1

Pedro L. Valls Pereira

Contact Information:

Sao Paulo School of Economics – FGV-SP.

Rua Itapeva 474 room 1006

São Paulo, S.P., BRAZIL, 01332-00.

Phone: +5511-3799-3726

FAX: +5511 3799-3357

Email: pedro.valls@fgv.br

Academic Appointments:

Professor of Financial Econometrics, Sao Paulo School of Economics – FGV-SP (08/2008-present)

Director of CEQEF (Centre of Studies in Quantitative Economics and Finance), Sao Paulo School

of Economics – FGV-SP (08/2008-present)

Professor of Economics and Finance, INSPER (01/2000-07/2008)

Advisor, Instituto de Economia – UNICAMP (01/1991-12/1999)

Associate Professor in Statistics, IME-USP (01/2001-12/2002) – on leave

Associate Professor in Statistics, IME-USP (12/1990-12/2000)

Assistant Professor in Statistics, IME-USP (08/1989-12/1990)

Associate Professor in Economics, UFF (03/1987-06/1989)

Senior Researcher in Economics, INPES-IPEA-RJ (08/1986-07/1989)

Assistant Professor in Economics, IMPA (08/1983-07/1986).

Visiting Positions:

Academic Visitor, CREATES, Department of Economics and Business Economics (06/2016-

07/2016)

Academic Visitor, Program in Economic Modelling – INET at Oxford Martin School – University

of Oxford (01/2015-03/2015)

Associate Member of Nuffield College – University of Oxford (01/2015-03/2015)

Academic Visitor, School of Economics and Finance, Queen Mary University of London (01/2010)

(01/2011) (01/2012)

Visiting Professor, Cass Business School, London (01/2003-02/2003)

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Academic Visitor, Faculty of Economics, University of Cambridge (01/2002-02/2002)

Visiting Professor, City University Business School, London (01/2001-02/2001)

Visiting Professor, Department of Statistics, London School of Economics (01/2000-02/2000)

Academic Visitor, Faculty of Economics, University of Cambridge (01/1992-02/1992)

Academic Visitor, Department of Economics, London School of Economics (05/1989-06/1989)

Academic Visitor, Department of Statistics, London School of Economics (01/1987-02/1987)

Visiting Assistant Professor, Department of Statistics, IMECC-UNICAMP (01/1985-02/1985).

Education:

Habilitation (Livre Docência) in Statistics, IME-USP (1990)

Ph.D. in Economics (Statistics), London School of Economics and Political Science (1983)

M.Sc. in Statistics, IMPA (1978)

Specialization in Applied Mathematics, PUC-RJ (1976)

B.Sc. in Applied Mathematics, PUC-RJ (1974)

Major (Licenciatura Plena) in Mathematics, PUC-RJ (1974).

Research Interests: Empirical Finance, Computational Methods in Finance, Financial

Econometrics, Time Series Econometrics, Forecasting.

Grants, Fellowship and Awards:

Principal Investigator at FAPESP : Thematic Project: Price Discovery. From March 2014 up to

March 2017;

Board of Directors (deputy) of Academia de Ciência do Estado de São Paulo. From 03/2015-

03/2017 and 03/2017-03/2019.

Full Member at Academia de Ciências do Estado de São Paulo . From 11/2012 to present

Aula Magna at Departamento de Economia da FEA-RP March 2017.

Best article in 2016 Brazilian Review of Finance Revista Brasileira de Finanças .

CNPq Bolsa Produtividade Level I- A (2017-2022);

CNPq Edital Universal Faixa C (2016-2019);

CNPq Bolsa Produtividade Level I-A (2012-2017);

CNPq Edital Universal Faixa A (2010-2013);

CNPq Bolsa Produtividade Level I-A (2008-2012);

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CNPq Bolsa Produtividade Level I-A (2004-2008);

CNPq Edital Universal Faixa B (2007-2009);

CNPq Edital Universal Faixa C (2004-2006);

CNPq Bolsa Produtividade Level I-B (2002-2004);

CNPq Bolsa Produtividade Level I-B (2000-2002);

CNPq Edital Ciências Sociais Aplicadas (2002);

CNPq Bolsa Produtividade Level I-C (1998-2000);

CNPq Projeto Integrado (1994-2000);

Researcher at PRONEX Project: Growth, Business Cycles and Public Policies. From December

1996 up to 2000;

FAPESP Grant for Visiting Scholar at London School of Economics (01/2000-02/2000);

CNPq Bolsa Produtividade Level I-C (1994-1998);

Organizing Committee Travel Grant for XII Latin American Meeting of the Econometric Society –

Tucuman – Argentina (08/1993);

CNPq and CAPES Grants for Academic Visitor at Faculty of Economics, University of Cambridge

(01/1992-02/1992);

Organizing Committee Travel Grant for X Latin American Meeting of the Econometric Society –

Punta Del Este – Uruguay (08/1991);

Organizing Committee Travel Grant for VI World Congress of the Econometric Society –

Barcelona – Spain (08/1990);

Organizing Committee Travel Grant for IX Latin American Meeting of the Econometric Society –

Santiago – Chile (08/1989);

The British Council Grant and CNPq for Academic Visitor at London School of Economics

(05/1989-06/1989);

Organizing Committee Travel Grant for VIII Latin American Meeting of the Econometric Society

– São José – Costa Rica (08/1988);

Organizing Committee Travel Grant for XXII Reunión Anual de la Associación Argentina de

Economía Política – Cordoba – Argentina (11/1987);

Organizing Committee Travel Grant for VII Latin American Meeting of the Econometric Society

– São Paulo – Brazil (08/1987);

Organizing Committee Travel Grant for Statistical Methods for Cyclical and Seasonal Analysis –

Mar del Plata – Argentina (08/1987);

Organizing Committee Travel Grant for VI Latin American Meeting of the Econometric Society –

Cordoba – Argentina (06/1986);

The British Council Grant and CNPq for Academic Visitor at London School of Economics

(11/1985-12/1985);

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Organizing Committee Travel Grant for V World Congress of the Econometric Society – Boston

– USA (08/1985);

FAPESP Grant for Visiting Assistant Professor at IMECC-UNICAMP (01/1985-02/1985);

Organizing Committee Travel Grant for V Latin American Meeting of the Econometric Society –

Bogotá – Colombia (06/1984);

LSE Teaching Assistant (08/1982-06/1983);

CNPq PhD Scholarship London School of Economics (07/1978-02/1983);

Organizing Committee Travel Grant for III Latin American Meeting of the Econometric Society –

Mexico City – Mexico (06/1982);

Organizing Committee Travel Grant for II Latin American Meeting of the Econometric Society –

Rio de Janeiro – Brazil (06/1981);

CNPq Travel Grant for IV World Congress of The Econometrics Society – Aix-en-Provence - France

(08/1980);

CNPq MSc Scholarship IMPA (03/1977-08/1978);

CAPES MSc Scholarship Department of Mathematics – PUC-RJ (03/1975-12/1976);

Publications

(A) Articles in Refereed Journals:

2018

• Oliveira, A. B. & Valls Pereira, P. L. Asset Allocation with Markovian Regime Switching: efficient frontier and tangent portfolio with regime switching. Brazilian Review of Econometrics, v. 38 (1) (forthcoming).

