Listagem Produção Intelectual em Bases Externas por autor "Lima, Luiz Renato"

Itens para a visualização no momento 1-3 of 3

    • Comparing value-at-risk methodologies 

      Lima, Luiz Renato; Néri, Breno de Andrade Pinheiro
      2007-05-01
      In this paper, we compare four different Value-at-Risk (V aR) methodologies through Monte Carlo experiments. Our results indicate that the method based on quantile regression with ARCH effect dominates other methods that ...

    • Omitted asymmetric persistence and conditional heteroskedasticity 

      Lima, Luiz Renato; Néri, Breno de Andrade Pinheiro
      2006
      We show that asymmetric persistence induces ARCH effects, but the LM-ARCH test has power against it. On the other hand, the test for asymmetric dynamics proposed by Koenker and Xiao (2004) has correct size under the presence ...

    • Public debt sustainability and endogenous seigniorage in Brazil: time-series evidence from 1947-1992 

      Issler, João Victor; Lima, Luiz Renato
      2000-06
      In this paper, we investigate three central issues in public finance. First, was the path of public debt sustainable during 1947-1992? Second, how has the government balanced the budget after shocks to either revenues or ...