Pedro L. Valls Pereira

Sao Paulo School of Economics - FGV and CEQEF- FGV

Professor

Rua Itapeva 474 room 1006

São Paulo, São Paulo 01332-000

Brazil

http://sites.google.com/site/pedrovallspereira

SCHOLARLY PAPERS

17

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1,579

CITATIONS
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Top 37,774

in Total Papers Citations

9

Scholarly Papers (17)

1.

The Effects of Structural Breaks in Arch and GARCH Parameters on Persistence of GARCH Models

Cass Business School Research Paper
Number of pages: 13 Posted: 24 Nov 2004
Soosung Hwang and Pedro L. Valls Pereira
Sungkyunkwan University - Department of Economics and Sao Paulo School of Economics - FGV and CEQEF- FGV
Downloads 343 (85,887)

Abstract:

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Volatility, GARCH, Structural Breaks, Persistence

2.

Evaluation of Contagion or Interdependence in the Financial Crises of Asia and Latin America, Considering the Macroeconomic Fundamentals

Number of pages: 20 Posted: 20 Sep 2007 Last Revised: 13 Apr 2009
Sao Paulo School of Economics - FGV, Sao Paulo School of Economics - FGV and CEQEF- FGV, Mackenzie University and Mackenzie Presbiterian University - PPGAE
Downloads 264 (114,076)
Citation 4

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Contagion, Interdependence, Financial Crisis

3.

Options on the One Day Interfinancial Deposits Index: Derivation of a Formula for the Calculation of the Arbitrage Free Price

FinanceLab Working Paper No. 2000-04
Number of pages: 24 Posted: 08 Nov 2001
Pedro L. Valls Pereira
Sao Paulo School of Economics - FGV and CEQEF- FGV
Downloads 237 (127,387)

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Option Pricing; IDI; Martingale Theory

4.

Testing the Hypothesis of Contagion Using Multivariate Volatility Models

Number of pages: 30 Posted: 05 Apr 2009
Emerson Fernandes Marçal and Pedro L. Valls Pereira
Sao Paulo School of Economics - FGV and Sao Paulo School of Economics - FGV and CEQEF- FGV
Downloads 140 (204,228)
Citation 1

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Contagion, Multivariate Volatility Models

5.

Predictability of Equity Models

Number of pages: 32 Posted: 05 Apr 2009
Rodrigo Chicaroli and Pedro L. Valls Pereira
affiliation not provided to SSRN and Sao Paulo School of Economics - FGV and CEQEF- FGV
Downloads 133 (212,793)
Citation 1

Abstract:

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predictability, variance ratio profile, Monte Carlo simulation, reality check, bootstrap, technical analysis

6.

The Effects of Structural Breaks in ARCH and GARCH Parameters on Persistence of GARCH Models

Communications in Statistics - Simulation and Computation, Vol. 37, pp. 571-578, 2008
Number of pages: 8 Posted: 10 Sep 2008
Soosung Hwang and Pedro L. Valls Pereira
City University London and Sao Paulo School of Economics - FGV and CEQEF- FGV
Downloads 93 (274,577)

Abstract:

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GARCH, Persistence, Structural breaks, Volatility

7.

Testing the Long-Run Implications of the Expectation Hypothesis Using Co-integration Techniques with Structural Change

Number of pages: 14 Posted: 04 Dec 2007 Last Revised: 11 Sep 2013
Emerson Fernandes Marçal, Pedro L. Valls Pereira and Omar Abbara
Sao Paulo School of Economics - FGV, Sao Paulo School of Economics - FGV and CEQEF- FGV and Advisor Asset Management
Downloads 92 (276,427)

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Term structure, cointegration, structural change

8.

On the Robustness of the Principal Volatility Components

Number of pages: 37 Posted: 19 Mar 2018 Last Revised: 12 Dec 2018
Carlos Trucíos, Luiz Koodi Hotta and Pedro L. Valls Pereira
Sao Paulo School of Economics, FGV., University of Campinas (UNICAMP) - Department of Statistics and Sao Paulo School of Economics - FGV and CEQEF- FGV
Downloads 55 (367,464)
Citation 2

Abstract:

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Conditional Covariance Matrix, Constant Volatility, Curse of Dimensionality, Jumps, Outliers, Principal Components

9.

Evaluating the Existence of Structural Change in the Brazilian Term Structure of Interest: Evidence Based on Cointegration Models with Structural Break

Number of pages: 39 Posted: 25 Oct 2011
Emerson Fernandes Marçal and Pedro L. Valls Pereira
Sao Paulo School of Economics - FGV and Sao Paulo School of Economics - FGV and CEQEF- FGV
Downloads 53 (373,646)

Abstract:

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term structures, structural change

10.

Asset Allocation With Markovian Regime Switching: Efficient Frontier and Tangent Portfolio With Regime Switching

São Paulo School of Economics Working Paper, 2018
Number of pages: 27 Posted: 19 Mar 2018
Andre Barbosa Oliveira and Pedro L. Valls Pereira
Universidade Federal Fluminense - Departamento de Economia and Sao Paulo School of Economics - FGV and CEQEF- FGV
Downloads 47 (397,189)

Abstract:

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Portfolio Theory, Time Series Models With Markovian Regime Switching, Optimization Theory

11.

