Tesis sobre el tema "Price variances"

De nos jours, la gestion des revenus (Revenue Management, RM) a été largement appliquée dans le monde entier pour maximiser les revenus et les bénéfices à court terme des entreprises. Cependant, l'effet du RM sur le profit à long terme reste sans réponse. Afin de contribuer à combler les lacunes de la littérature sur la tarification, la présente étude a d'abord cherché à mettre en lumière les liens entre la perception des clients et les réponses comportementales qui en découlent et qui sont directement associées au profit à long terme des entreprises, notamment la perception de l'équité des prix, l'acceptation des prix et l'intention de changer de fournisseur. Deuxièmement, la présente étude a permis d'élucider la manière dont trois caractéristiques typiques de la variation des prix causée par la pratique de la RM (intensité, vitesse et régularité) influencent la perception de l'équité des prix, l'acceptation des prix et l'intention de changer de fournisseur chez les clients. Troisièmement, nous avons également découvert si le type de variation de prix (une augmentation ou une diminution de prix) modère les influences de l'intensité, de la vitesse et de la régularité sur la perception et les réactions des trois clients. Les résultats de cette étude ont fourni des réponses détaillées aux trois objectifs de recherche. Les contributions théoriques des résultats de la recherche ont été discutées, suivies des suggestions managériales pour établir une stratégie de tarification RM plus efficace pour un développement financier durable à long terme, et des recommandations pour les recherches futures
Nowadays, Revenue Management (RM) has been applied widely across industries around the world to maximize the short-term revenue and profit of firms. However, the effect of this pricing strategy on the long-term revenue and profit remains unanswered. In the investigation of the RM practice which discriminates prices for the same customer over time, to contribute to filling the gap in the pricing literature, the present study, firstly, aimed to illuminate the links between customer perception and consequent behavioural responses which are directly associated with the long-term profit of firms, including Price fairness perception, Price acceptance, and Switching intention. Secondly, the present study elucidated how three typical price variance characteristics caused by the RM practice (Intensity, Speed, and Regularity) influence customers’ Price fairness perception, Price acceptance, and Switching intention. Thirdly, whether Type of price variance (a price increase or a price decrease) moderates the influences of the Intensity, Speed, and Regularity on the three customers’ perception and reactions was also discovered in this study. Findings of the current study not only provided the detailed answers for the three research objectives, but also shed light on the interaction effects of Intensity, Speed, and Regularity on customers’ perception and reactions. Theoretical contributions of the research findings were discussed, followed by the managerial suggestions to establish a more efficient RM pricing Strategy for sustainable financial development in the long term, and recommendations for future research

Asset variance and covariance are fundamental for financial risk management and many finance applications. With the advent of tick-by-tick high-frequency data, the estimation of univariate variances and multivariate covariance matrices has attracted more attention from econometricians. Many of the proposed high-frequency variance and covariance estimators are based on time-domain measurements. In this thesis, we investigate variance and covariance estimators constructed on the price domain: the price duration based variance and covariance estimators. A price event occurs when the absolute cumulative price change equals or exceeds a pre-specified threshold value. The time taken between two consecutive price events is a price duration. Intuitively, shorter durations are indicative of higher volatility. The duration-based approach provides a new angle to look at the high-frequency data, additionally, the duration based variance and covariance estimators are shown to be more efficient than competing time-domain high-frequency estimators. The information advantage of the duration based approach is demonstrated through two empirical applications, a volatility forecasting exercise and an out-of-sample globalminimum-variance portfolio allocation problem. The duration based estimators are shown to provide both better forecasting performance and better portfolio allocation results. The paper in Chapter 2 is under the first round Revise&Resubmit to the Journal of Business & Economic Statistics. In Chapter 2, we discuss the estimation of univariate variance using price durations. Variance estimation using high-frequency data needs to take into account the effect of market microstructure (MMS) noise, including discrete transaction times, discrete price levels, and bid/ask spreads, as well as price jumps. The price duration estimator has a built-in feature to be robust to large price jumps, while its robustness against the MMS noise is achieved through a careful selection of the threshold value that defines a price event. We discuss the selection of this optimal threshold value through both simulation and empirical evidence. We devise both a non-parametric and a parametric estimator. For the estimation of integrated variance at a daily frequency, the non-parametric duration based variance estimator suffices, while the parametric estimator additionally provides us with an instantaneous variance estimator. As an empirical application to 20 DJIA stocks, we compare the volatility forecasting performance of three classes of volatility estimators, including the realized volatility, the option implied volatility, and the price duration based volatility estimators, on one-day, one-week, and one-month horizons. Forecasting comparisons among individual estimators, as well as in a combination setup, are considered. The duration based estimators, especially the parametric price duration volatility estimator, are found to provide more accurate out-of-sample forecasts. In Chapter 3, we introduce a covariance matrix estimator using price durations. In the multivariate setting, there is the additional issue of nonsynchronous trade arrival times when estimating a high-dimensional variance-covariance matrix using tick-by-tick transaction data. Through simulation, we assess the effects of the lasttick time-synchronization method and MMS noise on the duration based covariance estimator, and compare its accuracy and efficiency with other candidate covariance estimators. Since the covariance matrix is estimated on a pairwise basis, it is not guaranteed to be positive semi-definite (psd). To reduce the number of negative eigenvalues produced by a non-psd matrix, we devise an averaging estimator which is the average of a wide range of duration based covariance matrix estimators. This estimator is applied to a portfolio of 19 DJIA stocks on an out-of-sample global minimum variance portfolio allocation problem where the objective is to minimize the one-day ahead portfolio variance. A simple shrinkage technique is used to improve non-psd and ill-conditioned matrices. The price duration covariance matrix estimator is shown to provide a comparably low portfolio variance while yielding considerably lower portfolio turnover rates than previous estimators.

This paper builds on the study Prices on the Second-hand Market for Swedish Family Housesconducted by Lennart Berg, economist and associate professor emeritus from UppsalaUniversity in 2002. This study attempts to identify inter-and intraregional pricedependencies in Sweden for the second hand market for family houses. The house priceindices used in this econometric analysis commences in 1990:1 and ends in 2018:4 for allregions in accordance to NUTS 2 in Sweden.This thesis models the change of the regional prices for one-and two family houses indicatingthat the metropolitan area of Stockholm contributes predominantly to all other regionsthroughout the country. In addition, the capital city also shows cointegrated relationshipswith all regions although not the contrary. Shocks to the housing market of Stockholmindicate that Gothenburg, the Western region and Malmö are affected contemporaneouslyfollowed by the other regions nationwide with a certain time lag leading to say that thecontribution and influence of the capital city´s house price development leads the pricedevelopment throughout the country, Sweden.
Detta examensarbete ligger till grund av den tidigare studien Prices on the Second-handMarket for Swedish Family Houses av Lennart Berg, nationalekonom och professor emerituspå Uppsala Universitet, 2002. Denna studie har som mål att finna de inter-och intraregionala pris förhållanden i Sverige på den inhemska andrahandsmarknaden för en-och tvåfamiljhus. Med hjälp av ekonometriska analyser har fastighetsprisindex använts i rapportenmellan år 1990:1 till 2018:4 för samtliga regioner i landet enligt indelning av NUTS 2.Denna uppsats skattar de regionala prisförändringar för en-och två familjehus därindikationer tyder på att Stockholms län verkar vara prisledande i relation till alla andraregioner och storstadsområden i Sverige. Därutöver, visar det sig att huvudstaden harkointegrerande samband med resten av landets regioner dock ej tvärtom. Simuleradeekonomiska chocker på Stockholms län visar att att Stor-Göteborg, Västsverige och Stor-Malmö är påverkade samtidigt med hänsyn till tid följd av de resterande regionerna med ettvisst lag. Detta kan tyda på att Stockholms regionala utveckling samt prispåverkan lederprisutvecklingen i landet.

The goal of this research was to determine which population factors were associated with iPad pricing differences across countries. Specifically, this paper measured the relationship between iPad prices in a given country and its U.S. dollar exchange rate, amount of income inequality, Gross Domestic Product per capita, luxury good sales growth, Individualism Index score, and population density. Panel data was collected for the iPad 2, the iPad Retina, and the iPad Mini tablets from 38 countries of varying geographic locations, economic paradigms, and political structures. The pooled data set yielded 114 observations in total. Regressing iPad price as a percent of national average income revealed a positive relationship between price and status consciousness as well as cultural individualism. There existed a negative relationship between iPad price and luxury sales growth. These results indicated that the iPad served as a status symbol with higher demand in countries that promoted individualism and exhibited higher degrees of income inequality.

