Modelos de tasas de interes en Chile: una revisi��n

Con este trabajo revisamos los Modelos de niveles de las tasas de intereses en Chile. Adem��s de los Modelos de Nivel tradicionales por Chan, Karoly, Longstaff y Lijadoras (1992) en EE. UU, y Parisi (1998) en Chile, por el m��todo de Probabilidad Maximun permitimos que la volatilidad condicional tambi��n incluya los procesos inesperados de la informaci��n (el modelo GARCH ) y tambi��n que la volatilidad sea la funci��n del nivel de la tasa de intereses (modelo TVP-NIVELE) como en Brenner, Harjes y la Crona (1996). Para esto usamos producciones de mercado de bonos de reconocimiento, en cambio las producciones mensuales medias de subasta PDBC, y la ampliaci��n del tama��o y la frecuencia de la muestra a 4 producciones semanales con t��rminos(condiciones) diferentes a la madurez: 1 a��o, 5 a��os, 10 a��os y 15 a��os. Los resultados principales del estudio pueden ser resumidos en esto: la volatilidad de los cambios inesperados de las tarifas depende positivamente del nivel de las tarifas, sobre todo en el modelo de TVP-NIVEL. Obtenemos pruebas de reversi��n taca��as, tal que los incrementos en las tasas de intereses no eran independientes, contrariamente a lo obtenido por Brenner. en EE. UU. Los modelos de NIVELES no son capaces de ajustar apropiadamente la volatilidad en comparaci��n con un modelo GARCH (1,1), y finalmente, el modelo de TVP-NIVEL no vence los resultados del modelo GARCH (1,1)

Modelos de tasas de interes en Chile: una revisi��n

Con este trabajo revisamos los Modelos de niveles de las tasas de intereses en Chile. Adem��s de los Modelos de Nivel tradicionales por Chan, Karoly, Longstaff y Lijadoras (1992) en EE. UU, y Parisi (1998) en Chile, por el m��todo de Probabilidad Maximun permitimos que la volatilidad condicional tambi��n incluya los procesos inesperados de la informaci��n (el modelo GARCH ) y tambi��n que la volatilidad sea la funci��n del nivel de la tasa de intereses (modelo TVP-NIVELE) como en Brenner, Harjes y la Crona (1996). Para esto usamos producciones de mercado de bonos de reconocimiento, en cambio las producciones mensuales medias de subasta PDBC, y la ampliaci��n del tama��o y la frecuencia de la muestra a 4 producciones semanales con t��rminos(condiciones) diferentes a la madurez: 1 a��o, 5 a��os, 10 a��os y 15 a��os. Los resultados principales del estudio pueden ser resumidos en esto: la volatilidad de los cambios inesperados de las tarifas depende positivamente del nivel de las tarifas, sobre todo en el modelo de TVP-NIVEL. Obtenemos pruebas de reversi��n taca��as, tal que los incrementos en las tasas de intereses no eran independientes, contrariamente a lo obtenido por Brenner. en EE. UU. Los modelos de NIVELES no son capaces de ajustar apropiadamente la volatilidad en comparaci��n con un modelo GARCH (1,1), y finalmente, el modelo de TVP-NIVEL no vence los resultados del modelo GARCH (1,1)

Stochastic variability of output levels in a pulp mill

Quite often, in the construction of a pulp mill involves establishing the size of tanks which will accommodate the material from the various processes in which case estimating the right tank size a priori would be vital. Hence, simulation of the whole production process would be worthwhile. Therefore, there is need to develop mathematical models that would mimic the behavior of the output from the various production units of the pulp mill to work as simulators. Markov chain models, Autoregressive moving average (ARMA) model, Mean reversion models with ensemble interaction together with Markov regime switching models are proposed for that purpose.