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).

• Oliveira, A. B. & Valls Pereira, P. L. Mudança de Regime e Efeito ARCH em Volatilidade: um estudo dos choques das cotações do petróleo. Brazilian Finance Review, v. 15(3) p. (forthcoming).

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.

• Sulzbach, V. N.; Mergulhão, J. & Valls Pereira O Conteúdo Informacional das Transações no Mercado Futuro de Câmbio: uma investigação do caso brasileiiro. Brazilian Finance Review, v. 14 (1) p. 7-43 , 2016. (leading article - best paper award of SBFin for 2016)

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2015

• Chicaroli, R. & Valls Pereira, P. L. Predictability of Equity Models Journal of Forecasting, v. 34 (6), p. 427-440, 2015 (leading article).

• Azevedo, L. F. P. & Valls Pereira, P. L. Testando o poder preditivo do VIX: uma aplicação do modelo de erro multiplicativo. Brazilian Finance Review, v. 13 (4), p. 571-630.

2014 • Marçal, E. F. & Valls Pereira, P. L. Structural change in Brazilian term structure of

interest rate: evidence based on Hansen´s cointegration models with structural break. São Paulo Journal of Mathematical Sciences, v.8 (2), p. 211-239, 2014.

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.

• Vieira, H. P. & Valls Pereira, P. L. A Study of the Brazilian Business Cycles (1900-2012). Brazilian Review of Econometrics, v. 33, p. 123-143, 2013. (real GDP quarterly series-1900-2012)

2012 • Fonseca, M. G. da S. & Valls Pereira, P. L. Credit Shocks and Monetary Policy in Brazil; A

Structural FAVAR Approach. Brazilian Review of Econometrics, v. 32, p. 169-200, 2012.

2011

• Santos, R. P. de S. & Valls Pereira, P. L. Modelando Contágio Financeiro através de Copulas. Brazilian Review of Finance, v. 9, p. 335-363, 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.

• Wink Junior, M. V. & Valls Pereira, P. L. . Modelling and Forecasting Realized Volatility: evidence from Brazil. Brazilian Review of Econometrics, v. 31, p. 315-337, 2011.

2009 • Boianain, P.G. & Valls Pereira, P. L. Ombro cabeça ombro: testando a lucratividade do

padrão gráfico de análise técnica no mercado de ações brasileiro. Brazilian Review of Finance, v. 7, p. 265-303, 2009. (leading article)

• 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.

• Baptista, R. F. de F. & Valls Pereira, P. L. Análise do Desempenho de Regras da Análise Técnica aplicada ao Mercado Intradiário do Contrato Futuro do Índice Ibovespa. Brazilian Review of Finance, v. 6, p. 205-234, 2008.

• Marçal, E.F. & Valls Pereira, P. L. Testing the Contagion Hypotheses with Multivariate Volatility Models. Brazilian Review of Econometrics, v. 28, p. 193-216, 2008.

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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.

• Marçal, E.F. & Valls Pereira, P. L. A Estrutura a Termo das taxa de juros no Brasil: Testando a hipótese de expectativas racionais. Pesquisa e Planejamento Econômico, v. 37, p. 113-147, 2007.

2006

• Hwang, Soosung & 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.

• Vieira Neto, C. A. & Valls Pereira, P. L. Modelando a Estrutura a Termo da Taxa de Juros: Dinâmica e Avaliação de Contratos Derivativos. Brazilian Review of Finance, v. 3, n.1, p. 19-54, 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.

2003

• Marçal, E. F. ; Valls Pereira, P. L. & Canuto, O. Paridade do Poder de Compra: Testando Dados Brasileiros. Revista Brasileira de Economia, v. 57, n.1, p. 159-190, 2003.

2002

• Schor, A. ; Bonomo, M. & Valls Pereira, P. L. Arbitrage Pricing Theory (Apt) e Variáveis Macroeconomicas: Um Estudo Empírico Sobre O Mercado Acionário Brasileiro. Revista de Economia e Administração, v. 1, n.1, p. 34-46, 2002.

2001

• Vieira Neto, C. A. & Valls Pereira, P. L. Review of major results of Martingale theory applied to the valuation of contingent claims. Brazilian Review of Econometrics, v. 21, n.2, p. 120-135, 2001.

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1999

• Brito, M. H. & Valls Pereira, P. L. Taxa de Câmbio real e paridade de poder de compra no Brasil. Revista Brasileira de Economia, v. 53, n.3, p. 259-285, 1999. (leading article)

• Valls Pereira, P. L.; Hotta, L. K.; Souza, L. A. R. & Almeida, N. M. C. G. Alternative Models to extract asset volatility: a comparative study. Brazilian Review of Econometrics, v. 19, n.2, p. 100-132, 1999.

1998

• Herencia, M. ; Hotta, L. K. & Valls Pereira, P. L. Filtragem e Previsão Com Modelos de Volatilidade: Volatilidade Estocástica X Garch. Revista Brasileira de Economia, v. 52, n.2, p. 241-278, 1998. (leading article)

1997

• Ziegelmann, F. A. & Valls Pereira, P. L. Modelos de Volatilidade Estocástica Com Deformação Temporal: Um Estudo Empírico Para O Índice Bovespa. Pesquisa e Planejamento Econômico, v. 27, n.2, p. 232-343, 1997.

1995

• Lima, E. C. ; Lopes, H. ; Moreira, A. & Valls Pereira, P. L. Tendências Estocásticas do Produto: Efeito de Flutuações da Produtividade e da Taxa de Juros Real. Pesquisa e Planejamento Econômico, v. 25, n.2, p. 249-278, 1995.

• Barbosa, F. H. ; Valls Pereira, P. L. & Sallum, E. M. A Substituição de Moeda no Brasil: A Moeda Indexada. Pesquisa e Planejamento Econômico, v. 25, n.3, p. 407-426, 1995.

1992

• Hotta, L. K.; Morettin, P. A. & Valls Pereira, P. L. The Effect of Overlapping Aggregation on Time Series Models with an application to unemployment rate in Brazil. Brazilian Review of Econometrics, v. 12, n.2, p. 223-240, 1992.

