Simulation-based smoothing and filtering in factor stochastic volatility models : two econometric applications

In this article we use factor models to describe a certain class of covariance structure for financiaI time series models. More specifical1y, we concentrate on situations where the factor variances are modeled by a multivariate stochastic volatility structure. We build on previous work by allowing the factor loadings, in the factor mo deI structure, to have a time-varying structure and to capture changes in asset weights over time motivated by applications with multi pIe time series of daily exchange rates. We explore and discuss potential extensions to the models exposed here in the prediction area. This discussion leads to open issues on real time implementation and natural model comparisons.

Simulation -based smoothing and filtering in factor stochastic volatility models : two econometric applications (July-2001)

The past decade has wítenessed a series of (well accepted and defined) financial crises periods in the world economy. Most of these events aI,"e country specific and eventually spreaded out across neighbor countries, with the concept of vicinity extrapolating the geographic maps and entering the contagion maps. Unfortunately, what contagion represents and how to measure it are still unanswered questions. In this article we measure the transmission of shocks by cross-market correlation\ coefficients following Forbes and Rigobon's (2000) notion of shift-contagion,. Our main contribution relies upon the use of traditional factor model techniques combined with stochastic volatility mo deIs to study the dependence among Latin American stock price indexes and the North American indexo More specifically, we concentrate on situations where the factor variances are modeled by a multivariate stochastic volatility structure. From a theoretical perspective, we improve currently available methodology by allowing the factor loadings, in the factor model structure, to have a time-varying structure and to capture changes in the series' weights over time. By doing this, we believe that changes and interventions experienced by those five countries are well accommodated by our models which learns and adapts reasonably fast to those economic and idiosyncratic shocks. We empirically show that the time varying covariance structure can be modeled by one or two common factors and that some sort of contagion is present in most of the series' covariances during periods of economical instability, or crisis. Open issues on real time implementation and natural model comparisons are thoroughly discussed.

Elasticity of substitution between capital and labor: a panel data approach

This paper estimates the elasticity of substitution of an aggregate production function. The estimating equation is derived from the steady state of a neoclassical growth model. The data comes from the PWT in which different countries face different relative prices of the investment good and exhibit different investment-output ratios. Then, using this variation we estimate the elasticity of substitution. The novelty of our approach is that we use dynamic panel data techniques, which allow us to distinguish between the short and the long run elasticity and handle a host of econometric and substantive issues. In particular we accommodate the possibility that different countries have different total factor productivities and other country specific effects and that such effects are correlated with the regressors. We also accommodate the possibility that the regressors are correlated with the error terms and that shocks to regressors are manifested in future periods. Taking all this into account our estimation resuIts suggest that the Iong run eIasticity of substitution is 0.7, which is Iower than the eIasticity that had been used in previous macro-deveIopment exercises. We show that this lower eIasticity reinforces the power of the neoclassical mo deI to expIain income differences across countries as coming from differential distortions.

The determinantss of foreign direct investment distribution among the Brazilian states

O Investimento Estrangeiro Direto (IED) tem desempenhado um papel importante no esforço do Brasil para tornar-se uma economia orientada para o mercado. De 1995 a 2012 o Brasil recebeu $ 511.5 bilhões de dólares em IED. Em 2012, o Brasil foi o segundo país em desenvolvimento que mais recebeu IED e o quarto no mundo (UNCTAD).Devido à concentração geográfica, os estados brasileiros que são consideravelmente menos desenvolvidos e mais pobres, são aqueles que mais precisam de investimentos e que no entanto, não têm sido receptores relevantes de IED. Em 2010, os estados com os maiores estoques de IED foram São Paulo, com 42,3 por cento do total ($ 99,9 bilhões de dólares), Rio de Janeiro com 13,3 por cento ($ 31,4 bilhões de dólares) e Minas Gerais com 10,6 por cento do total ($ 25,1 bilhões de dólares). Como pode ser observado, apenas três dos vinte e sete estados brasileiros receberam cerca de 66 por cento do total de IED destinado ao Brasil.Dada tal diferenciação na distribuição de IED entre os estados brasileiros, o presente estudo busca explicar se o benefício tributário também é determinante para o fluxo de IED, além das demais variáveis já consideradas como determinantes em outros estudos. Dada a limitação de dados, realizamos duas análises econométricas com dados em painel: 1. Usando seis variáveis chaves: tamanho do mercado consumidor, a qualidade da mão de obra, infraestrutura, custo da mão de obra, carga tributária e benefício tributário (por macro regiões), nos anos de 1995, 2000, 2005 and 2010; 2. Usando cinco variáveis: as mesmas do primeiro modelo, excluindo o custo da mão de obra (por falta de dados) e utilizando os dados de benefício tributário por estado, nos anos de 2010, 2011 e 2012.

