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A Study on Time-Varying Quantile and Its Applications. Breno de Andrade Pinheiro Néri Luiz Renato Regis de Oliveira Lima Thesis Advisor Master Degree Thesis Graduate School of Economics (EPGE) Getúlio Vargas Foundation (FGV).
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A Study on Time-Varying Quantile and Its Applications Breno de Andrade Pinheiro Néri Luiz Renato Regis de Oliveira Lima Thesis Advisor Master Degree Thesis Graduate School of Economics (EPGE) Getúlio Vargas Foundation (FGV)
Omitted Asymmetric Persistence and Conditional Heteroskedasticity, Economics Bulletin Vol. 3, 2006. Comparing Value-at-Risk Methodologies. Two Papers EPGE - FGV
Introduction Model Monte Carlo ExerciseConclusion Asymmetric Dynamics induces an ARCH effect. LM-ARCH Test has power against it. Test for symmetry has correct size under the presence of ARCH. Omitted Asymmetric Persistence and Conditional Heteroskedasticity EPGE - FGV
Introduction Model Monte Carlo ExerciseConclusion The Econometric Model:QAR(p) Koenker and Xiao, 2004 EPGE - FGV
Introduction Model Monte Carlo ExerciseConclusion The Econometric Model:QAR(p) EPGE - FGV
Introduction Model Monte Carlo ExerciseConclusion The Econometric Model:QAR(p) EPGE - FGV
Introduction Model Monte Carlo ExerciseConclusion The Econometric Model:QAR(p) EPGE - FGV
IntroductionModelMonte Carlo ExerciseConclusion Monte Carlo Simulation:Sizes of 5% Tests, 10000 Replications EPGE - FGV
IntroductionModel Monte Carlo ExerciseConclusion S&P 500:Critical Value at 5%: 2.140 EPGE - FGV
IntroductionModel Monte Carlo ExerciseConclusion S&P 500:Critical Value at 5%: 2.140 • Asymmetric Dynamics induces an ARCH effect. • LM-ARCH Test has power against it. • Test for symmetry has correct size under the presence of ARCH. EPGE - FGV
Thank You! Breno de Andrade Pinheiro Néri Master Degree Thesis Graduate School of Economics (EPGE) Getúlio Vargas Foundation (FGV)