1991

• Amadeo, E. & Valls Pereira, P. L. Variávies Distributivas e Ciclo Econômico: um estudo da indústria brasileira no período 1976-1985. Pesquisa e Planejamento Econômico, v. 21, n.2, p. 161-184, 1991.

• Valls Pereira, P. L. Cointegração e suas representações: uma resenha. Brazilian Review of Econometrics, v. 11, n.2, p. 185-215, 1991.

1990

• Giambiagi, F. & Valls Pereira, P. L. Déficit Público e Inflação: um modelo para o caso brasileiro. Pesquisa e Planejamento Econômico, v. 20, n.1, p. 191-210, 1990.

1989

• Markwald, R. ; Moreira, A. & Valls Pereira, P. L. Previsão da Produção Industrial: indicadores antecedentes e modelos de séries temporais. Pesquisa e Planejamento Econômico, v. 19, n.2, p. 233-253, 1989.

1988

• Valls Pereira, P. L. Cointegração: Uma Resenha Com Aplicações A Series Brasileiras. Brazilian Review of Econometrics, v. 8, n.2, p. 7-29, 1988. (leading article)

• Valls Pereira, P. L. & Mascolo, J. L. Testes de Exogeneidade da Moeda Para A Economia Brasileira. Pesquisa e Planejamento Econômico, v. 18, n.3, p. 559-613, 1988.

1987

• Valls Pereira, P. L. Application of Kalman Filter. Econometric Theory, v. 3, n.2, p. 306, 1987.

• Portugal, S. & Valls Pereira, P. L. Previsão do Ipca.. Revista Brasileira de Estatística, v. 48, n.189/190, p. 7-24, 1987.

• Valls Pereira, P. L. Missing Observations In Stochastic Difference Equation With Arma Errors. Brazilian Review of Econometrics, v. 7, n.1, p. 5-34, 1987. (leading article)

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• Valls Pereira, P. L. Exact Likelihood Function For A Regression Model With MA(1) Errors. Economics Letters, v. 24, p. 145-149, 1987.

1986

• Valls Pereira, P. L. Estimação do Hiato Do Produto Via Componentes Não Observados. Brazilian Review of Econometrics, v. 6, n.2, p. 81-95, 1986.

1985

• Harvey, A. & Valls Pereira, P. L. Estimation Of Dynamic Models With Missing Observations. Brazilian Review of Econometrics, v. 5, n.2, p. 81-95, 1985.

1984

• Valls Pereira, P. L. Variaveis Dummies Em Regressao: Uma Consideracao Metodologica. Brazilian Review of Econometrics, v. 4, n.2, p. 47-68, 1984.

(B) Books 1990

• Amadeo, E. & Valls Pereira, P. L. Produtividade, Custo do Trabalho e Parcela Salarial no Ciclo Recente. RIO DE JANEIRO: Cadernos de Economia n3 PNPE-IPEA, 1990. 84p .

1986

• Valls Pereira, P. L. & Migon, H. Modelagem Estrutural - Abordagens Bayesiana e Classica.. Santa Maria - RGS: Universidade Federal de Santa Maria, 1986. 130p .

1985

• Valls Pereira, P. L. & Migon, H. Procedimentos Bayesiano e Classico Em Modelos Estruturais.. Rio de Janeiro: ENCE, 1985. 120p .

• Hotta, L.K. & Valls Pereira, P. L. Testes de Especificacao Em Econometria.. IMPA, RJ, 1985. 75p .

(C) Chapters in Books

2011 • Marçal, E.F. ; Valls Pereira, P. L.; Martin, D. ; Nakamura, W. & Monteiro, W.O. .

Contagion or Interdependence in the Financial Markets of Asia, Latin American, and the United States: From Tequila Effect to the Subprime Crisis. In: Robert W. Kolb. (Org.). Financial Contagion: the viral threat to the wealth of nations. 1ed. New Jersey: John Wiley & Sons, 2011, v. , p. 93-99.

2003

• Hotta, L. K.; Laurini, M.; Mollica, M. & Valls Pereira, P. L. Modelos Econométricos para Estimação e Previsão de Volatilidade. In: Antonio M. Duarte Jr.; Gyorgy Vargas. (Org.). Gestão de Riscos no Brasil. 1ed. Rio de Janeiro: Financial Consultoria, 2003, v. , p. 97-123.

2002

• Schor, A. ; Bonomo, M. & Valls Pereira, P. L. APT e Variáveis Macroeconômicas: um estudo empírico sobre o mercado acionário brasileiro. In: Marco Bonomo. (Org.). Finanças Aplicadas no Brasil. Rio de Janeiro: FGV Editora, 2002, v. , p. 55-77.

1989

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• Valls Pereira, P. L.; Veloso, R. C. & Paes de Barros, R. Absorção de Mão-de-obra Na Industria de Transformação. In: G. Sedlacek; Ricardo Paes de Barros. (Org.). Mercado de Trabalho e Distribuição de Renda: uma coletânea. Rio de Janeiro: INPES-IPEA, 1989, p. 179-202.

• Harvey, A. & Valls Pereira, P. L. Trend, Seasonality and Seasonal Adjustment. In: R.P. Metnz; E. de Alba; A. Espasa; P. Morettin. (Org.). Proceeding of the First Seminar in Applied Statistics. Panamá, IASI, 1989, p. 161-199.

• Barbosa, F. H. & Valls Pereira, P. L. O Insucesso do Plano Cruzado; A Evidência Empírica da Inflação 100% Inercial. In: Mario Henrique Simonsen; Fernando de Holanda Barbosa. (Org.). Plano Cruzado: Inércia versus Inépcia. Rio de Janeiro: Editora Globo, 1989, Cap. 2, p. 55-79.

(D) Media Coverage

• Valls Pereira, P. L.; Hotta, L. K.; Souza, L. A. R. & Almeida, N. M. C. G. Modelos para extração da volatilidade de ativos: um estudo comparativo. Broadcast da Agência Estado, São Paulo, p. 1 - 4.

• Pinto, F. C. & Valls Pereira, P. L. Teoria dos Valores Extremos: aplicações em valor em risco. Resenha da BM&F, v. 162, 35-50. 2004

• Viera Neto, C. a & Valls Pereira, P.L. Derivação de uma Fórmula para o Cálculo do Preço Livre de Arbitragem de Opções sobre o Índice de Depósitos Interfinanceiros de um dia (IDI). Resenha da BM&F, v.136, p.37 - 53, 1999.

(E) Boletins de Conjuntura

• Grupo de Acompanhento Conjuntural. Boletim Conjuntural, nº 1, INPES-IPEA – Novembro de 1987, 96p. + Indicadores Previsões.

