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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

A study of the Brazilian business cycles (1900-2012)

Vieira, Heleno Piazentini; Pereira, Pedro L. Valls - In: Brazilian review of econometrics : BRE ; the review of … 33 (2013) 2, pp. 123-143

Persistent link: https://www.econbiz.de/10011538645

Asset allocation with Markovian regime switching : efficient frontier and tangent portfolio with regime switching

Oliveira, André Barbosa; Pereira, Pedro L. Valls - In: Brazilian review of econometrics : BRE ; the review of … 38 (2018) 1, pp. 97-127

Persistent link: https://www.econbiz.de/10012129068

Modeling and forecasting realized volatility : evidence from Brazil

Wink Junior, Marcos Vinício; Pereira, Pedro L. Valls - In: Brazilian review of econometrics : BRE ; the review of … 31 (2011) 2, pp. 315-337

Persistent link: https://www.econbiz.de/10010402885

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/10011988812