2025
Ferreira, Julia L. & Valls Pereira, P. L. Transmuting Unequally Spaced Data A MIDAS Regression Touch to Forecast Real GDP Growth in Brazil , Accepted Journal of Business Cycle Research, 2025 (working paper version) (doi)
de Prince, D.; Marçal, E. F. & Valls Pereira, P. L. Exploring co-explosive dynamics: Bitcoin price, attractiveness and sentiment variables, Economic Letters, 2025, 246, 112072,
2023
Trucios, C.; Mazzeu, J. H. G. ; Hallin, M.; Hotta, L. K.; Valls Pereira, P. L. & Zevallos, M. Forecasting Conditional Covariance Matrices in High-Dimensional Time Series: a General Dynamic Factor Approach, Journal of Business & Economic Statistics, 2023, 41(1), 40-52.
2022
De Prince, D.; Marçal, E. F. & Valls Pereira, P. L. Forecasting Industrial Production by its aggregated, disaggregated series or a combination of both? Evidence from one emerging market economy. Econometrics, Special Issue on Economics Forecasting, 2022, 10(2), 27
2021
Trucios, C.; Mazzeu, J. H. G.; Hotta, L. K.; Valls Pereira, P. L. & Hallin, M. Robustness and the General Dynamic Factor Model with Infinite-Dimensional Space: Identification, Estimation and Forecasting. 30 Years of Cointegration and Dynamic Factor Models Forecasting and its Future with Big Data Special section of the International Journal of Forecasting, v.37, Issue 4. October-December, 1520-1534, 2021.
2019
Trucios, C.; Hotta, L. K. & Valls Pereira, P. L. On the robusteness of principal volatility components. Journal of Empirical Finance, v. 52, 2019, 201-219. (supplementary material)
Tófoli, P. V.; Ziegelmann, F. A.; Candido, O. & Valls Pereira, P. L. Dynamic D-Vine Copula Model with application to Value-at-Risk (VaR), Journal of Time Series Econometrics, v. 11 (2), 1-34, 2019. (supplementary material).
2017
Kohn, M-B. H. & Valls Pereira, P. L. Speculative bubbles and contagion: Analysis of volayility´s clusters during the DotCom bubble based on the Dynamic Conditional Correlation Model. Congent Economics & Finance, v. 5 (1)
2016
Rotta, P. N. & Valls Pereira, P. L. Analysis of Contagion from the Dynamic Conditional Correlation Model with Markov Regime Switching, Applied Economics, v. 48 (25), 2367-2382, 2016.
2015
Chicaroli, R. &Valls Pereira, P. L. Predictability of Equity Models. Journal of Forecasting, v. 34 (6), 427-440, 2015. (leading article)
2013
Arruda, B. P. de & Valls Pereira, P. L. . Analysis of the Volatility´s Dependency Structure during the Subprime Crisis. Applied Economics, v. 45, p. 5031-5045, 2013.
2011
Marçal, E. F. ; Valls Pereira, P. L. ; Martin, D. M. L. & Nakamura, W. T. Evaluation of contagion or interdependence in the financial crises of Asia and Latin America, considering the macroeconomic fundamentals. Applied Economics, v. 43, p. 2365-2379, 2011. (leading article)
2009
Laurini, M. & Valls Pereira, P. L. Conditional stochastic kernel estimation by nonparametric methods. Economics Letters, v. 105, p. 234-238, 2009.
2008
Hwang, S. & Valls Pereira, P. L. The effects of structural breaks in ARCH and GARCH parameters on Persistence of GARCH models. Communications in Statistics. Simulation and Computation, v. 37, p. 571-578, 2008.
2007
Hwang, S.; Satchell, S. & Valls Pereira, P. L. How persistent is volatility? : An Answer with Stochastic Volatility Models with Markov Regime Switching State Equations. Journal of Business Finance & Accounting, v. 34, p. 1002-1024, 2007.
2006
Hwang, S. & Valls Pereira, P. L. Small Sample Properties of GARCH Estimates and Persistence. European Journal of Finance, v. 12, p. 473-494, 2006.
2005
Laurini, M. Andrade, E. & Valls Pereira, P. L. Income Convergence Clubs for Brazilian Municipalities: a Non-Parametric Analysis. Applied Economics, v. 37, n.18, p. 2099-2118, 2005.
2004
Hotta, L.K.; Valls Pereira, P. L. & Ota, R. Effect of outliers on forecasting tempoarlly aggregated flow variables. Test, v. 13, n.2, p. 371-402, 2004.
Andrade, E.; Laurini, M; Madalozzo, R. & Valls Pereira, P. L. Convergence Clubs among Brazilian Municipalities. Economics Letters, v. 83, n.2, p. 179-184, 2004.
1987
Valls Pereira, P. L. Application of Kalman Filter. Econometric Theory, v. 3, n.2, p. 306, 1987.
Valls Pereira, P. L. Exact Likelihood Function For A Regression Model With MA(1) Errors. Economics Letters, v. 24, p. 145-149, 1987.