Korkok��yr��n mallintaminen: tarkastelussa Cox-Ingersoll-Ross -malli

Korot ovat eritt��in t��rke��ss�� osassa kaikessa taloudellisessa toiminnassa ja t��st�� syyst�� niiden kehityst�� seurataan mielenkiinnolla. Yksi keino korkojen kehityksen tutkimiseen on rahoitusmarkkinoilla havaittavan korkok��yr��n tarkastelu. T��m��n tutkielman tarkoituksena on tarkastella Cox-Ingersoll-Ross-mallin soveltuvuutta korkok��yr��n empiriseen mallintamiseen. T��ss�� tutkielmassa Cox-Ingersoll-Ross-malli estimoidaan pienimm��n neli��summan ��� ja suurimman uskottavuuden ���menetelmill��. Tutkimuksen datana k��ytet����n 3 kuukauden euribor-korkojen ja Saksan valtion 3 kuukauden mittaisen joukkolainan p��iv��tason tuottoja kolmelta eri vuoden mittaiselta periodilta. Mallin avulla estimoituja korkok��yri�� verrataan samojen periodien lopussa rahoitusmarkkinoilla realisoituneisiin korkok��yriin. Estimoinnin tulosten perusteella Cox-Ingersoll- Ross-malli ei sovi varauksitta korkok��yr��n mallintamiseen. Pienimm��n neli��summan ���menetelm��n diagnostisista tarkastuksista k��y ilmi, ett�� menetelm�� ei ole sopiva mallin estimoimiseen. Suurimman uskottavuuden ���estimoinnin avulla estimoidut korkok��yr��t eroavat kaikissa paitsi yhdess�� tapauksessa melko selv��sti realisoituneista korkok��yrist��. Tutkielman tuloksissa on selvi�� yhtym��kohtia aiempien empiristen tutkimusten tuloksiin. Varsinkin mallin odotusarvohakuisuutta (mean reversion) kuvaavan parametrin estimoinnissa ilmenee ep��varmuutta, mik�� vaikuttaa koko mallin toimintaan. Sama tulos ilmenee my��s aiemmista tutkimuksista, osassa jopa kyseenalaistetaan koko ilmi��n olemassaolo. Tutkielman tuloksista voidaan p����tell��, ett�� yhden muuttujan Cox-Ingersoll-Ross-malli ei varauksitta sovellu korkok��yr��n empiriseen mallintamiseen. Todenn��k��isi�� syit�� t��h��n ovat mallin tekem��t ep��realistiset taustaoletukset sek�� se, ett�� tarkasteluperiodien aikana Eurooppa k��rsi velkakriisist��, mik�� kevensi Euroopan keskuspankin rahapolitiikkaa ja alensi korkotasoa. T��m�� seikka vaikuttaa eri periodien tulosten vertailukelpoisuuteen. Tutkielman johtop����t��ksen�� on, ett�� yhden muuttujan mallien sijaan korkok��yr��n mallintamisessa tulisi keskitty�� 3 muuttujan malleihin. T��ll��in jokaiselle korkok��yr��n elementille: taso, kulmakerroin ja konveksisuus saataisiin oma muuttujansa. T��m�� helpottaisi my��s korkok��yr��n volatiliteetin mallintamisessa, mik�� osoittautuu ongelmalliseksi vain yht�� muuttujaa k��ytett��ess��.

TAKING ADVANTAGE OF THE LOCAL ADVANTAGE? - Investment value of the analyst local advantage in the Finnish stock market in 2006���2014

An investor can either conduct independent analysis or rely on the analyses of others. Stock analysts provide markets with expectations regarding particular securities. However, analysts have different capabilities and resources, of which investors are seldom cognizant. The local advantage refers to the advantage stemming from cultural or geographical proximity to securities analyzed. The research has confirmed that local agents are generally more accurate or produce excess returns. This thesis tests the investment value of the local advantage regarding Finnish stocks via target price data. The empirical section investigates the local advantage from several aspects. It is discovered that local analysts were more focused on certain sectors generally located close to consumer markets. Market reactions to target price revisions were generally insignificant with the exception to local positive target prices. Both local and foreign target prices were overly optimistic and exhibited signs of herding. Neither group could be identified as a leader or follower of new information. Additionally, foreign price change expectations were more in line with the quantitative models and ideas such as beta or return mean reversion. The locals were more accurate than foreign analysts in 5 out of 9 sectors and vice versa in one. These sectors were somewhat in line with coverage decisions and buttressed the idea of local advantage stemming from proximity to markets, not to headquarters. The accuracy advantage was dependent on sample years and on the measure used. Local analysts ranked magnitudes of price changes more accurately in optimistic and foreign analysts in pessimistic target prices. Directional accuracy of both groups was under 50% and target prices held no linear predictive power. Investment value of target prices were tested by forming mean-variance efficient portfolios. Parallel to differing accuracies in the levels of expectations foreign portfolio performed better when short sales were allowed and local better when disallowed. Both local and non-local portfolios performed worse than a passive index fund, albeit not statistically significantly. This was in line with previously reported low overall accuracy and different accuracy profiles. Refraining from estimating individual stock returns altogether produced statistically significantly higher Sharpe ratios compared to local or foreign portfolios. The proposed method of testing the investment value of target prices of different groups suffered from some inconsistencies. Nevertheless, these results are of interest to investors seeking the advice of security analysts.

