Pedro L. Valls Pereira

@fgv.br

Professor of Financial Econometrics
Sao Paulo School of Economics - FGV



                                

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.

19

Scopus Publications

1459

Scholar Citations

20

Scholar h-index

41

Scholar i10-index

Scopus Publications

  • Exploring co-explosive dynamics: Bitcoin price, attractiveness, and sentiment variables
    Diogo de Prince, Emerson Fernandes Marçal, and Pedro L. Valls Pereira
    Elsevier BV

  • Forecasting Industrial Production Using Its Aggregated and Disaggregated Series or a Combination of Both: Evidence from One Emerging Market Economy
    Diogo de Prince, Emerson Fernandes Marçal, and Pedro L. Valls Pereira
    MDPI AG
    In this paper, we address whether using a disaggregated series or combining an aggregated and disaggregated series improves the forecasting of the aggregated series compared to using the aggregated series alone. We used econometric techniques, such as the weighted lag adaptive least absolute shrinkage and selection operator, and Exponential Triple Smoothing (ETS), as well as the Autometrics algorithm to forecast industrial production in Brazil one to twelve months ahead. This is the novelty of the work, as is the use of the average multi-horizon Superior Predictive Ability (aSPA) and uniform multi-horizon Superior Predictive Ability (uSPA) tests, used to select the best forecasting model by combining different horizons. Our sample covers the period from January 2002 to February 2020. The disaggregated ETS has a better forecast performance when forecasting horizons that are more than one month ahead using the mean square error, and the aggregated ETS has better forecasting ability for horizons equal to 1 and 2. The aggregated ETS forecast does not contain information that is useful for forecasting industrial production in Brazil beyond the information already found in the disaggregated ETS forecast between two and twelve months ahead.

  • Forecasting Conditional Covariance Matrices in High-Dimensional Time Series: A General Dynamic Factor Approach
    Carlos Trucíos, João H. G. Mazzeu, Marc Hallin, Luiz K. Hotta, Pedro L. Valls Pereira, and Mauricio Zevallos
    Informa UK Limited
    Abstract Based on a General Dynamic Factor Model with infinite-dimensional factor space and MGARCH volatility models, we develop new estimation and forecasting procedures for conditional covariance matrices in high-dimensional time series. The finite-sample performance of our approach is evaluated via Monte Carlo experiments and outperforms the most alternative methods. This new approach is also used to construct minimum one-step-ahead variance portfolios for a high-dimensional panel of assets. The results are shown to match the results of recent proposals by Engle, Ledoit, and Wolf and achieve better out-of-sample portfolio performance than alternative procedures proposed in the literature.

  • Robustness and the general dynamic factor model with infinite-dimensional space: Identification, estimation, and forecasting
    Carlos Trucíos, João H.G. Mazzeu, Luiz K. Hotta, Pedro L. Valls Pereira, and Marc Hallin
    Elsevier BV

  • On the robustness of the principal volatility components
    Carlos Trucíos, Luiz K. Hotta, and Pedro L. Valls Pereira
    Elsevier BV

  • Dynamic D-Vine Copula Model with Applications to Value-at-Risk (VaR)
    Paula V. Tófoli, Flávio A. Ziegelmann, Osvaldo Candido, and Pedro L. Valls Pereira
    Walter de Gruyter GmbH
    Abstract Vine copulas are multivariate dependence models constructed from pair-copulas (bivariate copulas). In this paper, we allow the dependence parameters of the pair-copulas in a D-vine decomposition to be potentially time-varying, following a restricted ARMA(1, m) process, in order to obtain a very flexible dependence model for applications to multivariate financial return data. We investigate the dependence among the broad stock market indexes from Germany (DAX), France (CAC 40), Britain (FTSE 100), the United States (S&P 500) and Brazil (IBOVESPA) both in a crisis and in a non-crisis period. We find evidence of stronger dependence among the indexes in bear markets. Surprisingly, though, the dynamic D-vine copula indicates the occurrence of a sharp decrease in dependence between the indexes FTSE and CAC in the beginning of 2011, and also between CAC and DAX during mid-2011 and in the beginning of 2008, suggesting the absence of contagion in these cases. We evaluate the dynamic D-vine copula with respect to Value-at-Risk (VaR) forecasting accuracy in crisis periods. The dynamic D-vine outperforms the static D-vine in terms of predictive accuracy for our real data sets. We also investigate the dynamic D-vine copula in a simulation study and the overall results of the Monte Carlo experiments are quite favorable to the dynamic D-vine copula in comparison with a static D-vine copula.

