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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
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How persistent is stock return volatility? : an answer with Markov regime switching stochastic volatility models
Hwang, Soosung; Satchell, Stephen; Pereira, Pedro L. Valls - In: Journal of business finance & accounting : JBFA 34 (2007) 5/6, pp. 1002-1024
Persistent link: https://www.econbiz.de/10003507264
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Evaluation of contagion or interdependence in the financial crises of Asia and Latin America, considering the macroeconomic fundamentals
Marçal, Emerson Fernandes; Pereira, Pedro L. Valls; … - In: Applied economics 43 (2011) 19/21, pp. 2365-2379
Persistent link: https://www.econbiz.de/10009379734
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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
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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
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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
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Forecasting conditional covariance matrices in high-dimensional time series : a general dynamic factor approach
Trucíos, Carlos; Mazzeu, João H. G.; Hallin, Marc; … - In: Journal of business & economic statistics : JBES ; a … 41 (2023) 1, pp. 40-52
Persistent link: https://www.econbiz.de/10013540629