Listagem Produção Intelectual em Bases Externas por autor "Néri, Breno de Andrade Pinheiro"

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    • 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 ...