P
Pedro L. Valls Pereira
Researcher at Ibmec
Publications - 113
Citations - 819
Pedro L. Valls Pereira is an academic researcher from Ibmec. The author has contributed to research in topics: Volatility (finance) & Autoregressive conditional heteroskedasticity. The author has an hindex of 14, co-authored 110 publications receiving 779 citations. Previous affiliations of Pedro L. Valls Pereira include Fundação Getúlio Vargas & Universidade Nova de Lisboa.
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Small sample properties of GARCH estimates and persistence
TL;DR: In this article, it is shown that the ML estimates of the popular GARCH(1,1) model are significantly negatively biased in small samples and that in many cases converged estimates are not possible with Bollerslev's non-negativity conditions.
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Convergence clubs among Brazilian municipalities
TL;DR: In this article, the authors test the convergence hypothesis across Brazilian municipalities in Brazil from 1970 to 1996 using Quahs [Scand. Econ. 95 (4) (1993) 427; J.Econ. Growth 2 (1997) 27] methodology which is based on the dynamics of cross-section distributions of economies incomes.
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Income convergence clubs for Brazilian Municipalities: a non-parametric analysis
TL;DR: In this article, the authors analyzed the evolution of relative per capita income distribution of Brazilian municipalities over the period 1970-1996 using nonparametric methodologies and do not assume probability distributions or functional forms for the data.
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Evaluation of contagion or interdependence in the financial crises of Asia and Latin America, considering the macroeconomic fundamentals
Emerson Fernandes Marçal,Pedro L. Valls Pereira,Diógenes Manoel Leiva Martin,Wilson Toshiro Nakamura +3 more
TL;DR: In this article, the authors investigated the existence of contagion between countries on the basis of an analysis of returns for stock indices over the period 1994 to 2003, and provided evidence favorable for the hypothesis of regional contagion in both Latin America and Asia.
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Evaluation of contagion or interdependence in the financial crises of Asia and Latin America, considering the macroeconomic fundamentals
Pedro L. Valls Pereira,Emerson Fernandes Marçal,Diógenes Manoel Leiva Martin,Wilson Toshiro Nakamura +3 more
TL;DR: In this article, the authors investigated the existence of contagion between countries on the basis of an analysis of returns for stock indices over the period 1994-2003 and provided evidence favorable to the hypothesis of regional contagion in both Latin America and Asia.