Multivariate Moments Expansion Density: Application of the Dynamic Equicorrelation Model

In this study, we propose a new semi-nonparametric (SNP) density model for describing the density of portfolio returns. This distribution, which we refer to as the multivariate moments expansion (MME), admits any non-Gaussian (multivariate) distribution as its basis because it is specified directly in terms of the basis density’s moments. To obtain the expansion of the Gaussian density, the MME is a reformulation of the multivariate Gram-Charlier (MGC), but the MME is much simpler and tractable than the MGC when positive transformations are used to produce well-defined densities. As an empirical application, we extend the dynamic conditional equicorrelation (DECO) model to an SNP framework using the MME. The resulting model is parameterized in a feasible manner to admit two-stage consistent estimation and it represents the DECO as well as the salient non-Gaussian features of portfolio return distributions. The in- and out-of-sample performance of a MME-DECO model of a portfolio of 10 assets demonstrate that it can be a useful tool for risk management purposes.

Post awakening salivary cortisol secretion and trait well-being: The importance of sample timing accuracy

Indices of post awakening cortisol secretion (PACS), include the rise in cortisol(cortisol awakening response: CAR) and overall cortisol concentrations (e.g. area under the curve with reference to ground: AUCg) in the first 30—45 min. Both are commonly investigated in relation to psychosocial variables. Although sampling within the domestic setting is ecologically valid, participant non-adherence to the required timing protocol results in erroneous measurement of PACS and this may explain discrepancies in the literature linking these measures to trait well-being (TWB). We have previously shown that delays of little over 5 min(between awakening and the start of sampling) to result in erroneous CAR estimates. In this study, we report for the first time on the negative impact of sample timing inaccuracy (verified by electronic-monitoring) on the efficacy to detect significant relationships between PACS and TWB when measured in the domestic setting.Healthy females (N = 49, 20.5 ± 2.8 years) selected for differences in TWB collected saliva samples (S1—4) on 4 days at 0, 15, 30, 45 min post awakening, to determine PACS. Adherence to the sampling protocol was objectively monitored using a combination of electronic estimates of awakening (actigraphy) and sampling times (track caps).Relationships between PACS and TWB were found to depend on sample timing accuracy. Lower TWB was associated with higher post awakening cortisol AUCg in proportion to the mean sample timing accuracy (p < .005). There was no association between TWB and the CAR even taking into account sample timing accuracy. These results highlight the importance of careful electronic monitoring of participant adherence for measurement of PACS in the domestic setting. Mean sample timing inaccuracy, mainly associated with delays of >5 min between awakening and collection of sample 1 (median = 8 min delay), negatively impacts on the sensitivity of analysis to detect associations between PACS and TWB.

Predicting GDP growth in the Euro Area

A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and Economics

Three essays on economics of predictability of stock returns

A PhD Dissertation, presented as part of the requirements for the Degree of Doctor of Philosophy from the NOVA - School of Business and Economics

Predictability of stock market returns: Evidence from Eurozone's banking sectors

This paper analyzes the in-, and out-of sample, predictability of the stock market returns from Eurozone’s banking sectors, arising from bank-specific ratios and macroeconomic variables, using panel estimation techniques. In order to do that, I set an unbalanced panel of 116 banks returns, from April, 1991, to March, 2013, to constitute equal-weighted country-sorted portfolios representative of the Austrian, Belgian, Finish, French, German, Greek, Irish, Italian, Portuguese and Spanish banking sectors. I find that both earnings per share (EPS) and the ratio of total loans to total assets have in-sample predictive power over the portfolios’ monthly returns whereas, regarding the cross-section of annual returns, only EPS retain significant explanatory power. Nevertheless, the sign associated with the impact of EPS is contrarian to the results of past literature. When looking at inter-yearly horizon returns, I document in-sample predictive power arising from the ratios of provisions to net interest income, and non-interest income to net income. Regarding the out-of-sample performance of the proposed models, I find that these would only beat the portfolios’ historical mean on the month following the disclosure of year-end financial statements. Still, the evidence found is not statistically significant. Finally, in a last attempt to find significant evidence of predictability of monthly and annual returns, I use Fama and French 3-Factor and Carhart models to describe the cross-section of returns. Although in-sample the factors can significantly track Eurozone’s banking sectors’ stock market returns, they do not beat the portfolios’ historical mean when forecasting returns.

