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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

The quantitative easing effect on the stock market of the USA, the UK and Japan : An ARDL approach for the crisis period

Lima, Luiz; Vasconcelos, Claudio Foffano; Simão, Jose; … - In: Journal of Economic Studies 43 (2016) 6, pp. 1006-1021

Purpose The purpose of this paper is to analyze if the unconventional monetary policy, known as quantitative easing (QE) practiced by central banks in the USA, the UK, and Japan was effective to increase the market share after subprime crisis. Design/methodology/approach In order to analyze the...

Persistent link: https://www.econbiz.de/10014864240

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

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