Variance reduction properties of dynamic hedging models - empirical evidence from BRICS countries

This Master’s Thesis analyses the effectiveness of different hedging models on BRICS (Brazil, Russia, India, China, and South Africa) countries. Hedging performance is examined by comparing two different dynamic hedging models to conventional OLS regression based model. The dynamic hedging models being employed are Constant Conditional Correlation (CCC) GARCH(1,1) and Dynamic Conditional Correlation (DCC) GARCH(1,1) with Student’s t-distribution. In order to capture the period of both Great Moderation and the latest financial crisis, the sample period extends from 2003 to 2014. To determine whether dynamic models outperform the conventional one, the reduction of portfolio variance for in-sample data with contemporaneous hedge ratios is first determined and then the holding period of the portfolios is extended to one and two days. In addition, the accuracy of hedge ratio forecasts is examined on the basis of out-of-sample variance reduction. The results are mixed and suggest that dynamic hedging models may not provide enough benefits to justify harder estimation and daily portfolio adjustment. In this sense, the results are consistent with the existing literature.

Factors of innovation creation within functional heterogeneous project teams Case study: ABB Group

The research topic of the work is: “Factors of innovation creation within functionally heterogeneous project teams”. The research question is “What are the factors of innovation creation within functionally heterogeneous project teams?” The subject of this research is to explore the teams of projects, aimed at creating innovations, and understand how innovation is generated through project team work within them in term of factors. In line with the purposes of this study, firstly, it was analyzed what factors of such teams’ work are affecting creating innovation positively and negatively on the base of chosen literature and a preliminary conceptional framework was formulated, and secondly, the research of the work of project teams in one of the divisions of ABB company has been done and other factors and interdependencies between them have been added to the conceptional framework. This final conceptional framework constitutes the essense of the work findings and can be used as a tool to analyze the innovation creation process in functionally heterogeneous project teams

Modelling ecological values in heterogeneous and dynamic landscapes with geospatial data

Our surrounding landscape is in a constantly dynamic state, but recently the rate of changes and their effects on the environment have considerably increased. In terms of the impact on nature, this development has not been entirely positive, but has rather caused a decline in valuable species, habitats, and general biodiversity. Regardless of recognizing the problem and its high importance, plans and actions of how to stop the detrimental development are largely lacking. This partly originates from a lack of genuine will, but is also due to difficulties in detecting many valuable landscape components and their consequent neglect. To support knowledge extraction, various digital environmental data sources may be of substantial help, but only if all the relevant background factors are known and the data is processed in a suitable way. This dissertation concentrates on detecting ecologically valuable landscape components by using geospatial data sources, and applies this knowledge to support spatial planning and management activities. In other words, the focus is on observing regionally valuable species, habitats, and biotopes with GIS and remote sensing data, using suitable methods for their analysis. Primary emphasis is given to the hemiboreal vegetation zone and the drastic decline in its semi-natural grasslands, which were created by a long trajectory of traditional grazing and management activities. However, the applied perspective is largely methodological, and allows for the application of the obtained results in various contexts. Models based on statistical dependencies and correlations of multiple variables, which are able to extract desired properties from a large mass of initial data, are emphasized in the dissertation. In addition, the papers included combine several data sets from different sources and dates together, with the aim of detecting a wider range of environmental characteristics, as well as pointing out their temporal dynamics. The results of the dissertation emphasise the multidimensionality and dynamics of landscapes, which need to be understood in order to be able to recognise their ecologically valuable components. This not only requires knowledge about the emergence of these components and an understanding of the used data, but also the need to focus the observations on minute details that are able to indicate the existence of fragmented and partly overlapping landscape targets. In addition, this pinpoints the fact that most of the existing classifications are too generalised as such to provide all the required details, but they can be utilized at various steps along a longer processing chain. The dissertation also emphases the importance of landscape history as an important factor, which both creates and preserves ecological values, and which sets an essential standpoint for understanding the present landscape characteristics. The obtained results are significant both in terms of preserving semi-natural grasslands, as well as general methodological development, giving support to science-based framework in order to evaluate ecological values and guide spatial planning.