• Grupo de Acompanhamento Conjuntural. Boletim Conjuntural, nº 2, INPES-IPEA – Janeiro de 1988, 82p. + Indicadores e Previsões.

• Grupo de Acompanhamento Conjuntural. Boletim Conjuntural, nº 3, INPES-IPEA – Abril de 1988, 111p. + Indicadores e Previsões.

• Grupo de Acompanhamento Conjuntural. Boletim Conjuntural, nº 4, INPES-IPEA – Julho de 1988, 100p.

• Grupo de Acompanhamento Conjuntural. Boletim Conjuntural, nº 5, INPES-IPEA – Outubro de 1988, 90p.

• Grupo de Acompanhamento Conjuntural. Boletim Conjuntural, nº 6, INPES-IPEA – Março de 1989, 91p.

• Grupo de Acompanhamento Conjuntural. Boletim Conjuntural, nº 7, INPES-IPEA – Julho de 1989, 99p.

(F) Papers Accepted

• Laurini, M. P. ; Fernandes, P. R. & Valls Pereira, P. L. Dynamic Factor Modeling of the Brazilian Term Structure. Journal of Empirical Finance, 2017.

(G) Working Papers

• Testing for First Order Serial Correlation in Temporally Aggregated Regression Models –TD101 Inpes-Ipea (pdf)

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• Testing the long-run implications of the expectation hypothesis using cointegration techniques with structural change, with Emerson Marçal and Omar Abbara (pdf )

• Cópulas - uma alternativa para a estimação de modelos de risco multivariado, with Denis Eduardo Pereira (pdf)

• Avaliando a Existência de Mudança Estrutural na Estrutura a Termo de Juros Brasileira: Evidência a Partir de Modelos de Cointegração com Quebra Estrutural with Emerson Marçal (pdf)

• Comparação de Carteiras Otimizadas Segundo o Critério Média-Variância Formadas através de Estimativas Robustas de Risco e Retorno, with José Eduardo Freire

Damião (pdf)

• Previsão de retornos intradiários através de regressões usando funções-núcleo, with Gustavo Liberali (pdf)

• Economic Cycles and Term Structure: application to Brazil, with Priscila F. Ribeiro (pdf) – em revisão

• Sistemas Técnicos de Trading no Mercado de Ações Brasileiro: testando a hipótese de eficiência de mercado em sua forma fraca e avaliando se a Análise Técnica agrega valor, with Daniel Serafini (pdf)

• Modelando a Volatilidade dos Retornos de Petrobrás usando dados de Alta Frequencia, with Leonardo Cappa (pdf)

• Original Sin e Price Discovery no Mercado de Bonds Soberanos em Reais, with Denísio Libearto e Marcio Holland (pdf)

• Mudanças de Regime e Persistência dos Choques sobre a Volatilidade para a Série de Preços do Petróleo: Uma Análise Comparativa da Família GARCH e Modelos com Mudança de Regime Markoviana – MSIH e SWARCH - with Andre Barbosa Oliveira (pdf) – nova versão aceita na RBFin

• The Brazilian Foreign Exchange Market through the Microstructure Perspective – with Pedro Barguil Collussi (Portuguese-pdf – English-pdf )

• Automatic Model Selection for Forecasting Brazilian Stock Returns – with Ronan Cunha (pdf)

• Forecast Comparison with nonlinear methods for Brazilian industrial production – with Jordano Vieira Rocha (pdf)

• Dynamic D-Vine Copula Model with Applications to Value-at-Risk (VaR) with Paula V. Tofol, Flávio A. Ziegelmann and Osvaldo C. Silva Filho (pdf) – Submetido

• Asset allocation with Markovian regime switching: efficient frontier and tangent portfolio with regime switching - with Andre B. Oliveira (pdf) – Aceito BRE

• Effects of official and unofficial central bank communication on the Brazilian interest rate curve - with Luis F. P. de Azevedo (pdf)

• Uncertainty times for portfolio selection at financial market - with Andre B. Oliveira (pdf) – Submetido

• Mudança de regime e efeito ARCH em volatilidade: um estudo dos choques das cotações do Petróleo – with Andre B. Oliveira (pdf) – Aceito RBFin

• On the robustness of the principal volatility components – with Carlos Truciós and Luiz K. Hotta( pdf) – Submetido

• Portfolio Pumping no Mercado Acionário Brasileiro – with Marcelo de C. Orefice (pdf) – Submetido

Conference, Workshoop and Seminars (as presenter)

2017:

XI LUBRAFIN (Açores – Portugal); Four International Association for Applied Econometrics

Annual Conference (Sapporo – Japan); Third International Workshop in Financial Econometrics

( Porto Seguro – Brazil); 19th OxMetrics User Conference (Paris-France); Seminário do Projeto

Temático Descoberta de Preços (EESP-FGV-São Paulo – Brazil); 17 Meeting of the Brazilian

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Finance Society (Brasilia, Brazil); 1 Seminário de Economia e Finanças Quantitativas (EESP-FGV,

São Paulo – Brazil)

2016:

17 OxMetrics Conference (Washington D.C. – U.S.A.); Third International Association for

Applied Econometrics Annual Conference (Milan-Italy); 6th International Conference of the

Financial Engineering and Banking Society (Málaga-Spain); 69th Econometric Society European

meetings (Genebra- Switzerland); 16 Meeting of the Brazilian Finance Society (São Paulo);

Seminar at CREATES (Aarhus – Denmark)

2015:

16 OxMetrics Conference (Aix-en-Provence – France); Second International Association for

Applied Econometrics Annual Conference (Thessaloniki – Greece); Second International

Workshop in Financial Econometrics (Salvador – Brazil); 16 Workshop of Time Series and

Econometrics (Campos de Jordão – Brazil); 15 Meeting of the Brazilian Finance Society (São

Paulo – Brazil)

2014:

Finance Seminar at EAESP – FGV (São Paulo – Brazil); 14 Meeting of the Brazilian Finance

Society (Recife – Brazil); International Association for Applied Econometrics Annual Conference

(London - UK); International Finance and Banking Conference (London – UK); 2014 Conference

of the Financial Engineering & Banking Conference (Lisbon – Portugal); 8 LUBRAFIN (Pinhão –

Portugal); 36 Meeting of the Brazilian Econometric Society (Natal – Brazil).

2013:

35 Meeting of the Brazilian Econometric Society (Foz de Iguaçu – Brazil); 13 Meeting of the

Brazilian Finance Society (Rio de Janeiro – Brazil); First International Workshop in Financial

Econometrics (Natal – Brazil); 15 Workshop of Time Series and Econometrics (Teresópolis –

Brazil).