Transport modelling: macro and micro simulation for the studied case of Funchal

The work done in this thesis attempts to demonstrate the importance of using models that can predict and represent the mobility of our society. To answer the proposed challenges two models were examined, the first corresponds to macro simulation with the intention of finding a solution to the frequency of the bus company Horários do Funchal, responsible for transport in the city of Funchal, and some surrounding areas. Where based on a simplified model of the city it was possible to increase the frequency of journeys getting an overall reduction in costs. The second model concerns the micro simulation of Avenida do Mar, where currently is being built a new roundabout (Praça da Autonomia), which connects with this avenue. Therefore it was proposed to study the impact on local traffic, and the implementation of new traffic lights for this purpose. Four possible situations in which was seen the possibility of increasing the number of lanes on the roundabout or the insertion of a bus lane were created. The results showed that having a roundabout with three lanes running is the best option because the waiting queues are minimal, and at environmental level this model will project fewer pollutants. Thus, this thesis presents two possible methods of urban planning. Transport modelling is an area that is under constant development, the global goal is to encourage more and more the use of these models, and as such it is important to have more people to devote themselves to studying new ways of addressing current problems, so that we can have more accurate models and increasing their credibility.

Third eyelid gland protrusion in dogs: an experimental model proposal

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Using of model updating considering damped frequency response function

The search for better performance in the structural systems has been taken to more refined models, involving the analysis of a growing number of details, which should be correctly formulated aiming at defining a representative model of the real system. Representative models demand a great detailing of the project and search for new techniques of evaluation and analysis. Model updating is one of this technologies, it can be used to improve the predictive capabilities of computer-based models. This paper presents a FRF-based finite element model updating procedure whose the updating variables are physical parameters of the model. It includes the damping effects in the updating procedure assuming proportional and none proportional damping mechanism. The updating parameters are defined at an element level or macro regions of the model. So, the parameters are adjusted locally, facilitating the physical interpretation of the adjusting of the model. Different tests for simulated and experimental data are discussed aiming at defining the characteristics and potentialities of the methodology.

Caracterização macro, meso e microscópica das estruturas frágeis do corpo arenítico conglomerático da região de Santana do Acaraú (CE) e seu embasamento circundante

The structural framework of the sedimentary basins usually plays an important role in oil prospects and reservoirs. Geometry, interconectivity and density of the brittle features developed during basin evolution could change the permo-porous character of the rocks involved in generation, migration and entrapment of fluid flow. Once the structural characterization of the reservois using only sub-surface data is not an easy task, many studies are focused in analogous outcrops trying to understand the main processes by which brittle tectonic is archieved. In the Santana do Acaraú region (Ceará state, NE Brazil) a pack of conglomeratic sandstone (here named CAC) has its geometry controlled mainly by NE trending faults, interpreted as related to reactivation of a precambrian Sobral Pedro II Lineament (LSP-II). Geological mapping of the CAC showed a major NE-SW trending synform developed before its complete lithification during a dextral transpression. This region was then selected to be studied in details in order of constrain the cretaceous deformation and so help the understanding the deformation of the basins along the brazilian equatorial margin. In order to characterize the brittle deformation in different scales, I study some attributes of the fractures and faults such as orientation, density, kinematic, opening, etc., through scanlines in satellite images, outcrops and thin sections. The study of the satellite images showed three main directions of the macrostructures, N-S, NE-SW and E-W. Two of theses features (N-S and E-W) are in aggreement with previous geophysical data. A bimodal pattern of the lineaments in the CAC´s basement rocks has been evidenciated by the NE and NW sets of structures obtained in the meso and microscale data. Besides the main dextral transpression two others later events, developed when the sediments were complety lithified, were recognized in the area. The interplay among theses events is responsible for the compartimentation of the CAC in several blocks along within some structural elements display diferents orientations. Based on the variation in the S0 orientation, the CAC can be subdivided in several domains. Dispite of the variations in orientations of the fractures/faults in the diferents domains, theses features, in the meso and microscopic scale, are concentrated in two sets (based on their trend) in all domains which show similar orientation of the S0 surface. Thus the S0 orientation was used to group the domains in three major sets: i) The first one is that where S0 is E-W oriented: the fractures are oriented mainly NE with the development of a secondary NW trending; ii) S0 trending NE: the fractures are concentrated mainly along the trend NW with a secondary concentration along the NE trend; iii) The third set, where S0 is NS the main fractures are NE and the secondary concentration is NW. Another analized parameter was the fault/fracture length. This attribute was studied in diferent scales trying to detect the upscale relationship. A terrain digital model (TDM) was built with the brittlel elements supperposed. This model enhanced a 3D visualization of the area as well as the spatial distribution of the fault/fractures. Finally, I believe that a better undertanding of the brittle tectonic affecting both CAC and its nearby basement will help the future interpretations of the tectonic envolved in the development of the sedimentary basins of the brazilian equatorial margin and their oil reservoirs and prospects, as for instance the Xaréu field in the Ceará basin, which subsurface data could be correlated with the surface ones

An econometric analysis of private-sector investment in Brazil

Includes bibliography

Comportamento dinâmico não linear e controle de sistemas eletromecânicos em macro e micro escalas

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Green markov - uma abordagem híbrida de política markoviana e simulação discreta para planejamento de alocação de usuários em redes macro-femto