  • Speculative bubbles and contagion: Analysis of volatility’s clusters during the DotCom bubble based on the dynamic conditional correlation model
    Maximilian-Benedikt Herwarth Kohn and Pedro L. Valls Pereira
    Informa UK Limited
    Reviewing the definition and measurement of speculative bubbles in context of contagion, this paper analyses the DotCom bubble in American and European equity markets using the dynamic conditional correlation (DCC) model proposed as on one hand as an econometrics explanation and on the other hand the behavioral finance as an psychological explanation. Contagion is defined in this context as the statistical break in the computed DCCs as measured by the shifts in their means and medians. Even it is astonishing, that the contagion is lower during price bubbles, the main finding indicates the presence of contagion in the different indices among those two continents and prove the presence of structural changes during financial crisis.

  • Analysis of contagion from the dynamic conditional correlation model with Markov Regime switching
    Pedro Nielsen Rotta and Pedro L. Valls Pereira
    Informa UK Limited
    ABSTRACT Over 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 market returns. The econometric model employed, regime switching dynamic correlation (RSDC). A modification was made in the original RSDC model, the introduction of the GJR-GARCH-N and also GJR-GARCH-t models, on the equation of conditional univariate variances, thus allowing us to capture the asymmetric effects in volatility and also heavy tails. A database was built using series of indices in the United States (S&P500), the United Kingdom (FTSE100), Brazil (IBOVESPA) and South Korea (KOSPI) from 1 February 2003 to 20 September 2012. Throughout this study the methodology is compared with those frequently found in literature, and the model RSDC with two regimes was defined as the most appropriate for the selected sample with t-Student distribution in the disturbances. The adapted RSDC model used in this article can be used to detect contagion – considering the definition of financial contagion from the World Bank called very restrictive – with the help of the empirical exercise.

  • Predictability of Equity Models
    Rodrigo Chicaroli and Pedro L. Valls Pereira
    Wiley

  • Analysis of the volatility's dependency structure during the subprime crisis
    Bruno P. Arruda and Pedro L. Valls Pereira
    Informa UK Limited
    In 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 model proposed by Engle (2002). Further, we applied several Lagrange multiplier (LM)-robust tests to test whether there were structural breaks in series’ dependency structures during the period of interest. Events theoretically classified as relevant to the crisis upshots as well as the interactions between the moments of the series were used as indicator functions to the referred structural breaks. The main conclusion of this study is that one can indeed observe contagion within almost all pairs of sectors’ indices. Thus, we conclude that the dependency structure of the sectors of interest has faced structural changes during the years of 2007 and 2008. Hence, diversification strategies as well as the risk analysis inherent to the portfolios’ management may have been drastically affected.

  • Contagion or Interdependence in the Financial Markets of Asia, Latin America, and the United States: From Tequila Effect to the Subprime Crisis
    Emerson Fernandes Marcal, Pedro L. Valls Pereira, Diogenes Manoel Leiva Martin, Wilson Toshiro Nakamura, and Wagner Oliveira Monteiro
    Wiley

  • 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, and Wilson Toshiro Nakamura
    Informa UK Limited
    This article investigates the existence of contagion between countries on the basis of an analysis of returns for stock indices over the period 1994 to 2003. The econometrics methodology used is that of multivariate Generalized Autoregressive Conditional Heteroscedasticity (GARCH) family volatility models, particularly the Dynamic Conditional Correlation (DCC) models in the form proposed by Engle and Sheppard (2001). The returns were duly corrected for a series of country-specific fundamentals. The relevance of this procedure is highlighted in the literature by the work of Pesaran and Pick (2003). The results obtained in this article provide evidence favourable for the hypothesis of regional contagion in both Latin America and Asia. As a rule, contagion spread from the Asian crisis to Latin America, but not in the opposite direction.

  • Conditional stochastic kernel estimation by nonparametric methods
    Márcio Poletti Laurini and Pedro L. Valls Pereira
    Elsevier BV

  • How persistent is stock return aolatility? An answer with Markov regime switching stochastic volatility models
    Soosung Hwang, Steve E. Satchell, and Pedro L. Valls Pereira
    Wiley
    We propose generalised stochastic volatility models with Markov regime changing state equations (SVMRS) to investigate the important properties of volatility in stock returns, specifically high persistence and smoothness. The model suggests that volatility is far less persistent and smooth than the conventional GARCH or stochastic volatility. Persistent short regimes are more likely to occur when volatility is low, while far less persistence is likely to be observed in high volatility regimes. Comparison with different classes of volatility supports the SVMRS as an appropriate proxy volatility measure. Our results indicate that volatility could be far more difficult to estimate and forecast than is generally believed.