This dissertation studies a couple of variance-dependent instruments in the financial market. Firstly, a number of aspects of the variance swap in connection to the Barndorff-Nielsen and Shephard model are studied. A partial integro-differential equation that describes the dynamics of the arbitrage-free price of the variance swap is formulated. Under appropriate assumptions for the first four cumulants of the driving subordinator, a Ve\v{c}e\v{r}-type theorem is proved. The bounds of the arbitrage-free variance swap price are also found. Finally, a price-weighted index modulated by market variance is introduced. The large-basket limit dynamics of the price index and the ``error term" are derived. Empirical data driven numerical examples are provided in support of the proposed price index. We implemented Feynman path integral method for the analysis of option pricing for certain L\'evy process-driven financial markets. For such markets, we find closed form solutions of transition probability density functions of option pricing in terms of various special functions. Asymptotic analysis of transition probability density functions is provided. We also find expressions for transition probability density functions in terms of various special functions for certain L\'evy process-driven markets where the interest rate is stochastic.

This study examines the dynamic relationship between changes in oil prices and the economic policy uncertainty index for a sample of both net oil-exporting and net oil-importing countries over the period 1997:01-2013:06. To achieve that, we extend the Diebold and Yilmaz (2009, 2012) dynamic spillover index using structural decomposition. The results reveal that economic policy uncertainty (oil price shocks) responds negatively to aggregate demand oil price shocks (economic policy uncertainty shocks). Furthermore, during the Great Recession of 2007-2009, total spillovers increase considerably, reaching unprecedented heights. Moreover, in net terms, economic policy uncertainty becomes the dominant transmitter of shocks between 1997 and 2009, while in the post-2009 period there is a significant role for supply-side and oil specific demand shocks, as net transmitters of spillover effects. These results are important for policy makers, as well as, investors interested in the oil market. (authors' abstract)
Series: Department of Economics Working Paper Series

This paper examines the oil price-macro economy relationship by means of analyzing the impact ofoil price on Industrial production, real effective exchange rate, long term interest rate and inflation rate for a sample of ten OECD countries using quarterly data for the period 1970q1-2011q1.The impact of oil price shock on industrial production is negative and occurs with a lag of one year. However, the impact has weakened considerably compared to the 1970s. The impact on real effective exchange rate is negative/positive for a net importer/exporter, and the magnitude of the shock depends on the county´s share of net import/export of total world demand/supply. Interest rates are affected negatively, through increase in inflation rates following the oil price shock. The effect tends to die out after 5-8 quarters following the shock for most of the variables and countries. This paper also applies alternative methods to test for unit root and cointegration, which takes into account for structural breaks in the data. The weakness of Phillips-Peron test is clearly demonstrated in the case of inflation rates and interest rates, where the test falsely considered the series to be non-stationary when they in fact are stationary around a structural break. There is also strong evidence of cointegration between oil price and inflation rates and between oil price and interest rates, especially when taking account for structural breaks.
This study also highlights the relevance of oil scarcity and oil peak theory. It is shown that these two terms should receive more attention than they have received so far as more oilexporters have reached their production peaks and more are likely to be followed. According to the data, renewable source of energy are not likely to dominate OECD countries energy mix in the short term, instead, there is a trend of increasing natural gas consumption among most of OECD countries. Natural gas markets are likely to play an equal role in the future as oil markets do today. The dilemma that importing countries are facing today, particularly in Europe, is whether to expose their markets to Russia or to the Middle East.

This thesis presents a collection of papers that has been published, accepted or submitted for publication. They assess price, volatility and market relationships in the five regional electricity markets in the Australian National Electricity Market (NEM): namely, New South Wales (NSW), Queensland (QLD), South Australia (SA), the Snowy Mountains Hydroelectric Scheme (SNO) and Victoria (VIC). The transmission networks that link regional systems via interconnectors across the eastern states have played an important role in the connection of the regional markets into an efficient national electricity market. During peak periods, the interconnectors become congested and the NEM separates into its regions, promoting price differences across the market and exacerbating reliability problems in regional utilities. This thesis is motivated in part by the fact that assessment of these prices and volatility within and between regional markets allows for better forecasts by electricity producers, transmitters and retailers and the efficient distribution of energy on a national level. The first two papers explore whether the lagged price and volatility information flows of the connected spot electricity markets can be used to forecast the pricing behaviour of individual markets. A multivariate generalised autoregressive conditional heteroskedasticity (MGARCH) model is used to identify the source and magnitude of price and volatility spillovers within (intra-relationship) and across (inter-relationship) the various spot markets. The results show evidence of the fact that prices in one market can be explained by their own price lagged one-period and are independent of lagged spot prices of any other markets when daily data is employed. This implies that the regional spot electricity markets are not fully integrated. However, there is also evidence of a large number of significant ownvolatility and cross-volatility spillovers in all five markets indicating that shocks in some markets will affect price volatility in others. Similar conclusions are obtained when the daily data are disaggregated into peak and off-peak periods, suggesting that the spot electricity markets are still rather isolated. These results inspired the research underlying the third paper of the thesis on modelling the dynamics of spot electricity prices in each regional market. A family of generalised autoregressive conditional heteroskedasticity (GARCH), RiskMetrics, normal Asymmetric Power ARCH (APARCH), Student APARCH and skewed Student APARCH is used to model the time-varying variance in prices with the inclusion of news arrival as proxied by the contemporaneous volume of demand, time-of-day, day-of-week and month-of-year effects as exogenous explanatory variables. The important contribution in this paper lies in the use of two latter methodologies, namely, the Student APARCH and skewed Student APARCH which take account of the skewness and fat tailed characteristics of the electricity spot price series. The results indicate significant innovation spillovers (ARCH effects) and volatility spillovers (GARCH effects) in the conditional standard deviation equation, even with market and calendar effects included. Intraday prices also exhibit significant asymmetric responses of volatility to the flow of information (that is, positive shocks or good news are associated with higher volatility than negative shocks or bad news). The fourth research paper attempts to capture salient feature of price hikes or spikes in wholesale electricity markets. The results show that electricity prices exhibit stronger mean-reversion after a price spike than the mean-reversion in the normal period, suggesting the electricity price quickly returns from some extreme position (such as a price spike) to equilibrium; this is, extreme price spikes are shortlived. Mean-reversion can be measured in a separate regime from the normal regime using Markov probability transition to identify the different regimes. The fifth and final paper investigates whether interstate/regional trade has enhanced the efficiency of each spot electricity market. Multiple variance ratio tests are used to determine if Australian spot electricity markets follow a random walk; that is, if they are informationally efficient. The results indicate that despite the presence of a national market only the Victorian market during the off-peak period is informationally (or market) efficient and follows a random walk. This thesis makes a significant contribution in estimating the volatility and the efficiency of the wholesale electricity prices by employing four advanced time series techniques that have not been previously explored in the Australian context. An understanding of the modelling and forecastability of electricity spot price volatility across and within the Australian spot markets is vital for generators, distributors and market regulators. Such an understanding influences the pricing of derivative contracts traded on the electricity markets and enables market participants to better manage their financial risks.

