Recent Publications

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

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

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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