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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
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Co-integração e suas representações : uma resenha
Pereira, Pedro L. Valls - In: Revista de econometria 11 (1991) 2, pp. 185-215
Persistent link: https://www.econbiz.de/10001133312
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Missing observations in stochastic difference equation with arma errors
Pereira, Pedro L. Valls - In: Revista de econometria 7 (1987) 1, pp. 5-34
Persistent link: https://www.econbiz.de/10001058448
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Modelo de previsão do comércio exterior brasileiro
Pereira, Pedro L. Valls - 1991
Persistent link: https://www.econbiz.de/10000840579
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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
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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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The effect of overlapping aggregation on time series models : an application to the unemployment rate in Brazil
Hotta, Luiz K. - In: Revista de econometria 12 (1992) 2, pp. 223-240
Persistent link: https://www.econbiz.de/10001144568
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Previsão da produção industrial : indicadores antecedentes e modelos de série temporal
Markwald, Ricardo A. - In: Pesquisa e planejamento econômico : PPE 19 (1989) 2, pp. 233-253
Persistent link: https://www.econbiz.de/10001092077
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Robustness and the general dynamic factor model with infinite-dimensional space : identification, estimation, and forecasting
Trucíos, Carlos; Mazzeu, João H. G.; Hotta, Luiz K.; … - In: International journal of forecasting 37 (2021) 4, pp. 1520-1534
Persistent link: https://www.econbiz.de/10013274311