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Evaluating Value-at-Risk Models: a comparison between traditional models and conditional variance models.

Mollica, M; Pereira, Pedro L. Valls - Insper Instituto de Ensino e Pesquisa - 2001

Persistent link: https://www.econbiz.de/10005086218

Nonlinear Models in Finance: previsibility of financial markets and applications to risk management

Da Luz Correa, M. M. R.; Pereira, Pedro L. Valls - Insper Instituto de Ensino e Pesquisa - 1998

Persistent link: https://www.econbiz.de/10005086220

Small Sample Properties of GARCH Estimates and Persistence

Hwang. S.; Pereira, Pedro L. Valls - Insper Instituto de Ensino e Pesquisa - 2003

Persistent link: https://www.econbiz.de/10005086234

Modeling the Term Structure of Interest Rate

Viera Neto, C.A.; Pereira, Pedro L. Valls - Insper Instituto de Ensino e Pesquisa - 2000

Persistent link: https://www.econbiz.de/10005086237

Markovian Switch Models: applications to financial time series

Rabi Jr, L.; Pereira, Pedro L. Valls - Insper Instituto de Ensino e Pesquisa - 2000

Persistent link: https://www.econbiz.de/10005086238

Modelando contágio financeiro através de cópulas

Santos, Ricardo Pires de Souza; Pereira, Pedro L. Valls - Escola de Economia de São Paulo (EESP), Fundação … - 2011

This article aims to test the hypothesis of contagion between the in- dices of nancial markets from the United States to Brazil, Japan and England for the period 2000 to 2009. Time varying copulas were used to capture the impact of Sub-prime crisis in the dependence between mar- kets. The...

Persistent link: https://www.econbiz.de/10009643882

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/10010077046

Review of major results of martingale theory applied to the valuation of contingent claims

Neto, Cícero Augusto Vieira; Pereira, Pedro L. Valls - In: Brazilian review of econometrics : the review of the … 21 (2001) 2, pp. 355-383

Persistent link: https://www.econbiz.de/10009089423

Purchasing Parity Power: the empirical evidence for Brazil

Marçal, E.F.; Pereira, Pedro L. Valls; Canuto, O. - Insper Instituto de Ensino e Pesquisa - 2000

Persistent link: https://www.econbiz.de/10005112620

Income Convergence Clubs for Brazilian Municipalities: A Non-Parametric Analysis (english version of WPE-6/2003)

Laurini, M.; Andrade, E; Pereira, Pedro L. Valls - Insper Instituto de Ensino e Pesquisa - 2004

Persistent link: https://www.econbiz.de/10005112640