Modeling and forecasting value-at-risk for the Portuguese stock market

The aim of this work project is to find a model that is able to accurately forecast the daily Value-at-Risk for PSI-20 Index, independently of the market conditions, in order to expand empirical literature for the Portuguese stock market. Hence, two subsamples, representing more and less volatile periods, were modeled through unconditional and conditional volatility models (because it is what drives returns). All models were evaluated through Kupiec’s and Christoffersen’s tests, by comparing forecasts with actual results. Using an out-of-sample of 204 observations, it was found that a GARCH(1,1) is an accurate model for our purposes.

Using artificial neural networks to generate trading signals for crude oil, copper and gold futures

In this thesis, a feed-forward, back-propagating Artificial Neural Network using the gradient descent algorithm is developed to forecast the directional movement of daily returns for WTI, gold and copper futures. Out-of-sample back-test results vary, with some predictive abilities for copper futures but none for either WTI or gold. The best statistically significant hit rate achieved was 57% for copper with an absolute return Sharpe Ratio of 1.25 and a benchmarked Information Ratio of 2.11.

Validation of plant dynamic model by online and laboratory measurements – a tool to predict online COD loads out of production of mechanical printing papers

COD discharges out of processes have increased in line with elevating brightness demands for mechanical pulp and papers. The share of lignin-like substances in COD discharges is on average 75%. In this thesis, a plant dynamic model was created and validated as a means to predict COD loading and discharges out of a mill. The assays were carried out in one paper mill integrate producing mechanical printing papers. The objective in the modeling of plant dynamics was to predict day averages of COD load and discharges out of mills. This means that online data, like 1) the level of large storage towers of pulp and white water 2) pulp dosages, 3) production rates and 4) internal white water flows and discharges were used to create transients into the balances of solids and white water, referred to as “plant dynamics”. A conversion coefficient was verified between TOC and COD. The conversion coefficient was used for predicting the flows from TOC to COD to the waste water treatment plant. The COD load was modeled with similar uncertainty as in reference TOC sampling. The water balance of waste water treatment was validated by the reference concentration of COD. The difference of COD predictions against references was within the same deviation of TOC-predictions. The modeled yield losses and retention values of TOC in pulping and bleaching processes and the modeled fixing of colloidal TOC to solids between the pulping plant and the aeration basin in the waste water treatment plant were similar to references presented in literature. The valid water balances of the waste water treatment plant and the reduction model of lignin-like substances produced a valid prediction of COD discharges out of the mill. A 30% increase in the release of lignin-like substances in the form of production problems was observed in pulping and bleaching processes. The same increase was observed in COD discharges out of waste water treatment. In the prediction of annual COD discharge, it was noticed that the reduction of lignin has a wide deviation from year to year and from one mill to another. This made it difficult to compare the parameters of COD discharges validated in plant dynamic simulation with another mill producing mechanical printing papers. However, a trend of moving from unbleached towards high-brightness TMP in COD discharges was valid.

An empirical study of in-school and out-of-school day care

The purpose of this study was to determine if there were differences between in-school and out-of-school day care centres. Five centres housed in public schools and five housed in other locations were selected for the research. Aquality assessment was administered in each centre which examined the following components - physical environment, adult social structure and socia-emotional environment, children's socia-emotional environment, cognitive stimulation program and toys and equipment. Quantitative analysis using simple t-tests showed a significant difference between in-school and out-of-school day cares for the physical environment variable. Differences approached significance for the children's socia-emotional environment variable as well as overall quality. Qualitative analysis using a triangulated methodology revealed noticeable differences for every variable. The researcher concluded that both the quality of the physical environment and the capabilities of the administrators strongly influence the quality of the day care environment. This study also included an assessment of children's attitude toward learning. No significant difference was found between in-school and out-of-school centres.