  • Small sample properties of GARCH estimates and persistence
    Soosung Hwang and Pedro L. Valls Pereira
    Informa UK Limited
    Abstract 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. Results also indicate that a high level of persistence in GARCH(1,1) models obtained using a large number of observations has autocorrelations lower than these ML estimates suggest in small samples. Considering the size of biases and convergence errors, it is proposed that at least 250 observations are needed for ARCH(1) models and 500 observations for GARCH(1,1) models. A simple measure of how much GARCH conditional volatility explains squared returns is proposed. The measure indicates that for a typical index return volatility whose ARCH parameter is very small, the conditional volatility hardly explains squared returns.

  • Income convergence clubs for Brazilian municipalities: A non-parametric analysis
    Márcio Laurini, Eduardo Andrade, and Pedro L. Valls Pereira
    Informa UK Limited
    This article analyses the evolution of relative per capita income distribution of Brazilian municipalities over the period 1970–1996. Analyses are based on non-parametric methodologies and do not assume probability distributions or functional forms for the data. Two convergence tests have been carried out – a test for sigma convergence based on the bootstrap principle and a beta convergence test using smoothing splines for the growth regressions. The results obtained demonstrate the need to model the dynamics of income for Brazilian municipalities as a process of convergence clubs, using the methodology of transition matrices and stochastic kernels. The results show the formation of two convergence clubs, a low income club formed by the municipalities of the North and Northeast regions, and another high income club formed by the municipalities of the Center-West, Southeast and South regions. The formation of convergence clubs is confirmed by a bootstrap test for multimodality.

  • Convergence clubs among Brazilian municipalities
    Eduardo Andrade, Márcio Laurini, Regina Madalozzo, and Pedro L. Valls Pereira
    Elsevier BV

  • Effect of outliers on forecasting temporally aggregated flow variables
    Luiz K. Hotta, Pedro L. Valls Pereira, and Rissa Ota
    Springer Science and Business Media LLC


RECENT SCHOLAR PUBLICATIONS

  • Forecasting Bitcoin and Ethereum risk measures through MSGARCH models: Does the specification matter?
    L Hotta, C Trucios, PLV Pereira, M Zevallos
    Brazilian Review of Finance 23, e202503-e202503 2025

  • Exploring co-explosive dynamics: Bitcoin price, attractiveness, and sentiment variables
    D de Prince, EF Maral, PLV Pereira
    Economics Letters 246, 112072 2025

  • Does the private database help to explain Brazilian inflation?
    EF Maral, PLV Pereira, D de Prince
    Time Series and Wavelet Analysis: Festschrift in Honor of Pedro A. Morettin 2024

  • Portfolio resampling in the Brazilian stock market: Can it outperforms Markowitz optimization?
    AB Oliveira, C Trucos, PLV Pereira
    Brazilian Review of Finance 22 (3), 57-75 2024

  • Supplementary Material: Forecasting VaR and ES through Markov Switching GARCH Models: Does the Specification Matter?
    LK Hotta, C Trucos, PL Valls Pereira, M Zevallos
    Available at SSRN 4734370 2024

  • Exploring co-explosive dynamics: Bitcoin price, attractiveness, and sentiment variables
    D de Prince, EF Marcal, PLV Pereira
    ECONOMICS LETTERS 246, 4 2024

  • Does portfolio resampling really improve out-of-sample performance? evidence from the brazilian and us markets
    A Oliveira, C Trucos, PL Valls Pereira
    Evidence from the Brazilian and Us Markets 2023

  • Forecasting conditional covariance matrices in high-dimensional time series: a general dynamic factor approach
    C Trucos, JHG Mazzeu, M Hallin, LK Hotta, PL Valls Pereira, M Zevallos
    Journal of Business & Economic Statistics 41 (1), 40-52 2023

  • Does Portfolio Resampling Really Improve Out-of-Sample Performance? Evidence From the Brazilian Market
    AB Oliveira, C Trucos, PL Valls Pereira
    Evidence From the Brazilian Market (October 22, 2022) 2022

  • 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

  • Forecasting industrial production using its aggregated and disaggregated series or a combination of both: Evidence from one emerging market economy
    D de Prince, EF Maral, PL Valls Pereira
    Econometrics 10 (2), 27 2022

  • The analysis of default in a fan membership program: the use of credit scoring as sports management tool.
    VB Monteiro, PLV Pereira
     2022

  • Forecasting inflation using online daily prices: a midas approach for Brazil
    HOR Vicente, PL Valls Pereira
    Available at SSRN 4044997 2022