2012:

XL Annual Meeting of ANPEC (Porto de Galinha – Brazil); 12 Meeting of the Brazilian Finance

Society (São Paulo – Brazil); European Economic Association Meeting (Malaga – Spain); 6

LUBRAFIN (Coimbra – Portugal); Workshop in Honor of Professor Pedro A. Morettin - Time

Series, Wavelets and Functional Data Analysis (Campinas – Brazil).

2011:

5 LUBRAFIN (Natal – Brazil); 14 Workshop of Time Series and Econometrics (Gramado – Brazil);

XI Meeting of the Brazilian Finance Society (Rio de Janeiro – Brazil).

2010:

32 Meeting of the Brazilian Econometric Society (Salvador – Brazil); XI Workshop of Economics

at FEA-RP-USP (Ribeirão Preto – Brazil); 4 LUBRAFIN (Evora – Portugal); XXXVIII Annual Meeting

of ANPEC (Foz de Iguaçu – Brazil);

12

2009:

13 Workshop of Time Series and Econometrics (São Carlos – Brazil); IX Meeting of the Brazilian

Finance Society (São Leopoldo - Brazil ); 31 Meeting of the Brazilian Econometric Society (Foz

de Iguaçu – Brazil); Fourth Brazilian Conference on Statistical Modelling in Insurance and

Finance (Maresias – Brazil).

2008:

VIII Meeting of the Brazilian Finance Society (Rio de Janeiro - Brazil); LAMES (Rio de Janeiro –

Brazil); LACEA (Rio de Janeiro – Brazil); SINAPE (São Pedro – Brazil); XXX Meeting of the

Brazilian Econometric Society (Salvador – Brazil) .

2007:

Time Series Workshop in Honour to the 65th Birthday of Pedro A. Morettin (Campos de Jordão

– Brazil); Innovation II Conference in Forecasting (São Paulo – Brazil); National Meeting of Risk

Management (São Paulo – Brazil); 12 Workshop of Time Series and Econometrics (Gramado –

Brazil)

2006:

Seminar in Time Series, Dependence and Applications to Actuarial and Finance (São Paulo –

Brazil); MatLab application to Financial Markets (São Paulo – Brazil)

2005:

Seminar in Time Series, Dependence and Applications to Actuarial and Finance (São Paulo –

Brazil); 2005 World Congress of the Econometrics Society (London – UK).

2004:

59 European Meeting of the Econometric Society (Madrid – Spain); National Meeting of Risk

Management (São Paulo); MatLab application to Financial Markets (São Paulo – Brazil).

2003:

XXV Meeting of the Brazilian Econometric Society (Porto Seguro - Brazil); Seminar at the

Department of Business Economics - Universidad Carlos III (Gedafe – Spain); Seminar at the

Department of Economics - University of Surrey (Gilford – UK); 10 Workshop of Time Series

and Econometrics (Águas de São Pedro - Brazil); Volatility Workshop at EPGE-FGV (Rio de

Janeiro – Brazil); Seminar at Department of Economics - EAESP – FGV- SP( São Paulo – Brazil);

Seminar at Department of Economics at PUC-RJ (Rio de Janeiro – Brazil); Workshop on

Econometric Time Series (Linz – Austria); 58 European Meeting of the Econometric Society

(Stockholm– Sweden); European Economic Association Annual Congress (Stockholm –

Sweden).

2002:

8-th Computing in Economics and Finance (Aix-en-Provence – France); Econometric Seminar,

Nuffield College, Oxford University (Oxford - UK); International Symposium of Forecast (Dublin

– Ireland); II Meeting of the Brazilian Finance Society (Rio de Janeiro – Brazil).

2001:

International Conference – The Econometrics of Financial Markets (Delphis – Greece); Finance

Seminar, City University Business School (London – UK); XIII Meeting of the Brazilian

13

Econometric Society (Salvador – Brazil); Seminar in Econometrics and Financial Modelling using

OxMetrics – Ibmec Business School (São Paulo – Brazil); Seminar at the Department of

Economics – University of Surrey (Gilford – UK); 1 Meeting of the Brazilian Finance Society (São

Paulo – Brazil).

2000:

Statistics and Econometrics Seminar – LSE (London – UK); Department of Statistics and

Econometrics – Universidad Carlos III (Gedafe – Spain); Econometric Seminar, Nuffield College,

Oxford University (Oxford – UK); 8th World Congress of the Econometrics Society (Seattle –

USA); XXII Meeting of the Brazilian Econometric Society (Campinas – Brazil); 14 SINAPE (Aguas

de São Pedro – Brazil); XXVIII Annual Meeting of ANPEC (Campinas – São Paulo);

1999:

Finance Seminar at Ibmec Business School (São Paulo – Brazil); XXI Meeting of the Brazilian

Econometric Society (Belém – Brazil).

1998:

XX Meeting of the Brazilian Econometric Society (Vitória – Brazil); Econometric Seminar,

Faculty of Economics, University of Cambridge (Cambridge – UK); Seminar at EPGE-FGV (Rio de

Janeiro – Brazil); XXVI Annual Meeting of ANPEC (Vitória – Brazil); 13 SINAPE (Caxambu –

Brazil)

1997:

VII Workshop of Time Series and Econometrics (Canela - Brazil), Seminar at IPEA (Rio de Janeiro

– Brazil); XIX Meeting of the Brazilian Econometric Society (Recife – Brazil).

1996:

Seminar at the Department of Economics at PUC-RJ (Rio de Janeiro – Brazil); Seminar at the

Department of Statistics at UFRJ (Rio de Janeiro – Brazil), 16th International Symposium in

Forecasting (Istanbul – Turkey); 12 SINAPE (Caxambu – Brazil); VIV Latin American Meeting of

the Econometric Society (Rio de Janeiro – Brazil); XVIII Meeting of the Brazilian Econometric

Society (Águas de Lindóia – Brazil).

1995:

V Workshop of Time Series and Econometrics (Vitória – Brazil); Seminar at EPGE-FGV(Rio de

Janeiro – Brazil); Special Section in Economics at 20 Colóquio Brasileiro de Matemática (Rio de

Janeiro – Brazil). 7th World Congress of the Econometric Society (Tokyo – Japan); XVII Meeting

of the Brazilian Econometric Society (Salvador – Brazil).

1994:

Economics Seminar, Division of International Finance do Federal Reserve Board (Washington –

USA), XI SINAPE (Belo Horizonte – Brazil); XIII Latin American Meeting of the Econometric

Society (Caracas – Venezuela); XVI Meeting of the Brazilian Econometric Society (Florianópolis

– Brazil).

