018 | Uncertainty times for portfolio selection at financial market In: Textos para discussão. [Full Text][Citation analysis] | paper | 0 |
| 2018 | Portfolio pumping no mercado acionário brasileiro In: Textos para discussão. [Full Text][Citation analysis] | paper | 0 |
| 2024 | Forecasting VaR and ES through Markov-switching GARCH models: does the specication matter? In: Textos para discussão. [Full Text][Citation analysis] | paper | 0 |
| 1993 | A substituição de moeda no Brasil: a moeda indexada In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE). [Full Text][Citation analysis] | paper | 10 |
| 1999 | Arbitrage Pricing Theory (APT) e variáveis macroeconômicas: um estudo empírico sobre o mercado acionário brasileiro In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE). [Full Text][Citation analysis] | paper | 0 |
| 1998 | Arbitrage Pricing Theory (APT) e variáveis macroeconômicas. Um estudo empírico sobre o mercado acionário brasileiro.(1998) In: Textos para discussão. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 1987 | Insucesso do plano cruzado : a evidência empírica da inflação 100% inércia para o Brasil In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE). [Full Text][Citation analysis] | paper | 5 |
| 1998 | Filtragem e Previsão com Modelos de Voltalidade: Voltalidade Estocastica versus GARCH In: Revista Brasileira de Economia - RBE. [Full Text][Citation analysis] | article | 0 |
| 1999 | Taxa de Câmbio Real e Paridade de Poder de Compra no Brasil In: Revista Brasileira de Economia - RBE. [Full Text][Citation analysis] | article | 2 |
| 2003 | Paridade do Poder de Compra: Testando Dados Brasileiros In: Revista Brasileira de Economia - RBE. [Full Text][Citation analysis] | article | 2 |
| 2022 | Forecasting Industrial Production Using Its Aggregated and Disaggregated Series or a Combination of Both: Evidence from One Emerging Market Economy In: Econometrics. [Full Text][Citation analysis] | article | 0 |
| 1998 | Arbitrage Pricing Theory (APT) and Macroeconomics Variables: a comparative study for the brazilian stock market In: Finance Lab Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 1999 | Alternative Models to extract asset volatility: a comparative study In: Finance Lab Working Papers. [Full Text][Citation analysis] | paper | 5 |
| 1999 | ALTERNATIVE MODELS TO EXTRACT ASSET VOLATILITY: A COMPARATIVE STUDY.(1999) In: Brazilian Review of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | article | |
| 2000 | Arbitrage Pricing Theory (APT) and Macroeconomics Variables: an empirical study for the Brazilian stock market In: Finance Lab Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2000 | SWGARCH Models an application to IBOVESPA In: Finance Lab Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2000 | Switching Regimes Models for financial time series: an empirical study for trading rules In: Finance Lab Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2000 | Options on the One Day Interfinancial Deposits Index: Derivation of a Formula for the Calculation of the Arbitrage Free Price In: Finance Lab Working Papers. [Full Text][Citation analysis] | paper | 2 |
| 2000 | Markovian Switch Models: applications to financial time series In: Finance Lab Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2000 | Modeling the Term Structure of Interest Rate In: Finance Lab Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2000 | Uma 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. [Full Text][Citation analysis] | paper | 0 |
| 2001 | Evaluating Value-at-Risk Models: a comparison between traditional models and conditional variance models. In: Finance Lab Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2003 | Small Sample Properties of GARCH Estimates and Persistence In: Finance Lab Working Papers. [Full Text][Citation analysis] | paper | 69 |
| 2006 | Small sample properties of GARCH estimates and persistence.(2006) In: The European Journal of Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 69 | article | |
| 1998 | Nonlinear Models in Finance: previsibility of financial markets and applications to risk management In: Finance Lab Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 1999 | Closed Form Formula for the Arbitrage Free Price of an Option for the One Day Interfinancial Deposits Index In: Finance Lab Working Papers. [Full Text][Citation analysis] | paper | 3 |
| 1999 | Switching Regime in Volatility: the SWGARCH Models In: Finance Lab Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2000 | Purchasing Parity Power: the empirical evidence for Brazil In: Insper Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2002 | Testing Convergence Across Municipalities in Brazil Using Quantile Regression In: Insper Working Papers. [Full Text][Citation analysis] | paper | 4 |
| 2003 | Structural Break Threshold VARs for Predicting US Recessions using the Spread In: Insper Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2003 | Clubes de Convergência de Renda para os MunicÃpios Brasileiros: Uma Análise Não-Paramétrica In: Insper Working Papers. [Full Text][Citation analysis] | paper | 4 |
| 2004 | Income Convergence Clubs for Brazilian Municipalities: A Non-Parametric Analysis (english version of WPE-6/2003) In: Insper Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2015 | Trend, Seasonality and Seasonal Adjustment In: Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
| 2008 | TESTANDO A HIPÓTESE DE CONTÁGIO A PARTIR DE MODELOS MULTIVARIADOS DE VOLATILIDADE. In: MPRA Paper. [Full Text][Citation analysis] | paper | 0 |
| 1991 | Co-Integração e suas Representações: Uma Resenha In: Brazilian Review of Econometrics. [Full Text][Citation analysis] | article | 0 |
| 1992 | The Effect of Overlapping Aggregation on Time Series Models: An Application to the Unemployment Rate in Brazil In: Brazilian Review of Econometrics. [Full Text][Citation analysis] | article | 1 |
| 2001 | Review of major results of Martingale theory applied to the valuation of contingent claims In: Brazilian Review of Econometrics. [Full Text][Citation analysis] | article | 2 |
| 2011 | Modeling and Forecasting of Realized Volatility: Evidence from Brazil In: Brazilian Review of Econometrics. [Full Text][Citation analysis] | article | 0 |
| 2013 | A Study of the Brazilian business cycles (1900 – 2012) In: Brazilian Review of Econometrics. [Full Text][Citation analysis] | article | 0 |
| 1984 | Variáveis dummies em regressão: uma consideração metodológica In: Brazilian Review of Econometrics. [Full Text][Citation analysis] | article | 0 |
| 1985 | The estimation of dynamic models with missing observations In: Brazilian Review of Econometrics. [Full Text][Citation analysis] | article | 1 |
| 1986 | Estimação do hiato do produto via componentes não observados In: Brazilian Review of Econometrics. [Full Text][Citation analysis] | article | 0 |
| 1987 | Missing observations in stochastic difference equation with arma errors In: Brazilian Review of Econometrics. [Full Text][Citation analysis] | article | 0 |
| 2002 | Switching Regime Models: applications to trading rules In: Computing in Economics and Finance 2002. [Citation analysis] | paper | 0 |
| 2004 | Effect of outliers on forecasting temporally aggregated flow variables In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research. [Full Text][Citation analysis] | article | 3 |
| 2005 | Income convergence clubs for Brazilian Municipalities: a non-parametric analysis In: Applied Economics. [Full Text][Citation analysis] | article | 25 |
| 2013 | Analysis of the volatilitys dependency structure during the subprime crisis In: Applied Economics. [Full Text][Citation analysis] | article | 2 |
| 2016 | Analysis of contagion from the dynamic conditional correlation model with Markov Regime switching In: Applied Economics. [Full Text][Citation analysis] | article | 11 |
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