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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

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

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

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

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

Modelos de volatilidade estocástica com deformação temporal : um estudo empírico para o índice Ibovespa

Ziegelmann, Flávio A. - In: Pesquisa e planejamento econômico : PPE 27 (1997) 2, pp. 353-375

Persistent link: https://www.econbiz.de/10001240326

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