1993:

14

V Workshop of Time Series and Econometrics (São Paulo – Brazil); V CLAPEM (São Paulo –

Brazil); XII Latin American Meeting of the Econometric Society (Tucuman – Argentine); XV

Meeting of the Brazilian Econometric Society (Belo Horizonte – Brazil);

1992:

Seminar at the Department of Economics at PUC-RJ (Rio de Janeiro – Brazil); XIV Meeting of

the Brazilian Econometric Society (Campos de Jordão _ Brazil); XI Latin American Meeting of

the Econometric Society (Cidade do México – México); Seminar at EPGE-FGV (Rio de Janeiro –

Brazil); Econometric Seminar LSE (London – UK); Seminar at the Department of Economics at

FEA-USP (São Paulo – Brazil).

1991:

Seminar at Escola Nacional de Ciências Estatísticas (Rio de Janeiro – Brazil); Seminar at EPGE-

FGV (Rio de Janeiro – Brazil); 4 Workshop of Time Series and Econometrics (Rio de Janeiro –

Brazil); X Latin American Meeting of the Econometric Society (Punta del Este - Uruguay); XIII

Meeting of the Brazilian Econometric Society (Curitiba – Brazil).

1990:

VI World Congress of the Econometric Society (Barcelona – Spain); 9 SINAPE (São Paulo –

Brazil).

1989:

III Workshop of Time Series and Econometrics (Rio de Janeiro – Brazil); 9 Latin American

Meeting of the Econometric Society (Santiago – Chile); XI Meeting of the Brazilian

Econometric Society (Fortaleza – Brazil).

1988:

8 SINAPE (Rio de Janeiro – Brazil); VIII International Symposium in Forecasting (Amsterdam –

Holland); 8 Latin American Meeting of the Econometric Society (São José – Costa Rica); X

Meeting of the Brazilian Econometric Society (Belo Horizonte – Brazil).

1987:

IX Meeting of the Brazilian Econometric Society (Salvador – Brazil); XXII Annual Meeting of the

Associação Argentina de Economia Política (Cordobá – Argentine); XV Workshop of the

Sociedad Argentina de Estadistica (Mar del Plata – Argentine); 7 Latin American Meeting of the

Econometric Society (São Paulo – Brazil); II Workshop of Time Series and Econometrics (Rio de

Janeiro – Brazil);

1986:

Seminar at the Department of Statistics at UFRJ (Rio de Janeiro – Brazil); Seminar at IPEA (Rio

de Janeiro – Brazil); V Southeast Regional Meeting of the Brazilian Econometrics Society

(Piracicaba – Brazil); VII SINAPE (Campinas – Brazil); VI Latin American Meeting of the

Econometric Society (Córdoba – Argentine); VIII Meeting of the Brazilian Econometric Society

(Brasília – Brazil); Seminário no IBMEC (Rio de Janeiro – Brazil); Seminar at EPGE-FGV (Rio de

Janeiro – Brazil).

1985:

15

Seminar at Department of Economics London School of Economics (London – UK); II Regional

Meeting of SBMAC-SBE(Brasilia - Brazil); I Workshop of Time Series and Econometrics (IMPA -

Rio de Janeiro – Brazil) ; V World Congress of the Econometric Society (Boston – USA)

1984:

Seminar at the Department of Statistics UNICAMP(Campinas- Brazil); Seminar at the

Department of Quantitative Methods at SERPRO (Rio de Janeiro – Brazil); VI SINAPE(Rio de

Janeiro – Brazil); XII Annual Meeting of ANPEC (São Paulo – Brazil); VI Meeting of the Brazilian

Econometric Society (São Paulo – Brazil); 5 Latin American Meeting of the Econometric Society

(Bogotá - Colombia)

1983:

V Meeting of the Brazilian Econometric Society (Belém – Brazil).

1982:

3 Latin American Meeting of the Econometric Society (Cidade do México – México)

1981:

2 Latin American Meeting of the Econometric Society (Rio de Janeiro – Brazil)

1980:

IV World Congress of the Econometric Society (Aix-en-Provence – France); Seminar at IMPA

(Rio de Janeiro – Brazil)

Conference Organization

2017:

Thematic Project Seminar Price Descovery (EESP-FGV-São Paulo – Brazil)

1 Quantitative Economics and Finance Seminar (EESP-FGV, São Paulo – Brazil)

2015:

16 Workshop of Time Series and Econometrics (Campos de Jordão – Brazil).

2009:

Fourth Brazilian Conference on Statistical Modelling in Insurance and Finance (Maresias –

Brazil); 13 Workshop of Time Series and Econometrics (São Carlos – Brazil).

2007:

12 Workshop of Time Series and Econometrics (Gramado – Brazil)

1997:

XV Latin American Meeting of the Econometric Society (Santiago – Chile)

1996:

XIV Latin American Meeting of the Econometric Society (Rio de Janeiro – Brazil); Economics

Section at XII SINAPE (Minas Gerais – Brazil).

1995:

16

VI Workshop of Time Series and Econometrics (Vitória – Brazil).

1994:

XII Latin American Meeting of the Econometric Society (Caracas – Venezuela).

1993:

XII Latin American Meeting of the Econometric Society (Tucuman – Argentina); V Workshop of

Time Series and Econometrics (São Paulo – Brazil).

1992:

Regional Meeting of the Brazilian Econometrics Society (São Paulo – Brazil); XI Latin American

Meeting of the Econometric Society (Cidade do México – México).

1990:

Economics and Social Science Section at IX SINAPE (São Paulo – Brazil).

1989:

III Workshop of Time Series and Econometrics (Rio de Janeiro – Brazil).

1988:

X Meeting of the Brazilian Econometric Society (Belo Horizonte – Brazil)

1987:

IX Meeting of the Brazilian Econometric Society (Salvador – Brazil); Seminar in Labour Market

and Income Distribution (Rio de Janeiro – Brazil); VII Latin American Meeting of the

Econometric Society (São Paulo – Brazil); II Workshop of Time Series and Econometrics (Rio de

Janeiro – Brazil).

1986:

VII Meeting of the Brazilian Econometric Society (Brasília – Brazil); Economics and Social

Science Section at VII SINAPE (Campinas – Brazil).

