Pedro L. Valls Pereira

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This article derives a closed form formula for the arbitrage free price of the options on the One day Brazilian Interfinancial Deposits Index (IDI) using some results from modern theory of finance. 1 The authors would like to acknowledge the financial support from CNPq and the second author also from PRONEX 2 Correspondence author
We introduce SV models with Markov regime changing state equation (SVMRS) to investigate the important properties of volatility, high persistence and smoothness. With the quasi-ML approach proposed in our study, we showed that volatility is far less persistent and smooth than the GARCH or SV models suggest.
Using intraday data for the most actively traded stocks on the São Paulo Stock Market (BOVESPA) index, this study considers two recently developed models from the literature on the estimation and prediction of realized volatility: the Heterogeneous Autoregressive Model of Realized Volatility (HAR-RV), developed by Corsi (2009), and the Mixed Data Sampling(More)
This paper investigates whether there is evidence of structural change in the Brazilian term structure of interest rates. Multivariate cointegration techniques are used to verify this evidence. An econometric model is estimated which is a Vector Autoregressive Model with Error Correction Mechanism (VECM) with abrupt structural change formulated by Hansen(More)
Our comments will be divided in two parts. The first one some general comments about some of the results of this paper and the second part a comparison with the results of Valls Pereira et alii (1999) 1 will be make. The first point that we will like to make is about the was Prof. Issler treat the "missing data" of some of these series. In order to have(More)
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