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Nonparametric entropy-based tests of independence between stochastic processes

Fernandes, Marcelo; Néri, Breno de Andrade Pinheiro - In: Econometric reviews 29 (2010) 3, pp. 276-306

Persistent link: https://www.econbiz.de/10003965134

Omitted Asymmetric Persistence and Conditional Heteroskedasticity

Lima, Luiz; Neri, Breno - In: Economics Bulletin 3 (2006) 5, pp. 1-6

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 of ARCH errors. These results suggest that the LM-ARCH and the...

Persistent link: https://www.econbiz.de/10005110877

A test for strict stationarity

Lima, Luiz Renato; Néri, Breno de Andrade Pinheiro - In: Uncertainty analysis in econometrics with applications …, (pp. 17-30). 2013

Persistent link: https://www.econbiz.de/10009711170

Comparing value-at-risk methodologies

Lima, Luiz Renato; Néri, Breno de Andrade Pinheiro - In: Brazilian review of econometrics : the review of the … 27 (2007) 1, pp. 1-25

Persistent link: https://www.econbiz.de/10003591125

Comparing value-at-risk methodologies

Lima, Luiz Renato (contributor); … - 2006

Persistent link: https://www.econbiz.de/10003390568

Central limit theorem for asymmetric kernel functionals

Fernandes, Marcelo - 2000

Persistent link: https://www.econbiz.de/10001480441

Non-linearity and exchange rates

Fernandes, Marcelo - In: Journal of forecasting 17 (1998) 7, pp. 497-514

Persistent link: https://www.econbiz.de/10001363622

Economics and literature : an examination of Gulliver's travels

Fernandes, Marcelo - In: Journal of economic studies 28 (2001) 2/3, pp. 92-105

Persistent link: https://www.econbiz.de/10001585848

Testing for a flexible non-linear link between short-term Eurorates and spreads

Fernandes, Marcelo - In: The European journal of finance 9 (2003) 2, pp. 125-145

Persistent link: https://www.econbiz.de/10001756876

Bounds for the probability distribution function of the linear ACD process

Fernandes, Marcelo (contributor) - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001953810

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