Browsing Produção Intelectual em Bases Externas by Author "Pereira, Pedro L. Valls"
Now showing items 1-5 of 5
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Analysis of contagion from the dynamic conditional correlation model with Markov Regime switching
2016Over the last decades, the transmissions of international financial events have been the subject of many academic studies focused on multivariate volatility models. This study evaluates the financial contagion between stock ... -
Analysis of the volatility's dependency structure during the subprime crisis
2013-12-01In this article, we test the hypothesis of contagion amongst sectors within the United States' economy during the subprime crisis. The econometric methodology applied here is based on the dynamic conditional correlation ... -
Modeling and forecasting of realized volatility: evidence from Brazil
2011-12-02Using intraday data for the most actively traded stocks of BOVESPA, this work has considered tworecently developed models in the literature of the estimation and forecasting of realized volatility; TheHeterogeneous ... -
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 ...
