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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

A estrutura a termo das taxas de juros no Brasil : testando a hipótese de expectativas racionais

Marçal, Emerson Fernandes; Pereira, Pedro L. Valls - In: Pesquisa e planejamento econômico : PPE 37 (2007) 1, pp. 113-147

Persistent link: https://www.econbiz.de/10003507373

Income convergence clubs for Brazilian municipalities : a non-parametric analysis

Laurini, Márcio Poletti; Andrade, Eduardo de Carvalho; … - In: Applied economics 37 (2005) 18, pp. 2099-2118

Persistent link: https://www.econbiz.de/10003180263

Estratégias de investimento em portfólioscom estimativas de alta e baixa domercado financeiro

Pereira, Pedro L. Valls; Oliveira, André Barbosa - In: Revista Brasileira de Finanças : RBFin 19 (2021) 4, pp. 160-185

Persistent link: https://www.econbiz.de/10012804851

Predictability of equity models

Chicaroli, Rodrigo; Pereira, Pedro L. Valls - In: Journal of forecasting 34 (2015) 6, pp. 427-440

Persistent link: https://www.econbiz.de/10011342711

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

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

Forecasting industrial production using its aggregated and disaggregated series or a combination of both : evidence from one emerging market economy

Prince, Diogo de; Marçal, Emerson Fernandes; Pereira, … - In: Econometrics : open access journal 10 (2022) 2, pp. 1-34

In this paper, we address whether using a disaggregated series or combining an aggregated and disaggregated series improves the forecasting of the aggregated series compared to using the aggregated series alone. We used econometric techniques, such as the weighted lag adaptive least absolute...

Persistent link: https://www.econbiz.de/10013355068

Paridade do Poder de Compra: Testando Dados Brasileiros

Marçal, Emerson Fernandes; Pereira, Pedro Luiz Valls; … - In: Revista Brasileira de Economia 57 (2003) 1

Persistent link: https://www.econbiz.de/10011158885