Listagem FGV EESP - Textos para Discussão / Working Paper Series por autor "Pereira, Pedro L. Valls"
Itens para a visualização no momento 21-37 of 37
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Modelando a volatilidade dos retornos de Petrobrás usando dados de alta frequência
2010-06-29The aim of this paper is to assess the empirical characteristics of a high-frequency return series of one of the main assets traded at the São Paulo Stock Exchange. We are interested in modeling the conditional volatility ... -
Modelando contágio financeiro através de cópulas
2011-06-02This article aims to test the hypothesis of contagion between the indices 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 ... -
Mudança de regime e efeito ARCH em volatilidade: um estudo dos choques das cotações do Petróleo
2018-03O petróleo é uma importante commodity energética, sendo insumo em diferentes atividades, possuindo efeito direto ou indireto sobre vários setores na economia. Esta commodity tem preços instáveis, resultado de choques ... -
Mudanças de regime e persistência dos choques sobre a volatilidade para a série de preços do petróleo: uma análise comparativa da família GARCH e modelos com mudança de regime Markoviana – MSIH e SWARCH
2012-08-28A previsão dos preços do petróleo é fundamental para o planejamento energético e oferece subsídio a tomada de decisões de longo prazo, que envolvem custos irrecuperáveis. No entanto, os preços do petróleo são muito instáveis ... -
Ombro-cabeça-ombro: testando a lucratividade do padrão gráfico de análise técnica no mercado de ações brasileiro
2009-01-26Starting from an adapted version of Osler and Chang (1995) methodology, this article empirically evaluates the profitability of investment strategies based on identification of the Head and Shoulders chart pattern in the ... -
On the robustness of the principal volatility components
2018-03In this paper, we analyse the recent principal volatility components analysis procedure. The procedure overcomes several diculties in modelling and forecasting the conditional covariance matrix in large dimensions arising ... -
Portfolio pumping no mercado acionário brasileiro
2018-03Neste artigo, discutimos a prática de portfolio pumping para o caso brasileiro. Embora o tema seja frequente em outros países, são poucos os estudos que realizam essa análise para o Brasil. O estudo estatístico foi realizado ... -
Predictability of equity models
2009-01-27In this study, we verify the existence of predictability in the Brazilian equity market. Unlike other studies in the same sense, which evaluate original series for each stock, we evaluate synthetic series created on the ... -
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 ... -
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
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 ...
