Breno Neri — Research

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Published Papers

2008 Nonparametric Entropy-Based Tests of Independence between Stochastic Processes. Econometric Reviews (forthcoming), with Marcelo Fernandes.

R Code: Monte Carlo
R Code: Empirical Exercise

2007 Comparing Value-at-Risk Methodologies. Brazilian Review of Econometrics 27 (1), with Luiz Lima.

Presentation: 12th International Conference on Computing in Economics and Finance, Society for Computational Economics, Cyprus, 2006.
Presentation: 2006 Meeting of the Brazilian Finance Society, Vitória-ES, Brazil.
Ox Code: Conditional Heterskedasticity Estimation by Several Models and Selection by Information Criteria
Ox Code: VaR Forecast
R Code: VaR Forecast
R Code: VaR Forecast (Calls Ox during optimizations!)
R Code: BackTests
R Code: Monte Carlo
R Code: Monte Carlo (Calls Ox during optimizations!)
R Code: Test for Significance of ARCH Quantile Coefficients
R Code: Frequency of Rejection of Test Statistics from MC Simulations
R Code: Histogram Plotter for MC Results
R Code: Descriptive Statistics for MC Results
R Code: Mann-Whitney and Wilcoxon Rank Sum Two Sided Test with Continuity Correction for the Mean of the Test Statistics of MC Results
R Code: Bias and MSE for MC Results
R Code: Empirical Exercise

2006 Omitted Asymmetric Persistence and Conditional Heterosckedasticity. Economics Bulletin 3 (5), with Luiz Lima.

Presentation
R Code: Koenker-Machado Test for Quantile AutoRegressive Processes

Working Papers

2008 A Test for Strict Stationarity, with Luiz Lima.

Presentation: Third Year Paper Seminar, NYU
R Code: Monte Carlo
R Code: Computes Several Stationarity Tests

2006 Evidences of Risk-Return Trade-Off in IBOVESPA Using High Frequency Data, with Hilton Notini.

Presentation: 2006 Meeting of the Brazilian Finance Society, Vitória-ES, Brazil.