This thesis presents a collection of papers that has been published, accepted or submitted for publication. They assess price, volatility and market relationships in the five regional electricity markets in the Australian National Electricity Market (NEM): namely, New South Wales (NSW), Queensland (QLD), South Australia (SA), the Snowy Mountains Hydroelectric Scheme (SNO) and Victoria (VIC). The transmission networks that link regional systems via interconnectors across the eastern states have played an important role in the connection of the regional markets into an efficient national electricity market. During peak periods, the interconnectors become congested and the NEM separates into its regions, promoting price differences across the market and exacerbating reliability problems in regional utilities. This thesis is motivated in part by the fact that assessment of these prices and volatility within and between regional markets allows for better forecasts by electricity producers, transmitters and retailers and the efficient distribution of energy on a national level. The first two papers explore whether the lagged price and volatility information flows of the connected spot electricity markets can be used to forecast the pricing behaviour of individual markets. A multivariate generalised autoregressive conditional heteroskedasticity (MGARCH) model is used to identify the source and magnitude of price and volatility spillovers within (intra-relationship) and across (inter-relationship) the various spot markets. The results show evidence of the fact that prices in one market can be explained by their own price lagged one-period and are independent of lagged spot prices of any other markets when daily data is employed. This implies that the regional spot electricity markets are not fully integrated. However, there is also evidence of a large number of significant ownvolatility and cross-volatility spillovers in all five markets indicating that shocks in some markets will affect price volatility in others. Similar conclusions are obtained when the daily data are disaggregated into peak and off-peak periods, suggesting that the spot electricity markets are still rather isolated. These results inspired the research underlying the third paper of the thesis on modelling the dynamics of spot electricity prices in each regional market. A family of generalised autoregressive conditional heteroskedasticity (GARCH), RiskMetrics, normal Asymmetric Power ARCH (APARCH), Student APARCH and skewed Student APARCH is used to model the time-varying variance in prices with the inclusion of news arrival as proxied by the contemporaneous volume of demand, time-of-day, day-of-week and month-of-year effects as exogenous explanatory variables. The important contribution in this paper lies in the use of two latter methodologies, namely, the Student APARCH and skewed Student APARCH which take account of the skewness and fat tailed characteristics of the electricity spot price series. The results indicate significant innovation spillovers (ARCH effects) and volatility spillovers (GARCH effects) in the conditional standard deviation equation, even with market and calendar effects included. Intraday prices also exhibit significant asymmetric responses of volatility to the flow of information (that is, positive shocks or good news are associated with higher volatility than negative shocks or bad news). The fourth research paper attempts to capture salient feature of price hikes or spikes in wholesale electricity markets. The results show that electricity prices exhibit stronger mean-reversion after a price spike than the mean-reversion in the normal period, suggesting the electricity price quickly returns from some extreme position (such as a price spike) to equilibrium; this is, extreme price spikes are shortlived. Mean-reversion can be measured in a separate regime from the normal regime using Markov probability transition to identify the different regimes. The fifth and final paper investigates whether interstate/regional trade has enhanced the efficiency of each spot electricity market. Multiple variance ratio tests are used to determine if Australian spot electricity markets follow a random walk; that is, if they are informationally efficient. The results indicate that despite the presence of a national market only the Victorian market during the off-peak period is informationally (or market) efficient and follows a random walk. This thesis makes a significant contribution in estimating the volatility and the efficiency of the wholesale electricity prices by employing four advanced time series techniques that have not been previously explored in the Australian context. An understanding of the modelling and forecastability of electricity spot price volatility across and within the Australian spot markets is vital for generators, distributors and market regulators. Such an understanding influences the pricing of derivative contracts traded on the electricity markets and enables market participants to better manage their financial risks.

Dans un graphe non orienté, le Problème de Coloration de Graphe (PCG) consiste à assigner à chaque sommet du graphe une couleur de telle sorte qu'aucune paire de sommets adjacents n'aient la même couleur et le nombre total de couleurs est minimisé. DSATUR est un algorithme exact efficace pour résoudre le PCG. Un de ses défauts est qu'une borne inférieure est calculée une seule fois au noeud racine de l'algorithme de branchement, et n'est jamais mise à jour. Notre nouvelle version de DSATUR surpasse l'état de l'art pour un ensemble d'instances aléatoires à haute densité, augmentant significativement la taille des instances résolues. Nous étudions trois formulations PLNE pour le Problème de la Somme Chromatique Minimale (PSCM). Chaque couleur est représentée par un entier naturel. Le PSCM cherche à minimiser la somme des cardinalités des sous-ensembles des sommets recevant la même couleur, pondérés par l'entier correspondant à la couleur, de telle sorte que toute paire de sommets adjacents reçoive des couleurs différentes. Nous nous concentrons sur l'étude d'une formulation étendue et proposons un algorithme de Branch-and-Price
Given an undirected graph, the Vertex Coloring Problem (VCP) consists of assigning a color to each vertex of the graph such that two adjacent vertices do not share the same color and the total number of colors is minimized. DSATUR is an effective exact algorithm for the VCP. We introduce new lower bounding techniques enabling the computing of a lower bound at each node of the branching scheme. Our new DSATUR outperforms the state of the art for random VCP instances with high density, significantly increasing the size of solvable instances. Similar results can be achieved for a subset of high density DIMACS instances. We study three ILP formulations for the Minimum Sum Coloring Problem (MSCP). The problem is an extension of the classical Vertex Coloring Problem in which each color is represented by a positive natural number. The MSCP asks to minimize the sum of the cardinality of subsets of vertices receiving the same color, weighted by the index of the color, while ensuring that vertices linked by an edge receive different colors. We focus on studying an extended formulation and devise a complete Branch-and-Price algorithm

Cette thèse analyse la prise en charge de la maladie de Creutzfeldt-Jakob (MCJ), en particulier en ce qui concerne le diagnostic, les soins, la prévention. Les questions éthiques soulevés sont repérées. Le travail personnel comporte, entre autres : une revue de dossiers, une enquête auprès de neurologues concernant l'information dont ils souhaitent disposer, en particulier pour communiquer avec les malades, une analyse de circulaires des autorités sanitaires concernant, notemment la prévention et la prise en charge des malades. La MCJ est un révélateur sociétal ; on tente de montrer qu'elle est aussi un moteur éthique. Des scénarios sont proposés. . . .

Description de la mise en œuvre d'un outil de calcul des fluctuations de température. Application à la modélisation d'un écoulement à la sortie d'un assemblage combustible de réacteur à neutrons rapides.

