1 / 11

A Study on Time-Varying Quantile and Its Applications

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).

aurelia-valenzuela
Download Presentation

A Study on Time-Varying Quantile and Its Applications

An Image/Link below is provided (as is) to download presentation Download Policy: Content on the Website is provided to you AS IS for your information and personal use and may not be sold / licensed / shared on other websites without getting consent from its author. Content is provided to you AS IS for your information and personal use only. Download presentation by click this link. While downloading, if for some reason you are not able to download a presentation, the publisher may have deleted the file from their server. During download, if you can't get a presentation, the file might be deleted by the publisher.

E N D

Presentation Transcript

  1. 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)

  2. Omitted Asymmetric Persistence and Conditional Heteroskedasticity, Economics Bulletin Vol. 3, 2006. Comparing Value-at-Risk Methodologies. Two Papers EPGE - FGV

  3. 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

  4. Introduction Model Monte Carlo ExerciseConclusion The Econometric Model:QAR(p) Koenker and Xiao, 2004 EPGE - FGV

  5. Introduction Model Monte Carlo ExerciseConclusion The Econometric Model:QAR(p) EPGE - FGV

  6. Introduction Model Monte Carlo ExerciseConclusion The Econometric Model:QAR(p) EPGE - FGV

  7. Introduction Model Monte Carlo ExerciseConclusion The Econometric Model:QAR(p) EPGE - FGV

  8. IntroductionModelMonte Carlo ExerciseConclusion Monte Carlo Simulation:Sizes of 5% Tests, 10000 Replications EPGE - FGV

  9. IntroductionModel Monte Carlo ExerciseConclusion S&P 500:Critical Value at 5%: 2.140 EPGE - FGV

  10. 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

  11. Thank You! Breno de Andrade Pinheiro Néri Master Degree Thesis Graduate School of Economics (EPGE) Getúlio Vargas Foundation (FGV)

More Related