Pedro L. Valls Pereira

@fgv.br

Professor of Financial Econometrics
Sao Paulo School of Economics - FGV

Pedro L. Valls Pereira


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https://researchid.co/pedrovalls53
Professor of Financial Econometrics at Sao Paulo School of Economics - FGV since 2008.
Professor of Finance at INSPER from 2000 to 2008
Associate Professor at Statistics Departament, Universidade de São Paulo 1990 to 2000

EDUCATION

Habilitation (Livre Docente) Universidade de São Paulo (1990)

PhD, Economics (Statistics) London School of Economics (1983)

MSc Statistics - IMPA (1978)

BSc Applied Mathematics - PUC-Rio (1974)

RESEARCH INTERESTS

Financial Econometrics; High Dimensional Model; Forecasting; Factor Models.
23

Scopus Publications

1574

Scholar Citations

22

Scholar h-index

43

Scholar i10-index

Scopus Publications

RECENT SCHOLAR PUBLICATIONS

  • Modeling how macroeconomic Shocks Affect Regional Employment: Analyzing the Brazilian Formal Labor Market Using the Global VAR Approach
    BTQ BARBOSA, EF MARÇAL, PLV Pereira
    Estudos Econômicos (São Paulo) 56 (01), e53575615 , 2026
    2026
  • Abordagens de multiplicador ótimo para estratégia de investimento do portfólio de proporção constante com segurança
    AB Oliveira, PLV Pereira
    Revista Brasileira de Economia 80 (1) , 2026
    2026
  • Forecasting intraday volatility and densities using deep learning
    B Morier, PLV Pereira
    The Quarterly Review of Economics and Finance, 102076 , 2025
    2025
    Citations: 4
  • Transmuting Unequally Spaced Data: A MIDAS Regression Touch to Forecast Real GDP Growth in Brazil
    J Ladeira Ferreira, PL Valls Pereira
    Journal of Business Cycle Research, 1-24 , 2025
    2025
  • Understanding and Forecasting the Effects of Global Shocks on Fuel Prices: The Brazilian case
    B Tebaldi, PL Valls Pereira, EF Marçal
    Pedro L. and Marçal, Emerson Fernandes, Understanding and Forecasting the … , 2025
    2025
  • Forecasting Regional Employment in the Presence of Structural Breaks: Analyzing the Brazilian Formal Labor Market using the Global VAR & IIS Approach
    B Tebaldi, PL Valls Pereira, EF Marçal
    Pedro L. and Marçal, Emerson Fernandes, Forecasting Regional Employment in … , 2025
    2025
  • Forecasting Bitcoin and Ethereum risk measures through MSGARCH models: Does the specification matter?
    L Hotta, C Trucíos, PLV Pereira, M Zevallos
    Brazilian Review of Finance 23, e202503-e202503 , 2025
    2025
    Citations: 6
  • Transmuting Unequally Spaced Data
    JL Ferreira, PLV Pereira
    Journal of Business Cycle Research 21 (1), 25-48 , 2025
    2025
    Citations: 1
  • Exploring co-explosive dynamics: Bitcoin price, attractiveness, and sentiment variables
    D de Prince, EF Marcal, PLV Pereira
    Economics Letters 246, 112072 , 2025
    2025
    Citations: 4
  • Does the private database help to explain Brazilian inflation?
    EF Marçal, PLV Pereira, D de Prince
    Time Series and Wavelet Analysis: Festschrift in Honor of Pedro A. Morettin … , 2024
    2024
  • Portfolio resampling in the Brazilian stock market: Can it outperforms Markowitz optimization?
    AB Oliveira, C Trucíos, PLV Pereira
    Brazilian Review of Finance 22 (3), 57-75 , 2024
    2024
    Citations: 3
  • Modelling Intraday Covariance
    PL Valls Pereira, B Morier
    Available at SSRN 5216831 , 2023
    2023
  • Modeling High Frequency Intraday Returns by Non-Linear State Space Models
    PL Valls Pereira, B Morier
    Available at SSRN 5216819 , 2023
    2023
  • Comparing the Accuracy of Inflation Forecasting in Brazil: A MIDAS Approach with Daily Online Prices versus Dynamic Factor Models
    B Tebaldi, D de Prince, PL Valls Pereira, H Vicente
    Diogo and Valls Pereira, Pedro L. and Vicente, Hully, Comparing the Accuracy … , 2022
    2022
    Citations: 1
  • Forecasting industrial production using its aggregated and disaggregated series or a combination of both: evidence from one emerging market economy
    D de Prince, EF Marçal, PL Valls Pereira
    Econometrics 10 (2), 27 , 2022
    2022
    Citations: 9
  • The analysis of default in a fan membership program: the use of credit scoring as sports management tool.
    VB Monteiro, PLV Pereira
    2022
  • Análise da inadimplência em um programa sócio-torcedor: o uso do credit scoring como ferramenta de gestão esportiva
    VB Monteiro, PLV Pereira
    PODIUM Sport, Leisure and Tourism Review 11 (1), 145-174 , 2022
    2022
    Citations: 4
  • Are Professional Forecasters rational? What is the role of instability and what variables affect them?
    D de Prince, PL Valls Pereira, EF Marçal
    What is the role of instability and what variables affect them , 2022
    2022
    Citations: 1
  • Forecasting conditional covariance matrices in high-dimensional time series: a general dynamic factor approach
    C Trucíos, JHG Mazzeu, M Hallin, LK Hotta, PL Valls Pereira, M Zevallos
    Journal of Business & Economic Statistics 41 (1), 40-52 , 2022
    2022
    Citations: 26
  • Strategies of portfolio investment with estimates of bull and bear markets
    PLV Pereira, AB Oliveira
    Brazilian Review of Finance 19 (4), 160-185 , 2021
    2021
    Citations: 3