Este trabalho debruça-se sobre a dinâmica dos preços à vista de electricidade, de cada hora do dia (clearing pricé), no mercado liberalizado de energia eléctrica de Espanha, o OMEL Os factos estilizados da dinâmica dos preços à vista estão identificados em vários mercados, com maior ou menor grau, dependendo da estrutura desse mercado, e prendem-se com: periodicidades várias (diária, semanal e sazonalidade anual), regressão à média, picos nos preços, volatilidade variante. Na literatura existem variados modelos que incorporam a quantidade de energia eléctrica transaccionada como uma variável exógena a ter em conta. No presente trabalho analisa-se, a par com o processo do preço de energia eléctrica, a quantidade transaccionada (também denominada carga - clearing load). A dinâmica dos preços à vista e da quantidade de energia eléctrica, ou carga, é analisada sobre vários horizontes temporais: inter-diário, inter-semanal, inter-mensal, inter-anual e supra-anual. Para esta análise multi-escala temporal recorreu-se à metodologia de multi-resolução da transformada discreta de onduletas modificada (MODWT - maximal overlap discret wavelet transform). A análise por diferentes horizontes temporais permite isolar dinâmicas e obter detalhes sobre os processos nessas dinâmicas, contribuindo para um conhecimento das dinâmicas particulares na dinâmica global. A contribuição original do presente trabalho está assente na análise da dinâmica conjunta, em várias escalas temporais, do preço e da carga do OMEL, com recurso à transformada de onduleta MODWT sobre duas amostras univariadas, de alta-frequência e de grande dimensão (8 anos), algo não reportado na literatura sobre o OMEL nem em outros mercados de energia eléctrica. No presente trabalho, com base numa decomposição de multi-resolução por onduletas, analisaram-se as dinâmicas multi-escala das séries dos preços e de cargas nos seguintes aspectos: variância de onduleta e correlação cruzada de onduleta. É realizada também a estimativa do expoente fractal dos dois processos, por recurso à variância de onduleta. A análise de multi-resolução por onduletas permite quantificar a contribuição de cada escala temporal para a variância total da série temporal. Quando padronizadas, as séries temporais da amostra do processo dos preços e das cargas demonstram igual decomposição da variância por escalas temporais, principalmente nas escalas superiores a uma semana. Em ambas as séries, os horizontes temporais mais determinantes (ou as componentes de maior peso) na variância dos dois processos, são as variações de um dia para o outro e as variações de uma semana para a outra. Analisou-se também a existência de alterações no crescimento da variância ao longo da amostra e nas várias escalas temporais. Verifica-se que existem escalas que demonstram fortes perturbações no crescimento da variância (mais relevante o caso da escala de variações diárias) enquanto outras não aparentam perturbações no seu crescimento. É aparente a existência de sazonalidades nas perturbações do crescimento da variância para o caso das cargas nas escalas inter-anuais No entanto, e por inspecção visual, concluiu-se não existir aparente relação entre as perturbações na variância do processo de preços e do processo das cargas. A análise da correlação cruzada de onduleta entre dois processos permite verificar detalhes que os factores globais de correlação cruzada não conseguem deixar transparecer. Verificou-se, por exemplo, que correlações cruzadas de séries (que contêm a globalidade da dinâmica) com coeficientes de valor ínfimo são, afinal, compostas por correlações moderadas ou substanciais, mas simétricas, em alguns dos horizontes temporais. A correlação cruzada entre os processos de preços e de cargas é substancial mas a decomposição desta em escalas temporais revela valores bastante diferenciados. Para os horizontes temporais diário e semanal a correlação cruzada é positiva e muito forte, sendo substancialmente superior à dos dois processos originais que contêm toda a dinâmica e é bastante superior aos das outras escalas temporais. Ou seja, a ideia, presente em grande parte da literatura, que a altos (baixos) valores de carga corresponderão preços altos (baixos) parece fazer mais sentido ao nível da escala diária e semanal, mas não é tão demarcada noutros horizontes temporais. A correlação cruzada entre as séries da volatilidade dos preços e da volatilidade das cargas é positiva moderada, no entanto verificou-se que essa correlação cruzada é substancialmente positiva para a dinâmica intra-diária e diária, sendo nula para dinâmicas com escalas temporais superiores a alguns dias.Em alguma da literatura reportam-se modelos que incorporam o nível de preços como um indicador potencial de regimes de volatilidade, ou regime de picos nos preços. No entanto, na análise de correlações cruzadas entre os preços e da sua volatilidade revela-se com valor ínfimo negativo. Recorrendo à decomposição em esclas temporais verificou-se que correlação cruzada na escala intra-diária é simétrica da obtida à escala diária, apresentando valores baixos, mas positivos nas escalas intra-diárias e negativos ou nulos nas escalas temporais superiores a um dia. As restantes escalas não contribuem significativamente para a correlação cruzada do preço e da volatilidade deste processo. Algo semelhante se passa para a correlação cruzada entre a carga e a volatilidade da carga, mas de forma ainda mais demarcada. Ou seja, os valores das contribuições na escala intra-diária e diária são maiores no caso do preço e da sua volatilidade, mas a simetria da correlação nessas escalas é também mais acentuada. As contribuições das restantes escalas para a correlação são estatisticamente nulas. A literatura aponta para a potencial presença de persistência no mercado eléctrico. Determinaramse estimativas para os expoentes característicos de processos fraccionalmente diferenciáveis, recorrendo-se a metodologia por regressão linear sobre a estimativa da variância de onduleta. Conclui-se pela potencial presença de multi-fractalidade no processo do preço e das cargas, bem como das suas volatilidades.
This work concerns the dynamics of hourly electricity spot prices on the OMEL, the Spanish Electricity Spot Market. The stylized facts of the dynamics of electricity spot prices (the clearing price) are identified on the literature and have similarities among several electricity markets such as several periodicities (intra-daily, weekly, and annual seasonalit/s), mean regression, outliers and variant volatility, with the levei degree of each of this features depending on each market structure. There are in the literature several models that use the clearing load as an exogenous variable. In the present work the processes of price and load are analyzed. Both dynamics are decomposed under several time horizons: intra-daily, weekly, intra-annual and supra-annual. This temporal multi-scale analysis is done with a MODWT (Maximal Overlap Discrete Wavelet Transform) multi-resolution analysis (MRA). In this way, scale dynamics are isolated from each other and the knowledge of every dynamics can be achieved. With this tool, the trend, the periodicities and the multi-scale dynamics details can be captured and isolated from each other. The original contribution of the present work concerns the MODWT multi-scale dynamics analysis of a high frequency eight year long series of hourly price and load of the OMEL, something not reported, so far, on the literature. Under this analysis, the multi-scale variance of each process and the cross-correlation of both process are uncovered, showing different behavior over the several temporal scales. Under this analisys, several results not reported in the literature were achieved: the variance wavelet decomposition revealed that some scales are determinant for the global dynamics variance process: daiiy and weekly variance components are more important than others time horizons variance components. Under standardized series, price and load processes, revealed similar variance scale decomposition. The departure from constancy growth of the sample variance for prices and loads processes were study along the series and exposed different behavior in each scale, but no qualitativo relation is apparent between both processes. A wavelet cross-correlation analysis was performed over prices and loads, and over volatility of prices and loads. Over the sampled global dynamics were founded extremely low correlation values on the cases of prices leveis vs prices volatility and load leveis vs load volatility. However, some moderate correlation values were founded for intra-daily and daily scales, but with symmetric signals. For larger scales, the correlation values were not significant. The correlation time scale decomposition allowed uncovering relations between variables that were insignificant from a global dynamics point of view. For the case of load and prices, the global dynamics correlation shows a substantial value. Nevertheless, daily and weekly scale load and price processes correlations are strongly positive and are dominant over others scales correlations and are superior comparing with global dynamics correlation value. So, as stated by some of the literature, also for the OMEL the correlation between loads and prices over the analised period is positive and substantial, but is stronger for some of the smaller scales and has only a moderate behavior for larger scales. In the case of volatility of loads and volatility of prices cross correlation showed a global moderate positive value, the wavelet decomposition revealed a substantial positive cross correlation for the intra-daily and daily dynamics. Some of the literature points for the potential of persistence on the electricity spot prices. There is in the literature settled procedures, based on wavelet decomposition, for an estimate of the fractal parameter for long memory processes. Such a procedure was used for determining the price and load processes fractal exponent. What is revealed is that both processes might not be well modeled as a single fractal parameter processes but rather the presence of some other embedded dynamics that might point for multifractality models.
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In the first part of this thesis the prices of six non-ferrous metals (aluminum, copper, lead, nickel, tin, and zinc) are used to assess the forecasting performance of GARCH models. We find that the forecasting performances of GARCH, EGARCH, and TGARCH models are similar. However, we suggest the use of the GARCH model because it is more parsimonious and has a slightly better statistical performance than the other two. In the second part, the prices of six non-ferrous metals and the price of crude oil are used to examine the dynamic links between oil and metal returns by using the BEKK specification of the multivariate GARCH model and the Granger causality-in-variance tests. Results of our study agree with the previous studies in that the crude oil market volatility leads all non-ferrous metal markets. In order to move as far away from the effects of 9/11, daily data for the period December 12, 2003 &ndash
December 15, 2008 is used for the data analysis part of the thesis.

Cette thèse est consacrée à l'estimation de la variance et à l'utilisation de variables auxiliaires lorsqu'on dispose de plusieurs échantillons. Le premier chapitre, extrait d'un rapport rédigé pour Eurostat, présente une revue bibliographique sur les méthodes d'estimation de la variance en sondage ainsi que leur implémentation dans le logiciel Poulpe lorsque cela est possible. Nous définissons dans le chapitre 2 les plans de sondage bidimensionnels et nous donnons une formule de la variance de type Horvitz-Thompson pour des estimateurs linéaires qui dépendent des deux échantillons. Nous exhibons le meilleur estimateur linéaire sans biais et proposons un estimateur de sa variance. Des formules explicites sont données pour certains plans bidimensionnels. Une technique de linéarisation sur deux échantillons est proposée afin de pouvoir estimer la variance de fonctions non linéaires de totaux. Ensuite, nous développons un modèle nonparamétrique basé sur les polynomes locaux permettant de tenir compte de l'information auxiliaire. Enfin, nous proposons dans le chapitre 3 une nouvelle approche nonparamétrique basée sur les splines de régression. Nous prouvons la convergence de l'estimateur proposé et validons, sur des simulations, son bon comportement dans la pratique
This Phd deals with the variance estimation and the use of auxiliary information when we have more than one sample. The first chapter, which is a part of a report made for Eurostat, gives a review of the main techniques for estimating the variance and their implementation in the software POULPE, when it is possible. We define, in chapter 2, a bidimensional sampling design and we give a variance Horvitz-Thompson type formula for linear estimators that depend on these two samples. We derive the best linear unbiased estimator and a variance estimator is also proposed. Explicit formulas are given for particular bidimensional sampling designs. A technique of linearization on two samples is developped in order to deal with non linear statistics of totals. Then, we use auxiliary information for improving estimates by means of nonparametric regression estimators based on local polynomials. Finally, we study in chapter 3 a new approach based on regression splines for taking into account the auxiliary information for estimating the poulation total. Consistency results are proved and simulations confirm the good behaviour of this estimator in practice