Optimization of the valence energy variance of the CuH molecule

We developed the concept of split-'t to deal with the large molecules (in terms of the number of electrons and nuclear charge Z). This naturally leads to partitioning the local energy into components due to each electron shell. The minimization of the variation of the valence shell local energy is used to optimize a simple two parameter CuH wave function. Molecular properties (spectroscopic constants and the dipole moment) are calculated for the optimized and nearly optimized wave functions using the Variational Quantum Monte Carlo method. Our best results are comparable to those from the single and double configuration interaction (SDCI) method.

The effects of moisture, cation concentration, temperature, density and composition of soils on their electrical resistivity

The effects. of moisture, cation concentration, dens ity , temper~ t ure and grai n si ze on the electrical resistivity of so il s are examined using laboratory prepared soils. An i nexpen si ve method for preparing soils of different compositions was developed by mixing various size fractions i n the laboratory. Moisture and cation c oncentration are related to soil resistivity by powe r functions, whereas soil resistiv ity and temperature, density, Yo gravel, sand , sil t, and clay are related by exponential functions . A total of 1066 cases (8528 data) from all the experiments were used in a step-wise multiple linear r egression to determine the effect of each variable on soil resistivity. Six variables out of the eight variables studied account for 92.57/. of the total variance in so il resistivity with a correlation coefficient of 0.96. The other two variables (silt and gravel) did not increase the · variance. Moisture content was found to be - the most important Yo clay. variable- affecting s oil res istivi ty followed by These two variables account for 90.81Yo of the total variance in soil resistivity with a correlation ~oefficient ·.of 0 . 95. Based on these results an equation to ' ~~ed{ ct soil r esist ivi ty using moisture and Yo clay is developed . To t est the predicted equation, resistivity measurements were made on natural soils both in s i tu a nd i n the laboratory. The data show that field and laboratory measurements are comparable. The predicted regression line c losely coinciqes with resistivity data from area A and area B soils ~clayey and silty~clayey sands). Resistivity data and the predicted regression line in the case of c layey soils (clays> 40%) do not coincide, especially a t l ess than 15% moisture. The regression equation overestimates the resistivity of so i l s from area C and underestimates for area D soils. Laboratory prepared high clay soils give similar trends. The deviations are probably caused by heterogeneous distribution of mo i sture and difference in the type o f cl ays present in these soils.

The investigation of edge effects within ragmented forest islands in Short Hills Provincial Park

It has been well documented, within the field of landscape ecology, that terrestrial fragmentation contributes to increased heterogeneity at the landscape level. It has also been observed that elevated areas of edge habitat occur within fragmented landscapes. Spatial and temporal edge effects were investigated in four areas designated as Nature Reserve Zones within Short Hills Provincial Park, near St. Catharines, Ontario. Random sampling along exposed edges was performed on trees and saplings, at 5 and 25 ill edge depths, using the point-centred quarter method. Diameter at breast height (dbh) and distance from point measurements were used to establish relative density, dominance, frequency and importance value. One-way analyses of variance were used on dbh measurements of tree species and Chi-Square contingency tables were used on size class distributions of saplings species to determine significant differences between 5 and 25 metres. Qualitative comparisons of importance values were also used to determine differences between 5 and 25 metres as well as between trees and saplings. These statistical and qualitative comparisons suggest that a significant overall spatial edge effect is currently exhibited by fragmented wooded islands within the park. The major species of the park, Acersaccharuln, may be exhibiting a temporal edge effect. The heterogeneous nature of the park may be of importance in understanding this area as a complex, ecological system. It is possible that the remaining forest tracts of the park have been affected, and continue to be affected by previous disturbances. Based on these findings, recommendations are made to the Ontario Ministry of Natural Resources concerning the management of Short Hills Provincial Park in accordance with their 1990 proposed Management Plan.