1985:

VII Meeting of the Brazilian Econometric Society (Vitória – Brazil); I Workshop of Time Series

and Econometrics (Rio de Janeiro – Brazil)

Editorial Board

• Brazilian Journal of Management & Innovation: 2013-present

• Brazilian Review of Finance: 2003-2008

• Brazilian Review of Econometrics: 1999-present

• Revista de Economia e Administração: 2002-2007

• Pesquisa e Planejamento Econômico: 1986-1989

• Munich RePec Personal Archive: 2010-present

• Revista de Economia e Sociologia Rural:1987-1989

• Chief Editor Brazilian Review of Econometrics:1988-1989

Referee Activites

17

Academia Revista Latinoamericana de Administración (1); Applied Economics Letters (1);

Applied Economics (2); 2017 Asian Finance Association (AsianFA) Conference (7); Brazilian

Review of Econometrics (11); Brazilian Review of Finance (5); Communications in Statistics:

Simulation and Computation (2); Conget Economics and Finance (1); Economia e Sociedade

(2); Economic Modelling (1); Emerging Markets Finance and Trade (1); Emerging Markets

Review (1); Empirical Economics (1); European Journal of Finance (1); Journal of Business &

Economic Statistics (1); Journal of Economic Surveys (1); Journal of Forecasting (2); Journal of

International Money and Finance (2); Journal of Risk (1); Latin American Business Review (1);

Oxford Bulletin of Economics and Statistiics (1); Pesquisa e Planejamento Economico (5);

Revista Brasileira de Estatística (1); Revista Brasileira de Probabilidade e Estatística (1); Revista

de Economia Aplicada (3)

Conference Review

2017:

17 Meeting of the Brazilian Finance Society (Brasilia – Brazil)

2016:

16 Meeting of the Brazilian Finance Society (Rio de Janeiro – Brazil)

2015:

16 Workshop of Time Series and Econometrics (Campos de Jordão – Brazil); 15 Meeting of the Brazilian Finance Society (São Paulo – Brazil)

2014: 36 Meeting of the Brazilian Econometric Society (Natal – Brazil).

2013:

13 Meeting of the Brazilian Finance Society (Rio de Janeiro – Brazil)

2012:

12 Meeting of the Brazilian Finance Society (São Paulo – Brazil)

2011:

14 Workshop of Time Series and Econometrics (Gramado – Brazil); XI Meeting of the Brazilian

Finance Society (Rio de Janeiro – Brazil).

2009:

13 Workshop of Time Series and Econometrics (São Carlos – Brazil); IX Meeting of the Brazilian

Finance Society (São Leopoldo - Brazil)

2008:

VIII Meeting of the Brazilian Finance Society (Rio de Janeiro - Brazil); LAMES (Rio de Janeiro – Brazil).

1997:

18

XV Latin American Meeting of the Econometric Society (Santiago – Chile)

1996:

XIV Latin American Meeting of the Econometric Society (Rio de Janeiro – Brazil); Economics

Section at XII SINAPE (Minas Gerais – Brazil).

1995:

VI Workshop of Time Series and Econometrics (Vitória – Brazil).

1994:

XII Latin American Meeting of the Econometric Society (Caracas – Venezuela).

1993:

XII Latin American Meeting of the Econometric Society (Tucuman – Argentina); V Workshop of

Time Series and Econometrics (São Paulo – Brazil).

1992:

Regional Meeting of the Brazilian Econometrics Society (São Paulo – Brazil); XI Latin American

Meeting of the Econometric Society (Cidade do México – México).

1990:

Economics and Social Science Section at IX SINAPE (São Paulo – Brazil).

1989:

III Workshop of Time Series and Econometrics (Rio de Janeiro – Brazil).

1988:

X Meeting of the Brazilian Econometric Society (Belo Horizonte – Brazil)

1987:

IX Meeting of the Brazilian Econometric Society (Salvador – Brazil); Seminar in Labour Market

and Income Distribution (Rio de Janeiro – Brazil); VII Latin American Meeting of the

Econometric Society (São Paulo – Brazil) ; II Workshop of Time Series and Econometrics (Rio de

Janeiro – Brazil).

1986:

VII Meeting of the Brazilian Econometric Society (Brasília – Brazil); Economics and Social

Science Section at VII SINAPE (Campinas – Brazil).

1985:

VII Meeting of the Brazilian Econometric Society (Vitória – Brazil); I Workshop of Time Series

and Econometrics (Rio de Janeiro – Brazil)

External Reviewer • Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

• Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

• Fundação de Amparo à Pesquisa do Estado de Minas Gerais (FAPEMG)

19

External Member of Full Professor Examination

2014

• Departamento de Pesquisa e Ensino de Informática e Métodos Quantitativos da

EAESP

1989

• Instituto de Economia – UFRJ

1986

• Departamento de Engenharia de Produção – UFF

External Member of Habilitation (Livre Docência) Examination 2016

• Departamento de Economia - FEARP- USP

2012

• Departamento de Estatística - Instituto de Matemática e Estatística - USP

2001

• Departamento de Estatística - Instituto de Matemática e Estatística - USP

1990

• Instituto de Economia – UNICAMP

External Member of Assistant Professor Examination 2013

• Departamento de Contabilidade e Atuária – FEA-USP

2009

• Departamento de Marketing da Escola de Artes, Ciência e Humanidades - USP

2003

• Departamento de Estatística – IMECC – UNICAMP

2002

• Instituo de Economia - UFRJ

20

1994

• Instituo de Economia - UNICAMP

Pos-Doctoral Supervision (completed)

2016 Marília Gabriela Elias da Silva (EESP) 2010 Hellinton Takada EESP-FGV 2007 Jorge Chami – Insper

Pos-Doctoral Supervision (in progress)

Carlos Trucios (EESP)

Doctoral Supervision (completed)

2017

Luis Fernando Pereira Azevedo (EESP) now MZK Asset Management

2016

Guido Chagas ((ESP) now Utau-Unibanco Asset Management

2014

Daniel Palaia (EESP co-supervisor) Economist at Itaú-Unibanco.

Marília Gabriela Elias da Silva (EESP) now Pos_Doctoral at São Paulo School of Economics –

FGV-SP.

Andre Barbosa Oliveira (EESP) Associate Professor at Department of Economics Fluminense

Federal University (UFF).

Fernando Barbi (EESP) now Macroeconomist do Quantum Global Research Lab - Zurich –

Switzerland.

Heleno Piazentini Vieira (EESP) now Lecture at INSPER

Marcelo Gonçalves da Silva Fonseca (EESP) now Chief Economist at Autonomy Capital – Brazil.

2012

Denísio Augusto Liberato Delfino (EESP - co-supervisor) now at Private Bank of Banco do

Brasil.

2004

21

Emerson Fernandes Marçal (FEA-USP) now at Business Department at Mackenzie University

and Director of CEMAP – FGV-SP.

1999

Cícero Augusto Vieira Neto (FEA-US) now COO at BM&FBOVESPA.

1998

Marcio Holland de Brito (IE-UNICAMP - co-supervisor) now Associate Professor at São Paulo

School of Economics - FGV-SP.

1994

Henrique Dantas Neder (IE-UNICAMP - co-supervisor) now Associate Professor at the

Department of Economics at Universidade Federal de Uberlândia.

Doctoral Supervision (in progress)

Jordano Rocha (EESP)

Ronan Cunha (EESP)

Academic Master Supervision (completed)

2015

Eduardo Hinterholz (EESP)

Jordano Rocha (EESP) now PhD candidate at São Paulo School of Economics – FGV.