TAKING ADVANTAGE OF THE LOCAL ADVANTAGE? - Investment value of the analyst local advantage in the Finnish stock market in 2006���2014

An investor can either conduct independent analysis or rely on the analyses of others. Stock analysts provide markets with expectations regarding particular securities. However, analysts have different capabilities and resources, of which investors are seldom cognizant. The local advantage refers to the advantage stemming from cultural or geographical proximity to securities analyzed. The research has confirmed that local agents are generally more accurate or produce excess returns. This thesis tests the investment value of the local advantage regarding Finnish stocks via target price data. The empirical section investigates the local advantage from several aspects. It is discovered that local analysts were more focused on certain sectors generally located close to consumer markets. Market reactions to target price revisions were generally insignificant with the exception to local positive target prices. Both local and foreign target prices were overly optimistic and exhibited signs of herding. Neither group could be identified as a leader or follower of new information. Additionally, foreign price change expectations were more in line with the quantitative models and ideas such as beta or return mean reversion. The locals were more accurate than foreign analysts in 5 out of 9 sectors and vice versa in one. These sectors were somewhat in line with coverage decisions and buttressed the idea of local advantage stemming from proximity to markets, not to headquarters. The accuracy advantage was dependent on sample years and on the measure used. Local analysts ranked magnitudes of price changes more accurately in optimistic and foreign analysts in pessimistic target prices. Directional accuracy of both groups was under 50% and target prices held no linear predictive power. Investment value of target prices were tested by forming mean-variance efficient portfolios. Parallel to differing accuracies in the levels of expectations foreign portfolio performed better when short sales were allowed and local better when disallowed. Both local and non-local portfolios performed worse than a passive index fund, albeit not statistically significantly. This was in line with previously reported low overall accuracy and different accuracy profiles. Refraining from estimating individual stock returns altogether produced statistically significantly higher Sharpe ratios compared to local or foreign portfolios. The proposed method of testing the investment value of target prices of different groups suffered from some inconsistencies. Nevertheless, these results are of interest to investors seeking the advice of security analysts.

Output convergence in Mercosur: multivariate time series evidence

The aim of this paper is to provide evidence on output convergence among the Mercosur countries and associates, using multivariate time-series tests. The methodology is based on a combination of tests and estimation procedures, both univariate and multivariate, applied to the differences in per capita real income. We use the definitions of time-series convergence proposed by Bernard & Durlauf and apply unit root and tests proposed by Abuaf & Jorion and Taylor & Sarno. In this same multivariate context, the Fl��res, Preumont & Szafarz and Breuer, MbNown & Wallace tests, which allow for the existence of correlations across the series without imposing a common speed of mean reversion, identify the countries that convergence. Concerning the empirical results, there is evidence of long-run convergence or, at least, catching up, for the smaller countries, Bolivia, Paraguay, Peru and Uruguay, towards Brazil and, to some extent, Argentina. In contrast, the evidence on convergence for the larger countries is weaker, as they have followed different (or rather opposing) macroeconomic policy strategies. Thus the future of the whole area will critically depend on the ability of Brazil, Argentina and Chile to find some scope for more cooperative policy actions.

A new perspective on the PPP hypothesis

This paper the stastistical properties of the real exchange rates of G-5 countries for the Bretton-Woods peiod, and draw implications on the purchasing power parity (PPP) hypothesis. In contrast to most previous studies that consider only unit root and stationary process to describe the real exchange tae, this paper also considers two in-between processes, the locally persistent process ans the fractionally integrated process, to complement past studies. Seeking to be consistent with tha ample evidence of near unit in the real exchange rate movements very well. This finding implies that: 1) the real exchange movement is more persistent than the stationary case but less persistent than the unit root case; 2) the real exchange rate is non-stationary but the PPP reversion occurs and the PPP holds in the long run; 3) the real exchange rate does not exhibit the secular dependence of the fractional integration; 4) the real exchange rate evolves over time in a way that there is persistence over a range of time, but the effect of shocks will eventually disappear over time horizon longer than order O (nd), that is, at finite time horizon; 5) shocks dissipation is fasters than predicted by the fractional integracion, and the total sum of the effects of a unit innovation is finite, implying that a full PPP reversion occurs at finite horizons. These results may explain why pasrt empirical estudies could not provide a clear- conclusion on the real exchange rate processes and the PPP hypothesis.