Une Ligne de Produits Logiciels (LPL) supporte la gestion d’une famille de logiciels. Cette approche se caractérise par une réutilisation systématique des artefacts communs qui réduit le coût et le temps de mise sur le marché et augmente la qualité des logiciels. Cependant, une LPL exige un investissement initial coûteux. Certaines organisations qui ne peuvent pas faire face à un tel investissement, utilisent le « Clone-and-own » C&O pour construire et faire évoluer des familles de logiciels. Cependant, l'efficacité de cette pratique se dégrade proportionnellement à la croissance de la famille de produits, qui devient difficile à maintenir. Dans cette thèse, nous proposons une approche hybride qui utilise à la fois une LPL et l'approche C&O pour faire évoluer une famille de produits logiciels. Un mécanisme automatique d’identification des correspondances entre les « features » caractérisant les produits et les artéfacts logiciels, permet la migration des variantes de produits développées en C&O dans une LPL. L’originalité de ce travail est alors d’aider à la dérivation de nouveaux produits en proposant différents scenarii d’opérations C&O à effectuer pour dériver un nouveau produit à partir des features requis. Le développeur peut alors réduire ces possibilités en exprimant ses préférences (e.g. produits, artefacts) et en utilisant les estimations de coûts sur les opérations que nous proposons. Les nouveaux produits ainsi construits sont alors facilement intégrés dans la LPL. Nous avons étayé cette thèse en développant le framework SUCCEED (SUpporting Clone-and-own with Cost-EstimatEd Derivation) et l’avons appliqué à une étude de cas sur des familles de portails web
A Software Product Line (SPL) manages commonalities and variability of a related software products family. This approach is characterized by a systematic reuse that reduces development cost and time to market and increases software quality. However, building an SPL requires an initial expensive investment. Therefore, organizations that are not able to deal with such an up-front investment, tend to develop a family of software products using simple and intuitive practices. Clone-and-own (C&O) is an approach adopted widely by software developers to construct new product variants from existing ones. However, the efficiency of this practice degrades proportionally to the growth of the family of products in concern, that becomes difficult to manage. In this dissertation, we propose a hybrid approach that utilizes both SPL and C&O to develop and evolve a family of software products. An automatic mechanism of identification of the correspondences between the features of the products and the software artifacts, allows the migration of the product variants developed in C&O in an SPL The originality of this work is then to help the derivation of new products by proposing different scenarios of C&O operations to be performed to derive a new product from the required features. The developer can then reduce these possibilities by expressing her preferences (e.g. products, artifacts) and using the proposed cost estimations on the operations. We realized our approach by developing SUCCEED, a framework for SUpporting Clone-and-own with Cost-EstimatEd Derivation. We validate our works on a case study of families of web portals

On demontre un theoreme d'approximation general pour une application lineaire dans les espaces vectoriels euclidiens de dimension finie. Applique a l'analyse factorielle, on en deduit de nouvelles methodes permettant la prise en compte d'une structure sur les unites statistiques. Les structures envisagees sont de type factoriel, temporel ou de graphe

The diploma thesis deals with defining basic notions of development projects, investment, building assessment and building operations and relations for evaluation of economic efficiency of development project. Further, it deals with issues of building operations assessment and explanation of relations for evaluation of economic efficiency of investment projects. In the practical part, it focuses on description of the planned development project and determination of its possible options. Then, they are analyzed and the most effective is chosen.

Cette thèse propose une généralisation des préférences moyenne-variance à l'ambiguïté, c'est-à-dire aux contextes dans lesquels l'investisseur ne peut pas, ou ne souhaite pas, décrire le comportement des actifs risqués par un modèle probabilisé unique. Elle se rattache donc au champ de recherche qui vise à appliquer les modèles de décision dans l'ambiguïté à la théorie mathématique de la finance, et dont le but est d'améliorer les capacités descriptives de cette théorie financière par la généralisation d'une de ses hypothèses centrales : l'utilité espérée.Les modèles étudiés ici sont ceux qui représentent les croyances du décideur par un ensemble de probabilités, ou priors : on cherche à montrer, d'une part, sous quelles conditions ces modèles peuvent être appliqués à la théorie financière et, d'autre part, ce qu'ils lui apportent. Ainsi, après une introduction générale qui propose une synthèse des avancées de ce champ de recherche, un premier essai étudie les conditions de compatibilité entre ces modèles à ensemble de priors et les préférences moyenne-variance, un deuxième essai analyse les possibilités offertes par le modèle Vector Expected Utility pour généraliser ces préférences à l'ambiguïté et, finalement, un troisième essai développe l'une de ces pistes pour construire un critère moyenne-variance généralisé et étudier les effets de l'aversion à l'ambiguïté sur la composition optimale d'un portefeuille d'actifs risqués. Les résultats obtenus permettent notamment de conclure que l'aversion à l'ambiguïté est bien une explication possible du puzzle de la préférence pour le pays d'origine
This dissertation proposes a generalisation of the mean-variance preferences to ambiguity, that is contexts in which the investor can not, or does not wish to, describe the behaviour of the risky assets with a single probabilistic model. Hence it belongs to the field of research that seeks to apply models of decision under ambiguity to the mathematical theory of finance, and whose aim is to improve the descriptive capacities of this theory of finance through the generalisation of one of its central hypothesis: expected utility.The models that are studied here are those which represent the decision maker's beliefs by a set of priors: we aim to show, on the one hand, under which conditions these models can be applied to the financial theory, and, on the other hand, what they bring to it. Therefore, following a general introduction which proposes a survey of the advances of this field of research, a first essay studies the conditions of compatibility between these models with a set of priors and the mean-variance preferences, a second essay analyses the possibilities given by the Vector Expected Utility model to generalise these preferences to ambiguity and, finally, a third essay develops one of these threads to construct a generalised mean-variance criterion and to study the effects of ambiguity aversion on the optimal composition of a portfolio of risky assets. The results that are obtained allow notably to conclude that aversion to ambiguity is indeed a possible explanation of the home-bias puzzle

Mestrado em Econometria Aplicada e Previsão
O comportamento dos preços do porco no produtor em Portugal são influenciados pela trajectória dos preços do porco em Espanha, sendo que os produtores no mercado português são price-takers face ao mercado espanhol. Tal deve-se à proximidade entre ambos os países, ao facto de Espanha ser o principal parceiro comercial de Portugal neste setor, e ainda à grande dimensão do setor suinícola espanhol face ao português. Os resultados obtidos a partir da estimação de um modelo VAR(2), corroboram esta premissa, de que o preço do porco no mercado espanhol tem um grande impacto na formação do preço do porco no mercado nacional, sendo que as respostas a impulsos mostram que o efeito de choques nas inovações perduram durante um período extenso de tempo. Além disso, a partir do modelo VAR estimado, concluiu-se que o preço em Portugal também acaba por ter alguma influência sobre o preço do porco em Espanha, apesar de ter uma magnitude muito inferior quando comparado com o efeito inverso, dos preços em Espanha sobre os preços em Portugal. Os preços do trigo e do milho, principais cereais utilizados em alimentos compostos para suínos, não se revelaram estatisticamente significativos para explicar a formação do preço do porco, quer em Portugal, quer em Espanha, e apresentam baixos coeficientes de correlação contemporâneos e cruzados. Tais resultados, indiciam uma possível existência de assimetria na transmissão de preços, justificável com a dificuldade por parte dos produtores em repercutir nos preços dos seus outputs variações dos preços dos seus inputs.
In Portugal, the behaviour of the pork producer price is mostly influenced by the trajectory of the pork producer price in Spain. Therefore one can consider that the Portuguese producers are price-takers against the Spanish pork market. This is caused by the closeness between these two countries and because Spain is the most important importer country of Portugal on this market. We also can't forget that Spain is the third country in the ranking of the biggest pork exporter countries in the world. The results of an estimated VAR model with order 2, prove that the producer price in the Spanish pork market has a great impact on the formation of the pork price in the Portuguese market. The responses to impulses show us that the effect of shocks in innovations persist for a long time. Furthermore, we have concluded that the Portuguese producer price of pork has an effect on the pork producer price in Spain, although this effect is relatively smaller than opposite situation. Based on available data, the price of wheat and corn in both Portugal and Spain, which is the principal components of pork's compound feed, aren't statistically significant to explain the pork price formation, and present a low coefficient of contemporary and cross correlation. These results show a possible situation of price transmission asymmetry which is justifiable considering the farmers' difficulties in passing the input prices variations to their output prices.

