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

  • Sao Paulo School of Economics - FGV and CEQEF- FGV

    • Email
    • Tel: 55+11+37993726
    • Fax: 55+11+37993357
SCHOLARLY PAPERS

21

DOWNLOADS
Rank 36,840

SSRN RANKINGS

Top 36,840

in Total Papers Downloads

2,367

SSRN CITATIONS
Rank 44,141

SSRN RANKINGS

Top 44,141

in Total Papers Citations

16

CROSSREF CITATIONS

2

Scholarly Papers (21)

Actions:
Email selected abstracts
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 368 (140,372)
Citation 2

Abstract:

Loading...

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
Emerson Fernandes Marçal, Pedro L. Valls Pereira, Diógenes Manoel Leiva Martin and Wilson Toshiro Nakamura
Sao Paulo School of Economics - FGV, Sao Paulo School of Economics - FGV and CEQEF- FGV, Mackenzie University and Mackenzie Presbiterian University - PPGAE
Downloads 309 (169,382)
Citation 2

Abstract:

Loading...

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 262 (200,587)

Abstract:

Loading...

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 167 (303,999)
Citation 2

Abstract:

Loading...

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 152 (329,122)

Abstract:

Loading...

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

6.

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
University of Campinas (UNICAMP) - Department of Statistics, University of Campinas (UNICAMP) - Department of Statistics and Sao Paulo School of Economics - FGV and CEQEF- FGV
Downloads 142 (349,592)
Citation 3

Abstract:

Loading...

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

7.

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

Number of pages: 36 Posted: 17 Jun 2019 Last Revised: 28 Sep 2020
Carlos Trucíos, João Henrique Gonçalves Mazzeu, Marc Hallin, Luiz Koodi Hotta, Pedro L. Valls Pereira and Mauricio Zevallos
University of Campinas (UNICAMP) - Department of Statistics, Charles III University of 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 136 (359,542)
Citation 4

Abstract:

Loading...

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

8.

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 affiliation not provided to SSRN
Downloads 111 (418,224)

Abstract:

Loading...

Term structure, cointegration, structural change

9.

Forecasting Inflation using Online Daily Prices: A MIDAS Approach for Brazil

Number of pages: 29 Posted: 08 Apr 2022
Hully de Oliveira Rolemberg Vicente and Pedro L. Valls Pereira
Daemon Investimentos and Sao Paulo School of Economics - FGV and CEQEF- FGV
Downloads 108 (426,578)

Abstract:

Loading...

Inflation, Forecasting, MIDAS, Online Prices.

10.

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 105 (435,156)

Abstract:

Loading...

GARCH, Persistence, Structural breaks, Volatility

11.

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
UFF - Universidade Federal Fluminense - Departamento de Economia and Sao Paulo School of Economics - FGV and CEQEF- FGV
Downloads 92 (475,565)
Citation 2

Abstract:

Loading...

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

12.

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 71 (554,229)

Abstract:

Loading...

term structures, structural change

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 66 (576,202)

Abstract:

Loading...

speculative bubbles, behavioral finance, financial contagion, DCC

14.

Uncertainty Times for Portfolio Selection at Financial Market

Number of pages: 20 Posted: 19 Mar 2018
Andre Barbosa Oliveira and Pedro L. Valls Pereira
UFF - Universidade Federal Fluminense - Departamento de Economia and Sao Paulo School of Economics - FGV and CEQEF- FGV
Downloads 54 (635,575)

Abstract:

Loading...

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

15.

Are Professional Forecasters rational? What is the role of instability and what variables affect them?

Number of pages: 41 Posted: 24 Mar 2020 Last Revised: 22 Feb 2022
Diogo de Prince, Pedro L. Valls Pereira and Emerson Fernandes Marçal
Getulio Vargas Foundation (FGV) - Sao Paulo School of Economics, Sao Paulo School of Economics - FGV and CEQEF- FGV and Sao Paulo School of Economics - FGV
Downloads 52 (646,662)

Abstract:

Loading...

Rationality, Forecast, Inflation

16.

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 50 (657,746)
Citation 1

Abstract:

Loading...

Term structure of interest rates, Structural change, VECM

17.

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 45 (687,656)

Abstract:

Loading...

Text Data, Central Bank Communication, Volatility

18.

Robustness and the General Dynamic Factor Model With Infinite-Dimensional Space: Identification, Estimation, and Forecasting

Number of pages: 33 Posted: 15 Jan 2020 Last Revised: 30 Sep 2020
Carlos Trucíos, João Henrique Gonçalves Mazzeu, Luiz Koodi Hotta, Pedro L. Valls Pereira and Marc Hallin
University of Campinas (UNICAMP) - Department of Statistics, Charles III University of Madrid, University of Campinas (UNICAMP) - Department of Statistics, Sao Paulo School of Economics - FGV and CEQEF- FGV and ECARES, Universite Libre de Bruxelles
Downloads 38 (734,171)
Citation 2

Abstract:

Loading...

Dimension reduction, Forecast, Jumps, Large panels

19.

Does Portfolio Resampling Really Improve Out-of-Sample Performance? Evidence From the Brazilian Market

Number of pages: 22 Posted: 21 Nov 2022
Andre Barbosa Oliveira, Carlos Trucíos and Pedro L. Valls Pereira
UFF - Universidade Federal Fluminense - Departamento de Economia, University of Campinas (UNICAMP) - Department of Statistics and Sao Paulo School of Economics - FGV and CEQEF- FGV
Downloads 29 (802,188)

Abstract:

Loading...

Bootstrapping; Covariance Matrix; Diversification; Efficient Frontier; Markowitz; Portfolio Allocation.

20.

Does Portfolio Resampling Really Improve Out-of-Sample Performance? Evidence from the Brazilian and Us Markets

Number of pages: 28 Posted: 26 Jul 2023
Andre Oliveira, Carlos Trucíos and Pedro L. Valls Pereira
affiliation not provided to SSRN, University of Campinas (UNICAMP) - Department of Statistics and Sao Paulo School of Economics - FGV and CEQEF- FGV
Downloads 10 (979,036)

Abstract:

Loading...

Bootstrapping, Covariance Matrix, Diversification, Efficient Frontier, Markowitz, Portfolio Allocation

21.

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

Abstract:

Loading...

Forecasting, Model Selection, Default

Other Papers (3)

Total Downloads: 76
Actions:
Email selected abstracts
1.

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 43

Abstract:

Loading...

analise tecnica, dados intradiarios

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 21

Abstract:

Loading...

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

3.

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 12

Abstract:

Loading...

Contegio, Modelos Multivariados de Volatilidade