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Small sample properties of GARCH estimates and persistence

Hwang, Soosung; Pereira, Pedro L. Valls - In: The European journal of finance 12 (2006) 6/7, pp. 473-494

Persistent link: https://www.econbiz.de/10003382813

The Effects of Structural Breaks in ARCH and GARCH Parameters on Persistence of GARCH Models

Hwang, Soosung; Valls Pereira, Pedro L. - 2009

We show that persistence of conditional volatility in large samples could be exaggerated by the existence of structural breaks in the ARCH and GARCH parameters. Our results suggest that extreme persistence frequently observed in index volatility does not necessarily indicate the same level of...

Persistent link: https://www.econbiz.de/10014214849

The Effects of Structural Breaks in Arch and GARCH Parameters on Persistence of GARCH Models

Hwang, Soosung; Valls Pereira, Pedro L. - 2004

Persistent link: https://www.econbiz.de/10014068444

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

Analysis of the volatility's dependency structure during the subprime crisis

Arruda, Bruno P.; Pereira, Pedro L. Valls - In: Applied economics 45 (2013) 34/36, pp. 5031-5045

Persistent link: https://www.econbiz.de/10010225760

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

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

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

Dynamic D-vine copula model with applications to Value-at-Risk (VaR)

Tófoli, Paula V.; Ziegelmann, Flávio A.; Candido, Osvaldo - In: Journal of time series econometrics 11 (2019) 2, pp. 1-34

Persistent link: https://www.econbiz.de/10012022874

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