Gest��o estrat��gica de riscos de um ativo de produ����o de petr��leo: uma abordagem quantitativa

O objetivo dessa disserta����o �� estabelecer um modelo quantitativo de gest��o de riscos estrat��gicos de um ativo de produ����o de petr��leo, notadamente o valor em risco do seu fluxo de caixa e de sua rentabilidade. Para tanto, foi utilizado um modelo de fluxo de caixa onde a receita operacional foi definida como vari��vel estoc��stica. A receita operacional foi estimada a partir de uma fun����o de perdas que descreve o volume de produ����o de petr��leo, e de uma trajet��ria de pre��os definida por um modelo geom��trico browniano sem revers��o a m��dia e com volatilidade descrita por um processo GARCH. Os resultados obtidos demonstram que o modelo proposto �� capaz de fornecer informa����es importantes para a gest��o de riscos de ativos de produ����o de petr��leo ao passo que permite a quantifica����o de diferentes fatores de risco que afetam a rentabilidade das opera����es. Por fim, o modelo aqui proposto pode ser estendido para a avalia����o do risco financeiro e operacional de um conjunto de ativos de petr��leo, considerando sua estrutura de depend��ncia e a exist��ncia de restri����es de recursos financeiros, f��sicos e humanos.

On the estimation and comparison of short-rate models using the generalised method of moments

Subsequent to the influential paper of [Chan, K.C., Karolyi, G.A., Longstaff, F.A., Sanders, A.B., 1992. An empirical comparison of alternative models of the short-term interest rate. Journal of Finance 47, 1209-1227], the generalised method of moments (GMM) has been a popular technique for estimation and inference relating to continuous-time models of the short-term interest rate. GMM has been widely employed to estimate model parameters and to assess the goodness-of-fit of competing short-rate specifications. The current paper conducts a series of simulation experiments to document the bias and precision of GMM estimates of short-rate parameters, as well as the size and power of [Hansen, L.P., 1982. Large sample properties of generalised method of moments estimators. Econometrica 50, 1029-1054], J-test of over-identifying restrictions. While the J-test appears to have appropriate size and good power in sample sizes commonly encountered in the short-rate literature, GMM estimates of the speed of mean reversion are shown to be severely biased. Consequently, it is dangerous to draw strong conclusions about the strength of mean reversion using GMM. In contrast, the parameter capturing the levels effect, which is important in differentiating between competing short-rate specifications, is estimated with little bias. (c) 2006 Elsevier B.V. All rights reserved.

Are there non-linearities in short-term interest rates?

The present paper investigates the characteristics of short-term interest rates in several countries. We examine the importance of nonlinearities in the mean reversion and volatility of short-term interest rates. We examine various models that allow the conditional mean (drift) and conditional variance (diffusion) to be functions of the current short rate.We find that different markets require different models. In particular, we find evidence of nonlinear mean reversion in some of the countries that we examine, linear mean reversion in others and no mean reversion in some countries. For all countries we examine, there is strong evidence of the need for the volatility of interest rate changes to be highly sensitive to the level of the short-term interest rate. Out-of-sample forecasting performance of one-factor short rate models is poor, stemming from the inability of the models to accommodate jumps and discontinuities in the time series data.

Analysis of operational risk of banks ��� catastrophe modelling

Nowadays financial institutions due to regulation and internal motivations care more intensively on their risks. Besides previously dominating market and credit risk new trend is to handle operational risk systematically. Operational risk is the risk of loss resulting from inadequate or failed internal processes, people and systems or from external events. First we show the basic features of operational risk and its modelling and regulatory approaches, and after we will analyse operational risk in an own developed simulation model framework. Our approach is based on the analysis of latent risk process instead of manifest risk process, which widely popular in risk literature. In our model the latent risk process is a stochastic risk process, so called Ornstein- Uhlenbeck process, which is a mean reversion process. In the model framework we define catastrophe as breach of a critical barrier by the process. We analyse the distributions of catastrophe frequency, severity and first time to hit, not only for single process, but for dual process as well. Based on our first results we could not falsify the Poisson feature of frequency, and long tail feature of severity. Distribution of ���first time to hit��� requires more sophisticated analysis. At the end of paper we examine advantages of simulation based forecasting, and finally we concluding with the possible, further research directions to be done in the future.