Ronan Cunha (EESP) now PhD candidate at São Paulo School of Economics – FGV.

2012

Hugo Leonardo Freitas de Moraes Rego (EESP) now Economist at BNDES

Vanessa Sulzbach (EESP) now Economist at Fundação de Economia e Estatística – RGS.

Bruno Pontes de Arruda (EESP) now Economist at BBI Equity Research.

2011

Luis Fernando Pereira Azevedo (EESP) now Ph D candidate at São Paulo School of Economics-

FGV and Economist at M-Safra Bank in Brazil.

Marcos Vinício Wink Junior (EESP) now Economist at Fundação de Economia e Estatística – RGS

2010

Priscila Fernandes Ribeiro (EESP) now Lecture at INSPER and Research at FIPE

Ricardo Pires de Souza Santos (EESP) now Economist at Itaú-Unibanco Bank.

Darcio Aurelio Bentton Lazzarini (EESP) now at Varanda Grill Restaurant.

22

2009

Pedro Barguil Colussi EESP) now Economist at Itaú-Unibanco Bank.

2006

Renato Santaniello (PPGE-UFRGS - co-supervisor) now Head of Structured Funds and

Derivatives at Santander Asset Management Brazil.

2003

Pedro Abreu Pessoa de Mendonça (IME-USP)

2002

Flavia C. Pinto (IME-USP) now at BM&FBOVESPA

Ricardo Fruscaldi de Figueiredo Baptista (IME-USP) now CRO at UBS Brazil

Gustavo Barbosa Soares (FEA-USP) now at BW Gestão de Investimentos Ltda

2000

Nuno M. C. G. Almeida (FEA-USP) now Economist at BW Gestão de Investimentos Ltda

1999

Marco Mollica (FEA-USP) now Partner at Rosemberg Partners.

1998

Mario M. M. da Luz Correa (FEA-USP) (Bolsa FAPESP)

Luiz Alberto Rabi Jr (IME-USP) now Chief Economist at Serasa–Experience

Roberto Francisco Casagrande Herdeiro (IME-USP) now Director of Finance and Investiment at

BB – Private Pension

Marislei Nishijima (IE-UNICAMP - co-supervisor) now Associate Professor (Livre Docente) at

USP-Leste.

Emerson Fernandes Marçal (IE-UNICAMP - co-supervisor) now at at Business Department at

Mackenzie University at Director of CEMAP – FGV-SP.

1997

Maurício Enrique Zevallos Herencia (IMECC-UNICAMP) - co-supervisor) now Assistant

Professor at IMECC-UNICAMP

Adriana Schor (Economic Department at PUC-RJ - co-supervisor) - Assistant Professor at

International Relations – USP.

1996

Flavio Ziegelmann (IME-USP) now Associate Professor at Department of Statistics UFRGS and

PPGE– UFRGS.

1994

Claudia Fregapane Sciortino (IME-USP) –

23

Maria Laura Hartpence (IME-USP) now at Head of Fixed Income Research at HSBC Global Asset

Management, Paris, France.

1993

Marcio Issao Nakane (FEA-USP) now Assistant Professor at da FEA- USP.

1987

Renato Martins Assunção (IMPA) now Professor of Computer Science - UFMG

Professional Master Supervision (completed)

2017

Marcelo de Castro Orefice (EESP) now Kinea Asset Management

Tommaso Monoli (EESP & NOVA-SBE)

2016

Antonie Elies Robert André Berger (EESP & NOVA-SBE)

Issac Borras Perez (EESP & NOVA-SBE)

Ruben Daniel Kuijper (EESP & NOVA-SBE)

2015

Yurie Yassunaga (EESP) now at BM&FBOVESPA. Maximilian-Benedikt Koehn (EESP & NOVA-SBE) now Wealth Managementg at Commerzbank AG, Switzerland. Ricardo Miguel Silva Barão (EESP & NOVA-SBE). 2014

Meire Midori Hori Pereira (EESP) now at BM&FBOVESPA.

2012

Pedro Nielsen Rotta (EESP) now Ph D candidate at Department of Economics – University of

Buffalo – SUNY (with scholarship from the university).

Eduardo Augusto Aun (EESP) now Portfolio Manager/Trader at Bradesco Bank.

Michel Ferreira Cardia Haddad (EESP)– now Manager at Transaction Advisory Services at EY –

Brazil.

2010

24

Arthur Ribeiro de Aquino Figueiredo Mello (EESP) now Trader at Pátria Investimentos.

Daniel Guedine Serafini (EESP) now at Performance Invest at Prosper Corretora.

2009

Eduardo Longo (EESP) now Partner at – Jouney Capital Asset Management.

Marina Dal Bianco Negrisoli (EESP) now Economist at Fibria Celulose S/A.

2008

Rodrigo Chicaroli (INSPER) now Trader at Pátria Investimentos.

Leonardo José Cappa de Oliveira (INSPER) now Economist at Rosas Capital Management.

Juliano Sucupira Cecilio (INSPER) now Chief Economist at J. Safra Asset Management.

2007

Pedro Gabriel Boainain (INSPER) now Portfolio Manager at Itaú-Unibanco Bank.

Gustavo Liberali (INSPER) now Head of Trade Sanctions Compliance at Louis Dreyfus – Paris –

França.

José Eduardo Freire Damião (INSPER) now Economist at Itaú-Unibanco Bank.

Alexandre Noboru Chára (INSPER) now Economist at Citigroup Brazil.

Rodrigo de Araujo (INSPER) now Economist at Itaú-Unibanco Bank.

2006

Denis Eduardo Pereira (INSPER) now Head of Risk & Capital Management at Intesa São Paulo

Antonio Arthur Pitanguy Sampaio (INSPER) now LLA ANDBANK Brazil.

Theodore O. Pemberton Jr (INSPER) now Trade of Oil and Energy.

Undergraduate Supervision (completed)

2016 João Tranquez (EESP)

2015

João Pedro Rudge Leite (EESP)

João Otávio Nunes Araujo (EESP)

25

2008

Felipe Oliveira Joaquim de Carvalho (Insper)

2007

Francisco Guilherme Nastari (Insper)

2006

Gilberto Augusto de Morais Almeida (Insper)

Stefanie Lengsfeld Birman (Insper) 2003 Andre Frankel (Insper) Danillo Cacaos (Insper) Gustavo Figueiredo (Insper) Jose Oswaldo de Oliveira Monforte (Insper) Soarestes Soares dos Santos (Insper) 1999

Gustavo Barbosa Soares (FEA-USP) 1998 Leonardo Galvão Gonçalves (FEA-USP) 1996 Mathias Figueiredo (FEA-USP)