Selected Publications

01/2020

Empirical Finance

March Madness in Wall Street: (What) Does the Market Learn from Stress Tests?

Marcelo Fernandes, Deniz Igzan, Marcelo Pinheiro

Journal of Banking & Finance

01/2019

Empirical Finance

On the Robustness of Principal Volatility Components

Carlos Trucíos, Luiz K. Hotta, Pedro L. Valls Pereira

Journal of Empirical Finance

01/2015

Empirical Finance

Modeling and predicting the CBOE market volatility index

Marcelo Fernandes (with Marcelo Medeiros and Marcel Scharth)

Journal of Banking and Finance
Predictability of Equity Models

Pedro L. Valls Pereira (with R.Chicaroli)

Journal of Forecasting

01/2011

Empirical Finance

Evaluation of contagion or interdependence in the financial crises of Asia and Latin America, considering the macroeconomic fundamentals

P. L. VALLS PEREIRA (with E. F. Marçal, D. M. L. Martin & W. T. Nakamura)

Applied Economics

01/2008

Empirical Finance

The effects of structural breaks in ARCH and GARCH parameters on Persistence of GARCH models.

P. L. Valls Pereira and S. Hwang.

Communications in Statistics - Simulation and Computation

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