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Filtragem e previsao com modelos de volatilidade: volatilidade estocástica versus GARCH
Herencia, Mauricio Zevallos; Hotta, Luiz K.; Pereira, … - In: Revista brasileira de economia : RBE ; revista da … (1998) 2, pp. 241-278
Persistent link: https://www.econbiz.de/10008049317
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An analysis of contagion among Asian countries using the canonical model of contagion
Ribeiro, André L.P.; Hotta, Luiz K. - In: International review of financial analysis 29 (2013), pp. 62-69
Persistent link: https://www.econbiz.de/10010168907
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Quasi-maximum likelihood estimation of long-memory stochastic volatility models
Ferraz, Rosemeire O.; Hotta, Luiz K. - In: Brazilian review of econometrics : the review of the … 27 (2007) 2, pp. 225-233
Persistent link: https://www.econbiz.de/10009068988
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Exact maximum likelihood and Bayesian estimation of the stochastic volatility model
Motta, Anderson C. O.; Hotta, Luiz K. - In: Brazilian review of econometrics : the review of the … 23 (2003) 2, pp. 183-226
Persistent link: https://www.econbiz.de/10009084430
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Testing the hypothesis of contagion using multivariate volatility models
Marçal, Emerson Fernandes; Pereira, Pedro L. Valls - In: Brazilian review of econometrics : the review of the … 28 (2008) 2, pp. 191-216
Persistent link: https://www.econbiz.de/10010077046
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Review of major results of martingale theory applied to the valuation of contingent claims
Neto, Cícero Augusto Vieira; Pereira, Pedro L. Valls - In: Brazilian review of econometrics : the review of the … 21 (2001) 2, pp. 355-383
Persistent link: https://www.econbiz.de/10009089423
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Convergence clubs among Brazilian municipalities
Andrade, Eduardo; Laurini, Márcio; Madalozzo, Regina; … - In: Economics letters 83 (2004) 2, pp. 179-184
Persistent link: https://www.econbiz.de/10006757779
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Income convergence clubs for Brazilian Municipalities: a non-parametric analysis
Laurini, Márcio; Andrade, Eduardo; Valls Pereira, Pedro L. - In: Applied economics 37 (2005) 18, pp. 2099-2118
Persistent link: https://www.econbiz.de/10007638824
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Analysis of the volatilitys dependency structure during the subprime crisis
Arruda, Bruno P.; Valls Pereira, Pedro L. - In: Applied economics 45 (2013) 36, pp. 5031-5045
Persistent link: https://www.econbiz.de/10010182661
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How Persistent is Stock Return Volatility? An Answer with Markov Regime Switching Stochastic Volatility Models
Hwang, Soosung; Satchell, Steve E.; Valls Pereira, Pedro L. - In: Journal of business finance & accounting : JBFA 34 (2007) 5, pp. 1002
Persistent link: https://www.econbiz.de/10007750908