It is now well established in the literature that oil consumption, oil price shocks, and oil price volatility may impact the economic activities negatively. Studies identifying the relationship between energy and/or oil consumption and output primarily take two different approaches. One approach includes energy or oil consumption in addition to output, labour, and capital. The other approach takes energy and/or oil, output and prices. Based on these two models most of the previous studies suggest energy conservation policies for different economies. However, none of the previous studies considered both of these models jointly to make policy implications and there are not many studies investigating oil consumption-output relationship in a multivariate model in the context of developing economies. Furthermore, one of the important variables in making any conservation policies, carbon emission, is omitted from the models.Similarly, there has been a large body of literature investigating the impact of oil price shocks in different economies. Nevertheless, studies analysing the impact of oil price volatility on economic activities are very limited. More importantly, studies analysing the impact of oil price volatility in developing economies are almost non-existent. In the light of increasing demand for oil from the developing nations, comprehensive studies on identifying the impact of oil consumption, oil prices, and oil price volatility on developing economies is warranted.Hence, in this thesis, the contribution of oil in economic development is investigated with the help of two different models. The first model, termed as supply-side approach, analyses the contribution of oil consumption in economic activities within the traditional production function framework. The second model, termed as demand-side approach, analyses the contribution of energy consumption in economic activities in two stages. In the first stage, oil consumption demand is analysed by a tri-variate model having oil prices as the third variable in addition to oil consumption and GDP. In the second stage, carbon emission output is determined in a tri-variate model with carbon emission as the third variable along with oil consumption and output. This thesis also performs a unique task of analysing the impact of volatility on world crude oil prices on the economic activities of six Asian developing economies.With respect to the oil consumption-output relationship, despite dissimilarities in results for causality relationships between oil consumption and output in three different models for different countries, one common result emerges. Except for the Philippines, all other countries are found to be oil dependent either from supply-side or from demand-side or from both of the sides. This implies that for all the considered developing economies, except for the Philippines, oil conservation policies seem to be harder to implement as that may retard their economic growth. In addition to that, one very important findings of the empirical analysis based on the equation regarding pollutant emission output is that for all the countries, except for Malaysia, output Granger causes pollutant emission (CO2) both in the short run and long run.With respect to the impact of oil price volatility on economies, this study finds that oil price volatility seems to impact all the economies in the short run. According to the results, oil price volatility affects GDP growth in China and Malaysia, GDP growth and inflation in India and Indonesia, while in the Philippines volatility in oil prices impacts inflation. However, in Thailand the impact channels are different for pre- and post-Asian financial crisis period. For Thailand, it can be inferred that oil price volatility impacts output growth for the whole period; however, after the Asian financial crisis the impact seems to disappear.Based on the comprehensive study within three different theoretical frameworks the policy implications regarding oil consumption-output relationship can be summarised as follows. For the Philippines, where uni-directional causality from income to oil consumption is found, she may contribute to the fight against global warming directly implementing energy conservation measures. The direction of causality indicates that the oil conservation policies can be initiated with little or no effect on economic growth. For rest of the oil dependent countries where either bidirectional causality or uni-directional causality from oil consumption to output is found in any of the models, since oil is a critical determinant of economic growth in these countries, limiting its use may retard economic growth. Nevertheless, all of these countries may initiate environmental policies aimed at decreasing energy intensity, increasing energy efficiency, and developing a market for emission trading. These countries can invest in research and development to innovate technology that makes alternative energy sources more feasible, thus mitigating pressure on the environment.According to the impact analysis of oil price volatility on economic activities, the policy implications are as follows. In Thailand, the results after the financial crisis show that adverse effect of oil price volatility has been mitigated to some extent. It seems that oil subsidization of the Thai government by introduction of the oil fund and the flexible exchange rate regime plays a significant role in improving economic performance by lessening the adverse effect of oil price volatility on macroeconomic indicators. For all other countries, the impact of oil price volatility is also of short term. Hence, the short-term impact of oil price volatility on the concerned economies may be exerted though the uncertainty born by the fluctuations in the crude oil price in the world market. As far as the impact on GDP growth is concerned, the short-run impact may also be transmitted through the investment uncertainties resulting from increased volatility in oil prices. However, from the Thai experience it can be inferred that flexible exchange rate regime insulate the economy in the short run from any adverse impact from oil price volatility on growth. Hence, it can be suggested that good subsidization policy with considerable knowledge on international currency market, both spot and future, may shield the economies from adverse consequences due to the fluctuation in oil prices in the short run. Nevertheless, this may affect other sectors of the economy like, inflation, interest rate, government budget deficit, etc.

Dans cette thèse, nous nous intéressons à l'estimation de la synchrone de consommation électrique (courbe moyenne). Etant donné que les variables étudiées sont fonctionnelles et que les capacités de stockage sont limitées et les coûts de transmission élevés, nous nous sommes intéressés à des méthodes d'estimation par sondage, alternatives intéressantes aux techniques de compression du signal. Nous étendons au cadre fonctionnel des méthodes d'estimation qui prennent en compte l'information auxiliaire disponible afin d'améliorer la précision de l'estimateur de Horvitz-Thompson de la courbe moyenne de consommation électrique. La première méthode fait intervenir l'information auxiliaire au niveau de l'estimation, la courbe moyenne est estimée à l'aide d'un estimateur basé sur un modèle de régression fonctionnelle. La deuxième l'utilise au niveau du plan de sondage, nous utilisons un plan à probabilités inégales à forte entropie puis l'estimateur de Horvitz-Thompson fonctionnel. Une estimation de la fonction de covariance est donnée par l'extension au cadre fonctionnel de l'approximation de la covariance donnée par Hájek. Nous justifions de manière rigoureuse leur utilisation par une étude asymptotique. Pour chacune de ces méthodes, nous donnons, sous de faibles hypothèses sur les probabilités d'inclusion et sur la régularité des trajectoires, les propriétés de convergence de l'estimateur de la courbe moyenne ainsi que de sa fonction de covariance. Nous établissons également un théorème central limite fonctionnel. Afin de contrôler la qualité de nos estimateurs, nous comparons deux méthodes de construction de bande de confiance sur un jeu de données de courbes de charge réelles. La première repose sur la simulation de processus gaussiens. Une justification asymptotique de cette méthode sera donnée pour chacun des estimateurs proposés. La deuxième utilise des techniques de bootstrap qui ont été adaptées afin de tenir compte du caractère fonctionnel des données

Abstract of thesis submitted in partial fulfilment of the requirements for the Degree of Master of Commerce and Management Dynamics of macroeconomic variables in Fiji : a cointegrated VAR analysis By Shiu Raj Singh The objective of this study is to examine how macroeconomic variables of Fiji inter-relate with aggregate demand and co-determine one another using a vector autoregression (VAR) approach. This study did not use a prior theoretical framework but instead used economic justification for selection of variables. It was found that fiscal policy, which is generally used as a stabilisation tool, did not have a positive effect on real Gross Domestic Product (GDP) growth in the short term. Effects on GDP growth were positive over the long term but not statistically significant. Furthermore, expansionary fiscal policy caused inflationary pressures. Fiji has a fixed exchange rate regime, therefore, it was expected that the focus of monetary policy would be the maintenance of foreign reserves. It was, however, found that monetary expansion in the short term resulted in positive effects on real GDP growth and resulted in inflation. The long term effects of monetary policy on real GDP growth were negative, which are explained by the fixed exchange rate regime, endogenous determination of money supply by the central bank, an unsophisticated financial market and, perhaps, an incomplete transmission of the policy. Both merchandise trade and visitor arrivals growth were found to positively contribute to short term and long term economic growth. Political instability was found not to have significant direct effects on real GDP growth but caused a significant decline in visitor arrivals which then negatively affected economic growth in the short term.