Effects of sample solvent composition and injection volume on chromatographic peak profiles of methyl w- benzimidazolecarbamate and 3-butyl1-2,4-dioxo[1,2-a]-s- triazinobenzimidazole in RP-HPLC

The effects of sample solvent composition and the injection volume, on the chromatographic peak profiles of two carbamate derivatives, methyl 2-benzimidazolecarbamate (MBC) and 3-butyl-2,4-dioxo[1,2-a]-s-triazinobenzimidazole (STB), were studied using reverse phase high performance liquid chromatograph. The study examined the effects of acetonitrile percentage in the sample solvent from 5 to 50%, effects of methanol percentage from 5 to 50%, effects of pH increase from 4.42 to 9.10, and effect of increasing buffer concentration from ° to 0.12M. The effects were studied at constant and increasing injection mass and at four injection volumes of 10, 50, 100 and 200 uL. The study demonstrated that the amount and the type of the organic solvents, the pH, and the buffer strength of the sample solution can have a pronounced effect on the peak heights, peak widths, and retention times of compounds analysed. MBC, which is capable of intramolecular hydrogen bonding and has no tendency to ionize, showed a predictable increase .in band broadening and a decrease in retention times at higher eluting strengths of the sample solvent. STB, which has a tendency to ionize or to strongly interact with the sample solvent, was influenced in various ways by the changes in ths sample solvent composition. The sample solvent effects became more pronounced as the injection volume increased and as the percentage of organic solvent in the sample solution became greater. The peak height increases for STB at increasing buffer concentrations became much more pronounced at higher analyte concentrations. It was shown that the widely accepted procedure of dissolving samples in the mobile phase does not yield the most efficient chromatograms. For that reason samples should be dissolved in the solutions with higher aqueous content than that of the mobile phase whenever possible. The results strongly recommend that all the samples and standards, regardless whether the standards are external or internal, be analysed at a constant sample composition and a constant injection volume.

Out of the darkness and into the light : a study of inauthentic and authentic speech

