Estimating and forecasting the volatility of Brazilian finance series using arch models (Preliminary Version)

The goal of this paper is to present a comprehensive emprical analysis of the return and conditional variance of four Brazilian …nancial series using models of the ARCH class. Selected models are then compared regarding forecasting accuracy and goodness-of-…t statistics. To help understanding the empirical results, a self-contained theoretical discussion of ARCH models is also presented in such a way that it is useful for the applied researcher. Empirical results show that although all series share ARCH and are leptokurtic relative to the Normal, the return on the US$ has clearly regime switching and no asymmetry for the variance, the return on COCOA has no asymmetry, while the returns on the CBOND and TELEBRAS have clear signs of asymmetry favoring the leverage e¤ect. Regarding forecasting, the best model overall was the EGARCH(1; 1) in its Gaussian version. Regarding goodness-of-…t statistics, the SWARCH model did well, followed closely by the Student-t GARCH(1; 1)

Multiple structural change models:a simulation analysis

In a reccnt paper. Bai and Perron (1998) considcrccl theoretical issues relatec\ lo lhe limiting distriblltion of estimators and test. statist.ics in the linear model \\'ith multiplc struct ural changes. \Ve assess. via simulations, the adequacy of the \'arious I1Iethods suggested. These CO\'er the size and power of tests for structural changes. the cO\'erage rates of the confidence Íntervals for the break dates and the relat.Í\'e merits of methods to select the I1umber of breaks. The \'arious data generating processes considered alIo,,' for general conditions OIl the data and the errors including differellces across segmcll(s. Yarious practical recommendations are made.

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.

Do dividends signal more earnings? a theoretical analysis

The signaling models have contributed to the literature of corporate finance by the formalization of "the informational content of dividends hypothesis". However, these models are under criticism of empirical works, as weak evidences were found supporting one of the main predictions: the positive relation between changes in dividends and changes in earnings. We claim that the failure to verify this prediction does not invalidate the signaling approach. The mo deIs developed up to now assume or derive utility functions with the single-crossing property. We show that signaling is possible in the absence of this property and, in this case, changes in dividend and changes in earnings can be positively or negatively related.

Thermodynamic and electronic study of Ga-1 _ xMnxN films. A theoretical study

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

Toward an understanding of intermediate- and short-range defects in ZnO single crystals. A combined experimental and theoretical study

A joint use of experimental and theoretical techniques allows us to understand the key role of intermediate- and short-range defects in the structural and electronic properties of ZnO single crystals obtained by means of both conventional hydrothermal and microwave-hydrothermal synthesis methods. X-ray diffraction, Raman spectra, photoluminescence, scanning electronic and transmission electron microscopies were used to characterize the thermal properties, crystalline and optical features of the obtained nano and microwires ZnO structures. In addition, these properties were further investigated by means of two periodic models, crystalline and disordered ZnO wurtzite structure, and first principles calculations based on density functional theory at the B3LYP level. The theoretical results indicate that the key factor controlling the electronic behavior can be associated with a symmetry breaking process, creating localized electronic levels above the valence band.

Experimental and theoretical studies on the enhanced photoluminescence activity of zinc sulfide with a capping agent

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

Restrictions over two-dimensional gauge models with Thirring-like interaction

Some years ago, it was shown how fermion self-interacting terms of the Thirring-type impact the usual structure of massless two-dimensional gauge theories [1]. In that work only the cases of pure vector and pure chiral gauge couplings have been considered and the corresponding Thirring term was also pure vector and pure chiral respectively, such that the vector ( or chiral) Schwinger model should not lose its chirality structure due to the addition of the quartic interaction term. Here we extend this analysis to a generalized vector and axial coupling both for the gauge interaction and the quartic fermionic interactions. The idea is to perform quantization without losing the original structure of the gauge coupling. In order to do that we make use of an arbitrariness in the definition of the Thirring-like interaction.

The Yang-Lee edge singularity in spin models on connected and non-connected rings

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Generalized partition function zeros of 1D spin models and their critical behavior at edge singularities

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Theoretical estimates of consumable food and probability of acquiring food in larvae of Chrysomya putoria (Diptera: Calliphoridae)

An indirect estimate of consumable food and probability of acquiring food in a blowfly species, Chrysomya putoria, is presented. This alternative procedure combines three distinct models to estimate consumable food in the context of the exploitative competition experienced by immature individuals in blowfly populations. The relevant parameters are derived from data for pupal weight and survival and estimates of density-independent larval mortality in twenty different larval densities. As part of this procedure, the probability of acquiring food per unit of time and the time taken to exhaust the food supply are also calculated. The procedure employed here may be valuable for estimations in insects whose immature stages develop inside the food substrate, where it is difficult to partial out confounding effects such as separation of faeces. This procedure also has the advantage of taking into account the population dynamics of immatures living under crowded conditions, which are particularly characteristic of blowflies and other insects as well.

Algorithm for probing the unitarity of topologically massive models

An uncomplicated and easy handling prescription that converts the task of checking the unitarity of massive, topologically massive, models into a straightforward algebraic exercise, is developed. The algorithm is used to test the unitarity of both topologically massive higher-derivative electromagnetism (TMHDE) and topologically massive higher-derivative gravity (TMHDG). The novel and amazing features of these effective field models are also discussed.

A class of mixed integrable models

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Higher order Painleve equations and their symmetries via reductions of a class of integrable models

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Inverse scattering approach for massive Thirring models with integrable type-II defects

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)