  • Anlise da inadimplncia em um programa scio-torcedor: o uso do credit scoring como ferramenta de gesto esportiva
    VB Monteiro, PLV Pereira
    PODIUM Sport, Leisure and Tourism Review 11 (1), 145-174 2022

  • Are Professional Forecasters rational? What is the role of instability and what variables affect them?
    D de Prince, PL Valls Pereira, EF Maral
    What is the role of instability and what variables affect them 2022

  • Strategies of portfolio investment with estimates of bull and bear markets
    PLV Pereira, AB Oliveira
    Brazilian Review of Finance 19 (4), 160-185 2021

  • Estratgias de investimento em portflios com estimativas de alta e baixa do mercado financeiro.
    PL Valls Pereira, A Barbosa Oliveira
    Brazilian Review of Finance/Revista Brasileira de Finanas 19 (4) 2021

  • Robustness and the general dynamic factor model with infinite-dimensional space: identification, estimation, and forecasting
    C Trucos, JHG Mazzeu, LK Hotta, PLV Pereira, M Hallin
    International Journal of Forecasting 37 (4), 1520-1534 2021

  • Size and Variation of Sao Paulo City Homeless Population
    R Artes, SM Schor, PLV Pereira, E Rigonati
     2021

  • Automated model selection with applications to Brazilian industrial production index
    JV Rocha, PLV Pereira
     2019

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
    Citations: 182

  • Convergence clubs among Brazilian municipalities
    E Andrade, M Laurini, R Madalozzo, PLV Pereira
    Economics Letters 83 (2), 179-184 2004
    Citations: 111

  • Income convergence clubs for Brazilian municipalities: a non-parametric analysis
    M Laurini, E Andrade, PL Valls Pereira
    Applied Economics 37 (18), 2099-2118 2005
    Citations: 105

  • Evaluation of contagion or interdependence in the financial crises of Asia and Latin America, considering the macroeconomic fundamentals
    EF Maral, PL Valls Pereira, DML Martin, WT Nakamura
    Applied Economics 43 (19), 2365-2379 2011
    Citations: 64

  • 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
    Citations: 59

  • 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
    Citations: 42

  • APT e variveis macroeconmicas: Um estudo emprico sobre o mercado acionrio brasileiro
    A Schor, M BONOMO, PLV Pereira
    Finanas aplicadas ao Brasil 2 2004
    Citations: 39

  • Testing the hypothesis of contagion using multivariate volatility models
    EF Maral, PLV Pereira
    Brazilian Review of Econometrics 28 (2), 191-216 2008
    Citations: 36

  • A estrutura a termo das taxas de juros no brasil: Testando a hiptese de expectativas
    EF Maral, PLV Pereira
    Instituto de Pesquisa Econmica Aplicada (Ipea) 2007
    Citations: 35

  • 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
    Citations: 33

  • Taxa de cmbio real e paridade de poder de compra no Brasil
    PLV Pereira, M Holland
    Revista Brasileira de Economia 53 (3), 259-285 1999
    Citations: 33

  • Paridade do poder de compra: Testando dados brasileiros
    EF Maral, PLV Pereira, OC Santos Filho
    Revista Brasileira de Economia 57, 159-190 2003
    Citations: 30

  • Co-integrao: uma resenha com aplicaes a sries brasileiras
    PLV Pereira
    Brazilian Review of Econometrics 8 (2), 7-29 1988
    Citations: 29

  • Forecasting conditional covariance matrices in high-dimensional time series: a general dynamic factor approach
    C Trucos, JHG Mazzeu, M Hallin, LK Hotta, PL Valls Pereira, M Zevallos
    Journal of Business & Economic Statistics 41 (1), 40-52 2023
    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
    Citations: 24

  • “Ombro-cabea-ombro”: Testando a lucratividade do padro grfico de anlise tcnica no mercado de aes brasileiro
    PG Boainain
     2007
    Citations: 23

  • Modeling and forecasting of realized volatility: evidence from Brazil
    MVW Junior, PLV Pereira
    Brazilian Review of Econometrics 31 (2), 315-337 2011
    Citations: 22

  • Effect of outliers on forecasting temporally aggregated flow variables
    LK Hotta, PLV Pereira, R Ota
    Test 13, 371-402 2004
    Citations: 22

  • Modeling Financial Contagion Using Copula
    PLV Pereira, RP de Souza Santos
    Brazilian Review of Finance 9 (3), 335-363 2011
    Citations: 21

  • On the robustness of the principal volatility components
    C Trucos, LK Hotta, PLV Pereira
    Journal of Empirical Finance 52, 201-219 2019
    Citations: 20