Does Final Energy Demand in Portugal Exhibit Long Memory? A Fractional Integration Analysis

In this paper, we measure the degree of fractional integration in final energy demand in Portugal using an ARFIMA model with and without adjustments for seasonality. We consider aggregate energy demand as well as final demand for petroleum, electricity, coal, and natural gas. Our findings suggest the presence of long memory in all of the components of energy demand. All fractional-difference parameters are positive and lower than 0.5 indicating that the series are stationary, although with mean reversion patterns slower than in the typical short-run processes. These results have important implications for the design of energy policies. As a result of the long-memory in final energy demand, the effects of temporary policy shocks will tend to disappear slowly. This means that even transitory shocks have long lasting effects. Given the temporary nature of these effects, however, permanent effects on final energy demand require permanent policies. This is unlike what would be suggested by the more standard, but much more limited, unit root approach, which would incorrectly indicate that even transitory policies would have permanent effects

Advances in sequential data assimilation and numerical weather forecasting: an Ensemble Transform Kalman-Bucy Filter, a study on clustering in deterministic Ensemble Square Root Filters, and a test of a new time stepping scheme in an atmospheric model

This dissertation deals with aspects of sequential data assimilation (in particular ensemble Kalman filtering) and numerical weather forecasting. In the first part, the recently formulated Ensemble Kalman-Bucy (EnKBF) filter is revisited. It is shown that the previously used numerical integration scheme fails when the magnitude of the background error covariance grows beyond that of the observational error covariance in the forecast window. Therefore, we present a suitable integration scheme that handles the stiffening of the differential equations involved and doesn���t represent further computational expense. Moreover, a transform-based alternative to the EnKBF is developed: under this scheme, the operations are performed in the ensemble space instead of in the state space. Advantages of this formulation are explained. For the first time, the EnKBF is implemented in an atmospheric model. The second part of this work deals with ensemble clustering, a phenomenon that arises when performing data assimilation using of deterministic ensemble square root filters in highly nonlinear forecast models. Namely, an M-member ensemble detaches into an outlier and a cluster of M-1 members. Previous works may suggest that this issue represents a failure of EnSRFs; this work dispels that notion. It is shown that ensemble clustering can be reverted also due to nonlinear processes, in particular the alternation between nonlinear expansion and compression of the ensemble for different regions of the attractor. Some EnSRFs that use random rotations have been developed to overcome this issue; these formulations are analyzed and their advantages and disadvantages with respect to common EnSRFs are discussed. The third and last part contains the implementation of the Robert-Asselin-Williams (RAW) filter in an atmospheric model. The RAW filter is an improvement to the widely popular Robert-Asselin filter that successfully suppresses spurious computational waves while avoiding any distortion in the mean value of the function. Using statistical significance tests both at the local and field level, it is shown that the climatology of the SPEEDY model is not modified by the changed time stepping scheme; hence, no retuning of the parameterizations is required. It is found the accuracy of the medium-term forecasts is increased by using the RAW filter.

Linear minimum mean square filter for discrete-time linear systems with Markov jumps and multiplicative noises

In this paper we obtain the linear minimum mean square estimator (LMMSE) for discrete-time linear systems subject to state and measurement multiplicative noises and Markov jumps on the parameters. It is assumed that the Markov chain is not available. By using geometric arguments we obtain a Kalman type filter conveniently implementable in a recurrence form. The stationary case is also studied and a proof for the convergence of the error covariance matrix of the LMMSE to a stationary value under the assumption of mean square stability of the system and ergodicity of the associated Markov chain is obtained. It is shown that there exists a unique positive semi-definite solution for the stationary Riccati-like filter equation and, moreover, this solution is the limit of the error covariance matrix of the LMMSE. The advantage of this scheme is that it is very easy to implement and all calculations can be performed offline. (c) 2011 Elsevier Ltd. All rights reserved.