Browsing by Author "Pereira, Pedro L. Valls"
Now showing items 41-51 of 51
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Previsão de retornos intradiários através de regressões usando funções-núcleo
2009-06-10The contributions of this paper are twofold. First we discuss and apply a method for the evaluation of non linear regressions in forecasting intraday returns of Brazilian stocks, in order to maximize the return of a simulated ... -
Realized volatility: evidence from Brazil
2012-11-09Using intraday data for the most actively traded stocks on the São Paulo Stock Market (BOVESPA) index, this study considers two recently developed models from the literature on the estimation and prediction of realized ... -
Robustness and the general dynamic factor model with infinite-dimensional space: identification, estimation, and forecasting
2020-02General dynamic factor models have demonstrated their capacity to circumvent the curse of dimensionality in time series and have been successfully applied in many economic and financial applications. However, their performance ... -
Sistemas técnicos de trading no mercado de ações brasileiro: testando a hipótese de eficiência de mercado em sua forma fraca e avaliando se a análise técnica agrega valor
2010-06-29The purpose of this job is to examine if the technical analysis may or may not add value to investment decisions. Through the development of confidence intervals, constructed using the technique of Bootstrap sample inference, ... -
Speculative bubbles and contagion: analysis of volatility's clusters during the DotCom bubble based on the dynamic conditional correlation model
2016-05-16Reviewing the de nition and measurement of speculative bubbles in context of contagion, this paper analyses the DotCom bubble in American and European equity markets using the dynamic conditional correlation (DCC) model ... -
A substituição de moeda no Brasil: a moeda indexada
1993-11-01 -
Testando o poder preditivo do VIX: uma aplicação do modelo de erro multiplicativo
2012-07-05O VIX Volatility Index surgiu como uma alternativa no cálculo da volatilidade implícita, visando mitigar alguns problemas encontrados em modelos da família Black-Scholes. Este tipo de volatilidade é tida como a melhor ... -
Testing the hypothesis of contagion using multivariate volatility models
2008-11-01The aim of this paper is to test whether or not there was evidence of contagion across the various financial crises that assailed some countries in the 1990s. Data on sovereign debt bonds for Brazil, Mexico, Russia and ... -
Testing the hypothesis of contagion using multivariate volatility models
2009-01-26The aim of this paper is to test whether or not there was evidence of contagion across the various financial crises that assailed some countries in the 1990s. Data on sovereign debt bonds for Brazil, Mexico, Russia and ... -
Testing the long-run implications of the expectation hypothesis using cointegration techniques with structural change
2009-01-26This paper investigates whether or not multivariate cointegrated process with structural change can describe the Brazilian term structure of interest rate data from 1995 to 2006. In this work the break point and the number ... -
Uncertainty times for portfolio selection at financial market
2018-03The financial market presents non-linearities for the behavior of stock returns for periods of high and low market. This article studies portfolios whose variance-covariance matrices are estimates using a multivariate model ...