O uso da comunicação de voz e dados através de dispositivos móveis vem aumentando significativamente nos últimos anos. Tal expansão traz algumas dificuldades inerentes, tais como: ampliação constante de capacidade das redes e eficiência energética. Neste contexto, vem se consolidando o conceito de Green networks, que se concentra no esforço para economia de energia e redução de CO2. Neste sentido, este trabalho propõe validar um modelo de uma política baseado em processo markoviano de decisão, visando a otimizar o consumo de energia, QoS e QoE, na alocação de usuários em redes macrocell e femtocell. Para isso o modelo foi inserido no simulador NS-2, aliando a solução analítica markoviana à flexibilidade característica da simulação discreta. A partir dos resultados apresentados na simulação, a política obteve uma economia significativa no consumo energético, melhorando a eficiência energética em até 4%, além de melhorar a qualidade de serviço em relação às redes macrocell e femtocell, demonstrando-se eficaz, de modo a alterar diretamente as métricas de QoS e de QoE.

A macroscopic kinetic model for DNA polymerase elongation and high-fidelity nucleotide election

The enzymatically catalyzed template-directed extension of ssDNA/primer complex is an impor-tant reaction of extraordinary complexity. The DNA polymerase does not merely facilitate the insertion of dNMP, but it also performs rapid screening of substrates to ensure a high degree of fidelity. Several kinetic studies have determined rate constants and equilibrium constants for the elementary steps that make up the overall pathway. The information is used to develop a macro-scopic kinetic model, using an approach described by Ninio [Ninio J., 1987. Alternative to the steady-state method: derivation of reaction rates from first-passage times and pathway probabili-ties. Proc. Natl. Acad. Sci. U.S.A. 84, 663–667]. The principle idea of the Ninio approach is to track a single template/primer complex over time and to identify the expected behavior. The average time to insert a single nucleotide is a weighted sum of several terms, in-cluding the actual time to insert a nucleotide plus delays due to polymerase detachment from ei-ther the ternary (template-primer-polymerase) or quaternary (+nucleotide) complexes and time delays associated with the identification and ultimate rejection of an incorrect nucleotide from the binding site. The passage times of all events and their probability of occurrence are ex-pressed in terms of the rate constants of the elementary steps of the reaction pathway. The model accounts for variations in the average insertion time with different nucleotides as well as the in-fluence of G+C content of the sequence in the vicinity of the insertion site. Furthermore the model provides estimates of error frequencies. If nucleotide extension is recognized as a compe-tition between successful insertions and time delaying events, it can be described as a binomial process with a probability distribution. The distribution gives the probability to extend a primer/template complex with a certain number of base pairs and in general it maps annealed complexes into extension products.

Quantitative evaluation of household nutrition patterns: an econometric assessment of the UK 5-a-day impact on fruit and vegetable consumption

The present work provides an ex-post assessment of the UK 5-a-day information campaign where the positive effects of information on consumption levels are disentangled from the potentially conflicting price dynamics. A model-based estimate of the counterfactual (no-intervention) scenario is computed using data from the Expenditure and Food Survey between 2002 and 2006. For this purpose fruit and vegetable demand is modelled employing Quadratic Almost Ideal Demand System (QUAIDS) specification with demographic effects and controlling for potential endogeneity of prices and total food expenditure.

Econometric models of financial risks

The goal of this dissertation is to use statistical tools to analyze specific financial risks that have played dominant roles in the US financial crisis of 2008-2009. The first risk relates to the level of aggregate stress in the financial markets. I estimate the impact of financial stress on economic activity and monetary policy using structural VAR analysis. The second set of risks concerns the US housing market. There are in fact two prominent risks associated with a US mortgage, as borrowers can both prepay or default on a mortgage. I test the existence of unobservable heterogeneity in the borrower's decision to default or prepay on his mortgage by estimating a multinomial logit model with borrower-specific random coefficients.

A Multilevel Model with Time Series Components for the Analysis of Tribal Art Prices

In the present work we perform an econometric analysis of the Tribal art market. To this aim, we use a unique and original database that includes information on Tribal art market auctions worldwide from 1998 to 2011. In Literature, art prices are modelled through the hedonic regression model, a classic fixed-effect model. The main drawback of the hedonic approach is the large number of parameters, since, in general, art data include many categorical variables. In this work, we propose a multilevel model for the analysis of Tribal art prices that takes into account the influence of time on artwork prices. In fact, it is natural to assume that time exerts an influence over the price dynamics in various ways. Nevertheless, since the set of objects change at every auction date, we do not have repeated measurements of the same items over time. Hence, the dataset does not constitute a proper panel; rather, it has a two-level structure in that items, level-1 units, are grouped in time points, level-2 units. The main theoretical contribution is the extension of classical multilevel models to cope with the case described above. In particular, we introduce a model with time dependent random effects at the second level. We propose a novel specification of the model, derive the maximum likelihood estimators and implement them through the E-M algorithm. We test the finite sample properties of the estimators and the validity of the own-written R-code by means of a simulation study. Finally, we show that the new model improves considerably the fit of the Tribal art data with respect to both the hedonic regression model and the classic multilevel model.