MOST CITED SCHOLAR PUBLICATIONS

  • Small sample properties of GARCH estimates and persistence
    S Hwang, PL Valls Pereira
    The European Journal of Finance 12 (6-7), 473-494 , 2006
    2006
    Citations: 197
  • Convergence clubs among Brazilian municipalities
    E Andrade, M Laurini, R Madalozzo, PLV Pereira
    Economics letters 83 (2), 179-184 , 2004
    2004
    Citations: 122
  • Income convergence clubs for Brazilian municipalities: a non-parametric analysis
    M Laurini, E Andrade, PL Valls Pereira
    Applied Economics 37 (18), 2099-2118 , 2005
    2005
    Citations: 110
  • Evaluation of contagion or interdependence in the financial crises of Asia and Latin America, considering the macroeconomic fundamentals
    EF Marçal, PL Valls Pereira, DML Martin, WT Nakamura
    Applied Economics 43 (19), 2365-2379 , 2011
    2011
    Citations: 65
  • How persistent is stock return volatility? an answer with markov regime switching stochastic volatility models
    S Hwang, SE Satchell, PL Valls Pereira
    Journal of Business Finance & Accounting 34 (5‐6), 1002-1024 , 2007
    2007
    Citations: 60
  • Analysis of contagion from the dynamic conditional correlation model with Markov Regime switching
    PN Rotta, PL Valls Pereira
    Applied Economics 48 (25), 2367-2382 , 2016
    2016
    Citations: 47
  • APT e variáveis macroeconômicas: Um estudo empírico sobre o mercado acionário brasileiro
    A Schor, M BONOMO, PLV Pereira
    Finanças Aplicadas ao Brasil. BONOMO, Marco (Org.). 2nd ed. Rio de Janeiro … , 2004
    2004
    Citations: 40
  • Testing the hypothesis of contagion using multivariate volatility models
    EF Marçal, PLV Pereira
    Brazilian Review of Econometrics 28 (2), 191-216 , 2008
    2008
    Citations: 35
  • A estrutura a termo das taxas de juros no brasil: Testando a hipótese de expectativas
    EF Marçal, PLV Pereira
    Pesquisa e Planejamento Econômico , 2007
    2007
    Citations: 34
  • Alternative models to extract asset volatility: A comparative study
    PLV Pereira, LK Hotta, LAR de Souza, NMCG de Almeida
    Brazilian review of econometrics 19 (1), 57-109 , 1999
    1999
    Citations: 34
  • Taxa de câmbio real e paridade de poder de compra no Brasil
    PLV Pereira, M Holland
    Revista Brasileira de Economia 53 (3), 259-285 , 1999
    1999
    Citations: 33
  • Co-integração: uma resenha com aplicações a séries brasileiras
    PLV Pereira
    Brazilian Review of Econometrics 8 (2), 7-29 , 1988
    1988
    Citations: 31
  • Testes de exogeneidade fraca e superexogeneidade para a demanda por moeda no Brasil
    MI Nakane
    Banco Nacional de Desenvolvimento Econômico e Social , 1994
    1994
    Citations: 29
  • Forecasting conditional covariance matrices in high-dimensional time series: a general dynamic factor approach
    C Trucíos, JHG Mazzeu, M Hallin, LK Hotta, PL Valls Pereira, M Zevallos
    Journal of Business & Economic Statistics 41 (1), 40-52 , 2022
    2022
    Citations: 26
  • Paridade do poder de compra: testando dados brasileiros
    EF Marçal, PLV Pereira, OC Santos Filho
    Revista Brasileira de Economia 57, 159-190 , 2003
    2003
    Citations: 26
  • " Ombro-Cabeça-Ombro": Testando a Lucratividade do Padrão Gráfico de Anáise Técnica no Mercado de Ações Brasileiro
    PG Boainain, PLV Pereira
    Revista Brasileira de Finanças 7 (3), 265-303 , 2009
    2009
    Citations: 24
  • The effects of structural breaks in ARCH and GARCH parameters on persistence of GARCH models
    S Hwang, PL Valls Pereira
    Communications in Statistics—Simulation and Computation 37 (3), 571-578 , 2008
    2008
    Citations: 24
  • Análise do Desempenho de Regras da Análise Técnica Aplicada ao Mercado Intradiário do Contrato Futuro do Í ndice Ibovespa
    RF de Figueiredo Baptista, PLV Pereira
    Revista Brasileira de Finanças 6 (2), 205-234 , 2008
    2008
    Citations: 24
  • Closed form formula for the arbitrage free price of an option for the one day interfinancial deposits index
    CA Viera Neto, PLV Pereira
    Finance Lab Working Papers , 1999
    1999
    Citations: 24
  • Robustness and the general dynamic factor model with infinite-dimensional space: Identification, estimation, and forecasting
    C Trucíos, JHG Mazzeu, LK Hotta, PLV Pereira, M Hallin
    International Journal of Forecasting 37 (4), 1520-1534 , 2021
    2021
    Citations: 23