Evaluating the Existence of Structural Change in the Brazilian Term Structure of Interest Rate: Evidence Based on Cointegration Models with Structural Break

Number of pages: 31 Posted: 14 Sep 2012
Emerson Fernandes Marçal and Pedro L. Valls Pereira
Sao Paulo School of Economics - FGV and Sao Paulo School of Economics - FGV and CEQEF- FGV
Downloads 34 (443,511)

Abstract:

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Term structure of interest rates, Structural change, VECM

12.

Uncertainty Times for Portfolio Selection at Financial Market

Number of pages: 20 Posted: 19 Mar 2018
Andre Barbosa Oliveira and Pedro L. Valls Pereira
Universidade Federal Fluminense - Departamento de Economia and Sao Paulo School of Economics - FGV and CEQEF- FGV
Downloads 28 (471,206)

Abstract:

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Portfolio Optimization, Markov Chain, Multivariate Time Series Models, Markov Switching

13.

Speculative Bubbles and Contagion: Analysis of Volatility's Clusters During the Dotcom Bubble Based on the Dynamic Conditional Correlation Model

Number of pages: 17 Posted: 21 Jul 2017
Maximilian-Benedikt Herwarth Kohn and Pedro L. Valls Pereira
Getulio Vargas Foundation (FGV) - Sao Paulo School of Economics and Sao Paulo School of Economics - FGV and CEQEF- FGV
Downloads 19 (520,989)
Citation 1

Abstract:

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speculative bubbles, behavioral finance, financial contagion, DCC

14.

How Persistent is Stock Return Volatility? An Answer with Markov Regime Switching Stochastic Volatility Models

Journal of Business Finance & Accounting, Vol. 34, No. 5-6, pp. 1002-1024, June/July 2007
Number of pages: 23 Posted: 11 Jul 2007
Soosung Hwang, Stephen E. Satchell and Pedro L. Valls Pereira
Sungkyunkwan University - Department of Economics, University of Cambridge - Faculty of Economics and Politics and Sao Paulo School of Economics - FGV and CEQEF- FGV
Downloads 16 (538,253)
Citation 1
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15.

Effects of Official and Unofficial Central Bank Communication on the Brazilian Interest Rate Curve

Number of pages: 30 Posted: 19 Mar 2018 Last Revised: 23 Mar 2018
Luis Fernando Pereira and Pedro L. Valls Pereira
Getulio Vargas Foundation (FGV) - Sao Paulo School of Economics and Sao Paulo School of Economics - FGV and CEQEF- FGV
Downloads 13 (556,056)

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Text Data, Central Bank Communication, Volatility

16.

Forecasting Conditional Covariance Matrices in High-Dimensional Time Series: A General Dynamic Factor Approach

Number of pages: 32 Posted: 17 Jun 2019
Sao Paulo School of Economics, FGV., Universidad Carlos III de Madrid, ECARES, Universite Libre de Bruxelles, University of Campinas (UNICAMP) - Department of Statistics, Sao Paulo School of Economics - FGV and CEQEF- FGV and Universidade Estadual de Campinas (UNICAMP)
Downloads 12 (562,165)
Citation 2

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Dimension reduction, Large panels, High-dimensional time series, Minimum variance portfolio, Volatility, Multivariate GARCH

17.

Macroeconomic Indicators and Disaggregated Data Help to Predict Credit: A Study Based on Brazilian Data.

Posted: 21 Jul 2017 Last Revised: 12 Oct 2017
Pedro L. Valls Pereira
Sao Paulo School of Economics - FGV and CEQEF- FGV

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Forecasting, Model Selection, Default

Other Papers (3)

Total Downloads: 4
1.

Testando a Hipetese De Contegio a Partir De Modelos Multivariados De Volatilidade

Number of pages: 25 Posted: 11 Sep 2008
Pedro L. Valls Pereira
Sao Paulo School of Economics - FGV and CEQEF- FGV
Downloads 2

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Contegio, Modelos Multivariados de Volatilidade

2.

Previsibilidade Em Modelos De Acoes

Number of pages: 30 Posted: 11 Sep 2008
Rodrigo Chicaroli and Pedro L. Valls Pereira
affiliation not provided to SSRN and Sao Paulo School of Economics - FGV and CEQEF- FGV
Downloads 1

Abstract:

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previsibilidade, perfil de raz¿o de vari¿ncia, simula¿¿o de Monte Carlo, reality check, bootstrap, an¿lise t¿cnica

3.

Analise Do Desempenho De Regras Da Analise Tecnica Aplicada Ao Mercado Intradiario Do Contrato Futuro Do Indice Ibovespa

Number of pages: 30 Posted: 11 Sep 2008
Pedro L. Valls Pereira
Sao Paulo School of Economics - FGV and CEQEF- FGV
Downloads 1

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analise tecnica, dados intradiarios