Testing Mean-Variance Efficiency in CAPM with Possibly Non-Gaussian Errors : An Exact Simulation-Based Approach

In this paper we propose exact likelihood-based mean-variance efficiency tests of the market portfolio in the context of Capital Asset Pricing Model (CAPM), allowing for a wide class of error distributions which include normality as a special case. These tests are developed in the frame-work of multivariate linear regressions (MLR). It is well known however that despite their simple statistical structure, standard asymptotically justified MLR-based tests are unreliable. In financial econometrics, exact tests have been proposed for a few specific hypotheses [Jobson and Korkie (Journal of Financial Economics, 1982), MacKinlay (Journal of Financial Economics, 1987), Gib-bons, Ross and Shanken (Econometrica, 1989), Zhou (Journal of Finance 1993)], most of which depend on normality. For the gaussian model, our tests correspond to Gibbons, Ross and Shanken’s mean-variance efficiency tests. In non-gaussian contexts, we reconsider mean-variance efficiency tests allowing for multivariate Student-t and gaussian mixture errors. Our framework allows to cast more evidence on whether the normality assumption is too restrictive when testing the CAPM. We also propose exact multivariate diagnostic checks (including tests for multivariate GARCH and mul-tivariate generalization of the well known variance ratio tests) and goodness of fit tests as well as a set estimate for the intervening nuisance parameters. Our results [over five-year subperiods] show the following: (i) multivariate normality is rejected in most subperiods, (ii) residual checks reveal no significant departures from the multivariate i.i.d. assumption, and (iii) mean-variance efficiency tests of the market portfolio is not rejected as frequently once it is allowed for the possibility of non-normal errors.

Suppression of long-branch attraction artefacts in the animal phylogeny using a site-heterogeneous model

Affiliation: Département de Biochimie, Université de Montréal

The Wild Bootstrap for the Variance Radio Test.

Rapport de recherche

Variabilité Génétique des Populations Ouest-Africaines

Notre patrimoine génétique dévoile, de plus en plus, les passerelles démogénétiques d’une susceptibilité plus accrue de certains individus à des maladies infectieuses complexes. En vue d’une caractérisation de la variabilité génétique des populations ouest-africaines, nous avons analysé 659 chromosomes X au locus dys44 qui comprend, 35 SNPs et un microsatellite distribués sur 2853 pb en amont et 5034 pb en aval de l’exon 44 du gène de la dystrophine en Xp21.3. Les génotypes obtenus, par ASO dynamique et électrophorèse sur gel d’acrylamide, ont servi à la détermination des haplotypes. Des paramètres comme la diversité haplotypique (G) et l'indice de fixation (Fst) ont été calculés. Des analyses en composantes principales ainsi que multidimensionnelles ont été réalisées. Sur 68 haplotypes détectés, 26 sont nouveaux, et cette région, avec une diversité haplotypique moyenne (Gmoy) de 0,91 ± 0,03, se révèle beaucoup plus hétérogène que le reste du continent (Gmoy = 0,85 ± 0,04). Toutefois, malgré l’existence de disparités sous régionales dans la distribution des variants du marqueur dys44, l’AMOVA montre d’une manière générale, une faible érosion de l’éloignement génétique entre les populations subsahariennes (Fst = 1,5% ; p<10-5). Certains variants tel que l’haplotype eurasien B006 paraissent indiquer des flux transsahariens de gènes entre les populations nord-africaines et celles subsahariennes, comme l’exemplifie le pool génétique de l’une des populations ubiquitaires de la famille linguistique Nigéro-congolaise : Les Fulani. Nos résultats vont aussi dans le sens d’un héritage phylétique commun entre les Biaka, les Afro-américains et les populations de la sous-famille de langues Volta-Congo.