Mestrado em Economia
A divida publica tem estado a crescer acentuadamente nos últimos anos, o que sugere um crescimento da despesa publica financiado pela emissão da divida publica em oposição ao uso da tributação. Não tem existido consenso relativamente as implicações económicas da emissão da divida publica para financiar a despesa publica. Esta dissertação investiga de forma empírica os efeitos macroeconómicos da divida publica para o caso de Moçambique para o período do primeiro trimestre de 2001 ao quarto trimestre de 2016. Modelo de Vector Autoregressivo são usados para avaliar os efeitos macroeconómicos da divida publica através da função impulso-resposta e a decomposição da variância. Esta dissertação conclui que variáveis ligadas ao serviço da divida tem efeitos negativos significativos nesta economia comparando com variáveis ligadas a divida publica. Variáveis de divida publica no período deste estudo não tiveram um impacto significativo no produto real e as variáveis do serviço da divida reduziram significativamente o produto real, aumentou o nível geral de preços e depreciou a moeda domestica.
Public debt has been rising markedly over the years, which suggests an increase in public expenditure financed by debt instead of taxation. There is no consensus on the economic implications of borrowing to finance public expenditure. This dissertation empirically investigates the macroeconomic effects of public debt for the case of Mozambique over the period of 2000Q1-2016Q4. Vector Autoregression (VAR) model are used to assess these effects through impulse response functions and variance decomposition. We conclude that debt service variables have much more negative effects on this economy than debt variables. Debt variables over the period of this study had no significant impact on the real output and the debt service component depressed the real output, increased the general price level and accounted for depreciation on the domestic currency.
info:eu-repo/semantics/publishedVersion

The work treats the static recalculation of an existing roof structure of a construction for social purposes and proposes two variants of the design of a new roof structure. The construction has a rectangular ground plan of 30 m x 47 m and the roof structure is placed on the load bearing circumference concrete walls. Except for the load constituted by the function of the construction and by the climatic area, an extra load of 2 tons suspended at any place of the structure is considered because of the special requirement of working and technological equipment. The variant no. 1 is designed from the steel S355. The variant no. 2 is designed as a combination of the wood GL24h and the aluminium EN-AW 5083. Both of the variants have 11 transverse load bearing girders. The purlins are perpendicular to the girders and are placed on them. Stiffness is secured by roof stiffeners.

碩士
淡江大學
管理科學學系碩士班
100
The fluctuations of the crude oil prices were severely influenced by the international political and economic influence. For the crude oil price volatility, risk management has become the main topics of the investors. For some rare events, the crude oil spot and futures prices are likely to maintain the phenomenon of price jump. In this study, the change of the price jump and the covariance relations of the spot and futures returns are captured by the bivariate ARJI-GARCH model proposed by Chan and Young (2006). The main research object is the spot and futures price of U.S. West Texas Intermediate crude oil in 2010-2011. Using the rolling-window method estimates the out-of-sample expected shortfall. The conditional expected shortfall of the minimum variance hedge portfolio is estimated by three models, unhedge model(GARCH model), bivariate GARCH model and bivariate ARJI-GARCH model. By comparing the estimating results, this study found that the bivariate ARJI-GARCH model estimates the conditional expected shortfall of the minimum variance hedge portfolio owns a better performance, because the bivariate ARJI-GARCH model can capture the dynamic volatility, dynamic jump process and the jump relation between the assets. Therefore, if considering only the dynamic volatility of asset prices, investors will be likely to bear the loss more than expected. This results can be a reference for investors to hedge.

碩士
輔仁大學
金融與國際企業學系金融碩士在職專班
102
The main differences between this study was to explore the various house price index in Taiwan, Taipei as the spatial extent of the study, time ranging from 2003 to 2013 so far, Index is divided into quarters and monthly indices were done to explore, the use of residential property price index published by the Ministry of Interior, Cathay Real Estate Index released and SinYi Housing price index published by the three indices for the object, then collect literature on real estate prices and the domestic and foreign real estate price index ,collate and discussion, also using Granger causality test as a statistical analysis, explore the relationship between the respective leading and lagging price index. empirical findings of this article:1.Cathay Real Estate Index and the SinYi Housing season prices index in roughly 2003 to 2013 showed an upward trend, Cathay Real Estate Index and the leading SinYi Housing price index; Cathay Real Estate and SinYi Housing price quarter index and monthly index prices, generally also showed an upward trend, but Cathay Real Estate Index fluctuations.2.Cathay Real Estate Index and the city and the building housing price index broadly consistent trend, another of the city and the building housing price index has lagged behind the phenomenon of Cathay Real Estate Index.3.SinYi price index and the city, the building and apartment housing price index broadly consistent trend, the case presented ramp, only the larger SinYi price index fluctuations, there are circumstances behind the city, the building and the apartment price index.4. Part of the regional housing price index trend, four were broadly consistent exponential trend, varying volatility index, among them, Zhongshan, Songshan, Nangang District, rose to the highest, followed for the million Chinese mountain Beitou District, Shilin Neihu is again Datong District, finally, Zhongzheng District, Greater An Xinyi.5.The building and the apartment house price index is slowly rising trend consistent, building index fluctuations extent than residential housing price index for the low price of the apartment.6. In the area of housing price index part, there is indeed lead - lag relationship, Of which An Xinyi, Zhongshan, Zhongzheng District, Songshan, Nangang District, a leading residential property price index, Shilin Neihu Datong District Beitou District and Wan Chinese mountain causal relationship between housing price index, Datong District Shilin Neihu, Nangang District, Songshan, Zhongshan leading residential property price index.

碩士
淡江大學
管理科學學系碩士班
100
International crude oil prices of volatility severely make investors bear huge loss in recent years. Thus, crude oil futures become one of financial instruments of hedge. The crude oil prices bring out discontinuous phenomena, because of the rare events. In this study, it estimates the conditional value-at-risk of the minimum variance hedging portfolio by using the bivariate CBP-GARCH model proposed by Chan(2003). Moreover, this study is to evaluate the accuracy of the bivariate CBP-GARCH model by using backtesting method based on likelihood ratio test proposed by Kupiec(1995) and conditional coverage test proposed by Christoffersen(1998).The empirical results are as follows. The conditional value-at-risk model of the minimum variance hedging portfolio by using the bivariate CBP-GARCH model passes the backtesting; however, the conditional value-at-risk model of the minimum variance hedging portfolio by using non-hedge model and the bivariate DCC-GARCH model do not pass. The conditional value-at-risk model of the minimum variance hedging portfolio by using the bivariate CBP-GARCH model has high accuracy; it is because that it can capture dynamic jump process and jump correlation. Therefore, if we just consider the dynamic volatility process, it could underestimate risk and let investors bear the loss than expected. This result can be used as a hedge reference for investors.

碩士
淡江大學
管理科學學系碩士班
100
The international political and economic effect the crude oil price volatility dramatically. One of the main topics is hedging for the crude oil price volatility of the investors. Crude oil spot and futures prices exist to discontinuously depend on rare events occurred. In order to capture the dynamic price jump and covariance between spot and futures returns, we use Chan(2003) to address bivariate the CBP-GARCH model. The discussions on this paper are using rolling window to investigate the out-of-sample hedging effectiveness for the minimum variance hedging portfolio. The data period probes Brent oil spot and futures price using daily data for the time span 2010 to 2011. The empirical results show that the bivariate GARCH (1,1) model and the bivariate CBP-GARCH (1,1) model have hedging effectiveness for minimum variance hedging portfolio. Moreover, hedging effectiveness of the bivariate CBP-GARCH (1,1) model better than the bivariate GARCH (1,1) model. The bivariate CBP-GARCH (1,1) model is able to capture the dynamic jump between the asset price volatility and dynamic correlation, thus the bivariate CBP-GARCH (1,1) model obtain is the better hedging effectiveness for minimum variance hedging portfolio. The results can be reference for investors.

The backdrop of this study is derived from a paper by Dranikoff et al (2002). To illustrate their point, Dranikoff et al argue that farm owners actively and continuously prune dead and weak branches from their farm tress in order to keep them healthy. However, in comparison, Dranikoff argues that executives spend a lot of time acquiring business (planting trees and growing them) but rarely devote any attention to divesting them. As a consequence, their empirical findings indicate that the executives end up selling the business often too late and at a low price, sacrificing shareholder value. This study investigates company’s portfolio restructuring activities. Specifically, the study aims to analyse company’s listed on the Johannesburg Securities Exchange (JSE) Stock Exchange. As in the analogy of a farmer, do these company’s keep planting trees and growing them? If they keep growing, is there any evidence that executives engage in pruning activities, to what extent and the overall impact of those activities. Overall, divestitures have been researched across varying fields of study. Researchers have investigated the topic from a Strategic, Finance and Operational perspective. Their findings have returned varying results respectively. On their impact on company’s share price, these studies have indicated both positive and negative (although on a less regular basis) impact. Copyright
Dissertation (MBA)--University of Pretoria, 2011.
Gordon Institute of Business Science (GIBS)
unrestricted

碩士
國立臺北大學
國際企業研究所
100
This study investigates on the variance causality by applying the Exponential Causality multivariate GARCH (EC-GARCH)model, which was introduced by Massimiliano Caporin in 2007. The main structure of this model is an exponential factor multiplying the traditional GARCH equation to drive the causality relation. This research mainly focuses on the biggest stock exchange of China, selecting return and trading volume of both Shanghai Stock Exchange A Share Index and Shenzhen Stock Exchange A Share Index as our four variables. In addition, used data is weekly data from January 5, 1996 to April 6, 2012 with total 818 observations for each variable. Our purpose is to analyze the variance causality among four variables to provide some useful information for the traders. As the result, by testing on the variance causality between Shanghai Stock Exchange A Share Index and Shenzhen Stock Exchange A Share Index, we find out an unexpected return volatility shock at time t-1 will induce the investors to invest on the stock at the time. The results emphasize the importance of return volatility on predicting the volume change of Shenzhen Stock Exchange A Share Index and Shanghai Stock Exchange A Share Index. The traders in the stock market may realize the volume change from investigating the return volatility.

