Real-time factor model forecasting and the effects of instability

Factor forecasting models are shown to deliver real-time gains over autoregressive models for US real activity variables during the recent period, but are less successful for nominal variables. The gains are largely due to the Financial Crisis period, and are primarily at the shortest (one quarter ahead) horizon. Excluding the pre-Great Moderation years from the factor forecasting model estimation period (but not from the data used to extract factors) results in a marked fillip in factor model forecast accuracy, but does the same for the AR model forecasts. The relative performance of the factor models compared to the AR models is largely unaffected by whether the exercise is in real time or is pseudo out-of-sample.

The financial and environmental performance of firms exposed to the EU Emissions Trading Scheme

This thesis is an empirical-based study of the European Union’s Emissions Trading Scheme (EU ETS) and its implications in terms of corporate environmental and financial performance. The novelty of this study includes the extended scope of the data coverage, as most previous studies have examined only the power sector. The use of verified emissions data of ETS-regulated firms as the environmental compliance measure and as the potential differentiating criteria that concern the valuation of EU ETS-exposed firms in the stock market is also an original aspect of this study. The study begins in Chapter 2 by introducing the background information on the emission trading system (ETS), which focuses on (i) the adoption of ETS as an environmental management instrument and (ii) the adoption of ETS by the European Union as one of its central climate policies. Chapter 3 surveys four databases that provide carbon emissions data in order to determine the most suitable source of the data to be used in the later empirical chapters. The first empirical chapter, which is also Chapter 4 of this thesis, investigates the determinants of the emissions compliance performance of the EU ETS-exposed firms through constructing the best possible performance ratio from verified emissions data and self-configuring models for a panel regression analysis. Chapter 5 examines the impacts on the EU ETS-exposed firms in terms of their equity valuation with customised portfolios and multi-factor market models. The research design takes into account the emissions allowance (EUA) price as an additional factor, as it has the most direct association with the EU ETS to control for the exposure. The final empirical Chapter 6 takes the investigation one step further, by specifically testing the degree of ETS exposure facing different sectors with sector-based portfolios and an extended multi-factor market model. The findings from the emissions performance ratio analysis show that the business model of firms significantly influences emissions compliance, as the capital intensity has a positive association with the increasing emissions-to-emissions cap ratio. Furthermore, different sectors show different degrees of sensitivity towards the determining factors. The production factor influences the performance ratio of the Utilities sector, but not the Energy or Materials sectors. The results show that the capital intensity has a more profound influence on the utilities sector than on the materials sector. With regard to the financial performance impact, ETS-exposed firms as aggregate portfolios experienced a substantial underperformance during the 2001–2004 period, but not in the operating period of 2005–2011. The results of the sector-based portfolios show again the differentiating effect of the EU ETS on sectors, as one sector is priced indifferently against its benchmark, three sectors see a constant underperformance, and three sectors have altered outcomes.

Automating the product derivation process of multi-agent systems product lines

Agent-oriented software engineering and software product lines are two promising software engineering techniques. Recent research work has been exploring their integration, namely multi-agent systems product lines (MAS-PLs), to promote reuse and variability management in the context of complex software systems. However, current product derivation approaches do not provide specific mechanisms to deal with MAS-PLs. This is essential because they typically encompass several concerns (e.g., trust, coordination, transaction, state persistence) that are constructed on the basis of heterogeneous technologies (e.g., object-oriented frameworks and platforms). In this paper, we propose the use of multi-level models to support the configuration knowledge specification and automatic product derivation of MAS-PLs. Our approach provides an agent-specific architecture model that uses abstractions and instantiation rules that are relevant to this application domain. In order to evaluate the feasibility and effectiveness of the proposed approach, we have implemented it as an extension of an existing product derivation tool, called GenArch. The approach has also been evaluated through the automatic instantiation of two MAS-PLs, demonstrating its potential and benefits to product derivation and configuration knowledge specification.

Constructing common-factor portfolios

In this paper we construct common-factor portfolios using a novel linear transformation of standard factor models extracted from large data sets of asset returns. The simple transformation proposed here keeps the basic properties of the usual factor transformations, although some new interesting properties are further attached to them. Some theoretical advantages are shown to be present. Also, their practical importance is confirmed in two applications: the performance of common-factor portfolios are shown to be superior to that of asset returns and factors commonly employed in the finance literature.

Affine processes, arbitrage-Free Term structures of legendre polynomials,and option pricing

Multivariate Affine term structure models have been increasingly used for pricing derivatives in fixed income markets. In these models, uncertainty of the term structure is driven by a state vector, while the short rate is an affine function of this vector. The model is characterized by a specific form for the stochastic differential equation (SDE) for the evolution of the state vector. This SDE presents restrictions on its drift term which rule out arbitrages in the market. In this paper we solve the following inverse problem: Suppose the term structure of interest rates is modeled by a linear combination of Legendre polynomials with random coefficients. Is there any SDE for these coefficients which rules out arbitrages? This problem is of particular empirical interest because the Legendre model is an example of factor model with clear interpretation for each factor, in which regards movements of the term structure. Moreover, the Affine structure of the Legendre model implies knowledge of its conditional characteristic function. From the econometric perspective, we propose arbitrage-free Legendre models to describe the evolution of the term structure. From the pricing perspective, we follow Duffie et al. (2000) in exploring Legendre conditional characteristic functions to obtain a computational tractable method to price fixed income derivatives. Closing the article, the empirical section presents precise evidence on the reward of implementing arbitrage-free parametric term structure models: The ability of obtaining a good approximation for the state vector by simply using cross sectional data.