Introduction Man can be described as the being who shows himself in speech, and from birth to death is continually speaking. Communication is so close to us, so woven into our very being, that we have little understanding of the way it is constituted; for it is as hard to obtain distance from communication as it is to obtain distance from ourselves. All communication is not alike. There are two basic modesl of communication, the inauthentic and the authentic, between which there occurs a constant tension. It is in the inauthentic mode, points out Heidegger, that we find ourselves "proximately and for the most part"; 1. Being and Time, pg. 68 Dasein decides as to the way it will comport itself in taking up its task of having being as an issue for it. " •.• it~, in its very being 'choose' itself and win itself; it can also lose itself and never win itself or only "seem" to do so. But only in so far as it is essentially something which can be authentic--that is, something of its own--can it have lost itself and not yet won itself." 2. therefore Heidegger also terms it "everydayness".2 Caught up in the world of everydayness, our speaking covers over and conceals3 our rootedness in being, leaving us in the darkness of untruth. The image of darkness may be inferred from Heidegger's use of the image of "clearing,,4 to depict being as 2. ibid. pg. 69 "Dasein's average everydayness, however, is not to be taken as a mere 'aspect'. Here too, and even in the mode of inauthenticity, the structure of existentiality lies ~ priori and here too Dasein's being is an issue for it in a definite way; and Dasein comports itself towards it the mode of average everydayness, even if this is only the mode of fleeing in the face of it and forgetfulness thereof." 3. ibid. pg. 59 "covering over" and "concealing" are 1;yays Dasein tries to flee its task of having being as an issue for itself. " ••• This being can be covered up so extensively that it becomes forgotten and no question arises about it or its meaning ••• n How everyday speaking accomplishes this will be taken up in detail in the second chapter which explores Dasein's everyday speech. 4. ibid, pg. 171 lI ••• we have in mind nothing other than the Existential - ontological structure of this entity (Dasein), that it is in such a way as to be its 'there'. To say that it is -' illuminated' [tlerleuchtet"] means that as Being-in-theworld it is cleared [gelichtetJ in itself7 not through any other entity, but in such a way that it is itself the clearing. Only for an entity which is eXistentially cleared in this way does what is present-at-hand become accessible in the light or hidden in the dark •••• " 3 dis-coveredness and truth. Our first task will be to explore the nature of communication in general and then to explore each of the modes manifested in turn. The structure of the inauthentic mode of communication can be explored by asking the following questions: What is this speaking about? Who is it that is speaking and who is spoken to? Does this speaking show man in his speech? The authentic mode is distinguished by the rarity with which we encounter it; as the inauthentic conceals, so the authentic reveals our rootedness in being. Yet this rarity makes it difficult to delineate its elusive structure clearly. Its constituent elements can be brought into focus by asking the same questions of this mode that we previously asked of the inauthentic mode. Our initial response to the disclosure of the authentic mode is to attempt to abandon the inauthentic mode and leave the darkness behind dwelling only in the "lighted place". All through the ages, some men pushing this to extreme, have, upon uncovering their relatedness to being, experienced a deep longing to dwell in such a "place" of pure truth and oft times denigrated or attempted to exclude the everyday world. Such 4. flight is twice mistaken: first it atbempts to fix truth as unchanging and static and secondly, it opposes this to untruth which it seeks to abolish. This is both the wrong view of truth and the wrong view of untruth as Heidegger points out in The Origin of The-Work of Art: The Way-to-be of truth, i.e., of discoveredness, is under the sway of refusal. But this refusal is no lack or privation, as if truth could be simply discoveredness rid of all covers. If it could be that, it would no longer be itself . ••• Truth in its way-to-be is untruth.5 Pure light is not the nature of Being nor is pure unconcealedness possible for man. Failure to remember this is the failure to realize that communication destroys itself in such flight because it no longer maintains the contingency of its task, i.e., the dis-closedness of being. We are reminded of the strong attraction this flight from darkness held for Plato. Light, truth and Being are all beyond the darkness and have nothing to do with it. In Book VII of the R~public, Socrates' explanation of the Allegory of the Cave to Glaucon points to a decided preference men have for the "lighted place". 5. The Origin Of The Work Of Art, pg. 42 5. Come then, I said, and join me in this further thought, and do not be surprised that those who attained to this height are not willing to occupy themselves with the affairs of men, but their souls ever feel the upward urge and yearning for that sojourn above. For this, I take it, is likely if in this point too the likeliness of our image holds. 6 Despite the attraction to pure truth, human communication is more complex than putting down one mode of communication and picking up another. Due to the fact that we are always on the way, the title of my thesis will have to be amended: OUT OF THE DARKNESS AND INTO THE LIGHT--AGAIN AND AGAIN. It must be this way because this is what it means to be human. This is the point made by Mephisto to Faust in pointing out that man, standing between God and the devil, needs both darkness and light: Er findet sich in einem ewigen Gl~t Uns hat er in die Finsternis gebracht, Und euch taugt einzig Tag und Nacht. 7 6. Republic z (517 c & d) It should be noted however, that while the philosopherking must be compelled to return to the cave for purely political reasons, once he has taken adequate view of the "brightest region of being" he has the full truth and his return to darkness adds nothing to the truth. 7. Faust, pg. 188 6. This thesis proposes to examine the grounds that give rise to communication, uncovering the structure of its inauthentic and authentic modes and paying close attention to tpeir interrelationship and to their relationship to language as "the house of Being": language that both covers and opens up man's rootedness in Being, transforming him as he moves along his way, taking up his "ownmost task" of becoming who he is. roots. He is the being who shows himself inn that reflects his forgetfulness or remembrance of his rootedness in being. Man comes into an already existent world and is addressedl through things in the world which are c