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Tendência estocástica do produto no Brasil : efeitos das flutuações da taxa de crescimento da produtividade e da taxa de juro real

Lima, Elcyon Caiado Rocha; Lopes, Hedibert Freitas; … - In: Pesquisa e planejamento econômico : PPE 25 (1995) 2, pp. 249-278

Persistent link: https://www.econbiz.de/10001234032

Modelos de volatilidade estocástica com deformação temporal : um estudo empírico para o índice Ibovespa

Ziegelmann, Flávio A. - In: Pesquisa e planejamento econômico : PPE 27 (1997) 2, pp. 353-375

Persistent link: https://www.econbiz.de/10001240326

Credit shocks and monetary policy in Brazil : a structural FAVAR approach

Fonseca, Marcelo Gonçalves da Silva; Pereira, Pedro L. … - In: Brazilian review of econometrics : BRE ; the review of … 32 (2012) 2, pp. 169-200

Persistent link: https://www.econbiz.de/10011538554

Forecasting conditional covariance matrices in high-dimensional time series : a general dynamic factor approach

Trucíos, Carlos; Mazzeu, João H. G.; Hallin, Marc; … - 2019

Persistent link: https://www.econbiz.de/10012064776

Analysis of contagion from the dynamic conditional correlation model with Markov Regime switching

Rotta, Pedro Nielsen; Pereira, Pedro L. Valls - In: Applied economics 48 (2016) 25/27, pp. 2367-2382

Persistent link: https://www.econbiz.de/10011590996

On the robustness of the principal volatility components

Trucíos, Carlos; Hotta, Luiz K.; Pereira, Pedro L. Valls - In: Journal of empirical finance 52 (2019), pp. 201-219

Persistent link: https://www.econbiz.de/10012171112

Speculative bubbles and contagion : analysis of volatility's clusters during the DotCom bubble based on the dynamic conditional correlation model

Herwarth Kohn, Maximilian-Benedikt; Pereira, Pedro L. Valls - In: Cogent economics & finance 5 (2017) 1, pp. 1-28

Reviewing the definition and measurement of speculative bubbles in context of contagion, this paper analyses the DotCom bubble in American and European equity markets using the dynamic conditional correlation (DCC) model proposed as on one hand as an econometrics explanation and on the other...

Persistent link: https://www.econbiz.de/10011887512

Paridade do Poder de Compra : testando dados Brasileiros

Marçal, Emerson Fernandes; Pereira, Pedro L. Valls; … - In: Revista brasileira de economia : RBE ; revista da … 57 (2003) 1, pp. 159-190

Persistent link: https://www.econbiz.de/10001810445

Alternative models to extract asset volatility: a comparative study

Pereira, Pedro L. Valls (contributor) - In: Revista de econometria 19 (1999) 1, pp. 57-109

Persistent link: https://www.econbiz.de/10001609694

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/10009627811