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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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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
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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
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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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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
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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
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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
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Are Professional Forecasters Rational? Evidence for Brazilian Dataset
de Prince, Diogo - 2020
We test forecast rationality for Brazilian inflation using Survey of Professional Forecasters (SPF) for each month. We consider panel data traditional tests as Mincer and Zarnowitz (1969) and West and McCracken (1998) to verify if forecast errors have zero mean and are uncorrelated with the...
Persistent link: https://www.econbiz.de/10012840588
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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
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The Effects of Structural Breaks in Arch and GARCH Parameters on Persistence of GARCH Models
Hwang, Soosung; Valls Pereira, Pedro L. - 2004
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/10014068444