碩士
淡江大學
管理科學學系碩士班
100
How to reduce portfolio risk an very important issue based on diversification of investment products. A highly relationship was shown on futures and spot market, so making use of futures contracts to avoid the spot market changes in price shocks has become the key to investors to maintain the profit and loss. The study is to compute Value-at-Risk in the long trading position for the minimum variance hedging portfolio by using GARCH(1,1) model, bivariate GARCH (1,1) model and bivariate ARJI-GARCH(1,1) model at two significant levels. The sample daily data is Brent crude oil closing price in spot and furtures market. Moreover, the study is to evaluate the different models by using backtesting method based on likelihood ratio test proposed by Kupiec (1995) and Christoffersen(1998). The study showed that the bivariate ARJI-GARCH (1,1) model at the significance level of 5% and 1% are statistically significant, indicating that the bivariate ARJI-GARCH(1,1) model can accurately describe the discontinuous characteristics of the fat tail and price. This result can provide valuable information for financial institutions to assess the portfolio risk. It improves the estimated performace under the tail distribution and further forecast the financial asset return volatility, fat tail, and the discontinuous price.

Thesis (M.A.)--Florida State University, 2004.
Advisor: Dr. Peter Ruppert, Florida State University, College of Arts and Sciences, Dept. of Modern Languages and Linguistics. Title and description from dissertation home page (viewed Aug. 27, 2004). Includes bibliographical references.

A trait must genetically correlate with fitness in order to evolve, however, theory suggests that strong directional selection should erode additive genetic variance (Va) in fitness and limit future evolutionary potential. Sexual antagonism and temporal fluctuations in selection are mechanisms that could maintain Va in fitness. Maternal genetic effects could be an additional source of adaptive genetic variation. I used ‘animal models’ to examine a long-term population of red squirrels to determine 1) if either sexual antagonism or temporal fluctuations in selection were maintaining direct Va in fitness or 2) if maternal genetic effects were a source of indirect Va in fitness. While there were environmental trade-offs on juvenile survival, neither sexual antagonism nor temporal fluctuations in selection maintained Va in fitness. Maternal genetic effects on fitness were significant and provide the Va in fitness needed for rapid microevolution. This is the first instance of maternal genetic effects demonstrated as the only genetic variance available for microevolution.
Northern Scientific Training Program, the Arctic Institute of North America, American Society of Mammologists, Queen Elizabeth II Graduate Scholarship in Science and Technology, NSERC Discovery (to Andrew McAdam), NSF (to Andrew McAdam)

博士
國立臺灣大學
資訊工程學研究所
104
The market prices and the continuous quadratic variation play critical roles in high-frequency trading. However, the microstructure noise could make the observed prices differ from the true prices and hence bias the estimates of continuous quadratic variation. Following Zhou, we assume the observed prices are the result of adding microstructure noise to the true but hidden prices. Microstructure noise is assumed to be independent and identically distributed (i.i.d.); it is also independent of true prices. Zhang et al. propose a batch estimator for the continuous quadratic variation of high-frequency data in the presence of microstructure noise. It gives the estimates after all the data arrive. This thesis proposes a recursive version of their estimator that outputs variation estimates as the data arrive. The recursive version estimator gives excellent estimates well before all the data arrive. Both real high-frequency futures data and simulation data confirm the performance of recursive estimator. When prices are sampled from a geometric Brownian motion process, the Kalman filter can produce optimal estimates of true prices from the observed prices. However, the covariance matrix of microstructure noise and that of true prices must be known for this claim to hold. In practice, neither covariance matrix is known so they must be estimated. This thesis presents a robust Kalman filter (RKF) to estimate the true prices when microstructure noise is present. The RKF does not need the aforesaid covariance matrices as inputs. Simulation results show that the RKF gives essentially identical estimates to the Kalman filter, which has access to the two above mentioned covariance matrices.

碩士
國立政治大學
會計學研究所
86
The major purpose of this study is to examine the relationship between growth opportunities and variance of stock price, and to indicate that the inclusion of impact of different growth opportunities in addition to earnings persistence among firms, whether the results can improve the explanatory power of information content. Lev(1989) demonstrated that accounting earnings is an useful information but its usefulness is quite unstable. First of all, this study is to analysize the association betweengrowth opportunities and stock returns, and through the deduction of analysizing the reationship between growth opportunities and earnings, the true effect of growth opportunities in addition to earnings on stock rate of returns can be identified further.　　To test the hypotheses, this study uses the data of Taiwanese listed companies covering the period from 1992 to 1996. The empirical findings can be summarized as follows:　　一、With regard to the empirical results for two different accounting earnings measures, including taxes adjusted operating profit and cash flow from operation, which we can find that the factor related to stock price deflated accounting earnings has significant association with stock returns.二、The growth opportunities regression coefficients are 0.05 or 0.01 in the regression of proxies for growth opportunities, including book-to-market equity, sales growth ratio, and operating profit growth rate on stock rate of returns.　　三、The tests regarding the relationship between growth opportunities and earnings show that the coefficients based on the stock price deflated operating profit are positive significance; and those based on the stock price deflated cash flows from operation are insignificant or negative significance.　四、The tests regarding the relationship between the interaction of growth opportunities in addition to earnings and stock rate of returns show that the coefficients of the variable proxies for interaction are unstable. The hypothesis that the interaction response coefficients of growth opportunities in addition to earnings and stock rate of returns are positive relations is not supported by empirical evidence.

碩士
僑光科技大學
企業管理研究所
100
This research is to explore the Greek debt crisis to the causal relationship change between the exchange rate, the gold price, the oil price, the interest rate and the price level, and to study the forcast error variance decomposition of the impulse response. After the Chow forecast test, the partition cointegration test and VECM model and VAR model, we find: From January, 2001 to November, 2009, the cointegration relationship between the exchange rate, the gold price, the oil price and the interest rate,the price level. From December, 2009 to November, 2011, the cointegration relationship between the exchange rate, the gold price, the oil price and the interest rate and the price level don’t exist. The Greek debt crisis enables the exchange rate no longer to affect the price level, instead it is influenced by the interest rate. The gold price doesn’t longer be affected by the oil price and price level, instead it is influenced by the interest rate. The oil price no longer affects the exchange rate, the gold price and the interest rate, instead it will be influenced by interest rate. The interest rate doesn’t longer be affected by the oil price, but it affects the exchange rate, gold price and oil price. The price level no longer affects the gold price, and it will not be affect by other variables. As for the Greek debt crisis creates the non-anticipated impact variation of the exchanger rate will cause the explanatory ability of oil price, the interest rate and price level raising , the explanatory ability of the exchange rate and the gold price declining. And for the non-anticipated impact variation of the gold price, the explanatory ability of the exchange rate, the oil price, the interest rate and the price level will raise, the explanatory ability of the gold price weaken. And for the non-anticipated impact variation of the oil price, the explanatory ability of the exchange rate, the interest rate and price level will raise, the explanatory ability of the gold price weaken, and the first falling then rising for the explanatory ability of the oil price. And for the non-anticipated impact variation of the interest rate, the explanatory ability of the exchange rate, the oil price will raise, the explanatory ability of the gold price, interest rate and the price level weaken. And for the non-anticipated impact variation of the price level, the explanatory ability of the exchange rate, the gold price the oil price and interest rate will raise, the explanatory ability of the price level weaken.