Sobrevivência e tamanho populacional do Tiê-preto Tachyphonus Rufus (aves: thraupidae) em fragmento de restinga no extremo Norte da Mata Atlântica

For a long time, we believed in the pattern that tropical and south hemisphere species have high survival. Nowadays results began to contradict this pattern, indicating the need for further studies. Despite the advanced state of the study of bird population parameters, little is known about their variation throughout the year and the factors affecting them. Reproduction, for example, is one factor that may alter adult survival rates, because during this process the breeding pair allocates resources to maintain itself to maintain offspring, making itself more susceptible to diseases and predation. The aim of this study was to estimate survival and population size of a Central and South America passerine, Tachyphonus rufus (Boddaert, 1783), testing hypotheses about the factors that define these parameters. We performed data collection between Nov/2010 and ago/2012 in 12 ha plot, in a fragment of Atlantic Forest in northeastern Brazil. We used capture-mark-recapture methods to generate estimates using Closed Design Robust model in the program MARK. We generated Multi-state models to test some assumptions inherent to Closed Robust Design. The influence of co-variables (time, rain and reproductive cycle) and the effect of transient individuals were measured. Capture, recapture and apparent survival parameters were defined by reproductive cycle, while temporary dispersal was influence by rain. The estimates showed a higher apparent survival during the non-breeding period (92% ± 1%) than during breeding (40% ± 9%), revealing a cost of reproduction and suggesting a trade-off between surviving and reproducing. The low annual survival observed (34%) did not corroborate the pattern of high rates expected for a tropical bird. The largest population size was estimated to be 56 individuals in Nov/11, explained by high recruitment of juveniles, while the lowest observed in May/12: 10 individuals, probably as a result of massive influx of competitor species. Results from this study add to the growing literature on life history of Neotropical species. We encourage studies like this especially in Brazil, where there are few information, and suggest that covariates related to habitat quality and environmental changes should be tested, so that we can generate increasingly reliable models

Genetic parameter estimates for live weight and daily live weight gain obtained for Nellore bulls in a test station using different models

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

Neutrinos masses in a multi-higgs model with A 4 symmetry

Presently it is well known that neutrino oscillation data are well described by massive neutrinos and their mixing. This suggests changes in the standard model (SM) and makes the flavor physics even more interesting. Recently, it has been proposed a multi-Higgs extension of the SM with Abelian and non-Abelian discrete symmetries which seeks to explain the origin of the masses and mixing matrices in all charge sectors. © 2012 Elsevier B.V.

Estimativas de parâmetros genéticos para produção de leite em búfalas por modelos de repetibilidade, multi-característica e de regressão aleatória

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Measurement of the elastic electron-proton cross section and separation of the electric and magnetic form factor in the Q 2 range from 0.004 to 1 (GeV/c) 2

The electromagnetic form factors of the proton are fundamental quantities sensitive to the distribution of charge and magnetization inside the proton. Precise knowledge of the form factors, in particular of the charge and magnetization radii provide strong tests for theory in the non-perturbative regime of QCD. However, the existing data at Q^2 below 1 (GeV/c)^2 are not precise enough for a hard test of theoretical predictions.rnrnFor a more precise determination of the form factors, within this work more than 1400 cross sections of the reaction H(e,e′)p were measured at the Mainz Microtron MAMI using the 3-spectrometer-facility of the A1-collaboration. The data were taken in three periods in the years 2006 and 2007 using beam energies of 180, 315, 450, 585, 720 and 855 MeV. They cover the Q^2 region from 0.004 to 1 (GeV/c)^2 with counting rate uncertainties below 0.2% for most of the data points. The relative luminosity of the measurements was determined using one of the spectrometers as a luminosity monitor. The overlapping acceptances of the measurements maximize the internal redundancy of the data and allow, together with several additions to the standard experimental setup, for tight control of systematic uncertainties.rnTo account for the radiative processes, an event generator was developed and implemented in the simulation package of the analysis software which works without peaking approximation by explicitly calculating the Bethe-Heitler and Born Feynman diagrams for each event.rnTo separate the form factors and to determine the radii, the data were analyzed by fitting a wide selection of form factor models directly to the measured cross sections. These fits also determined the absolute normalization of the different data subsets. The validity of this method was tested with extensive simulations. The results were compared to an extraction via the standard Rosenbluth technique.rnrnThe dip structure in G_E that was seen in the analysis of the previous world data shows up in a modified form. When compared to the standard-dipole form factor as a smooth curve, the extracted G_E exhibits a strong change of the slope around 0.1 (GeV/c)^2, and in the magnetic form factor a dip around 0.2 (GeV/c)^2 is found. This may be taken as indications for a pion cloud. For higher Q^2, the fits yield larger values for G_M than previous measurements, in agreement with form factor ratios from recent precise polarized measurements in the Q2 region up to 0.6 (GeV/c)^2.rnrnThe charge and magnetic rms radii are determined as rn⟨r_e⟩=0.879 ± 0.005(stat.) ± 0.004(syst.) ± 0.002(model) ± 0.004(group) fm,rn⟨r_m⟩=0.777 ± 0.013(stat.) ± 0.009(syst.) ± 0.005(model) ± 0.002(group) fm.rnThis charge radius is significantly larger than theoretical predictions and than the radius of the standard dipole. However, it is in agreement with earlier results measured at the Mainz linear accelerator and with determinations from Hydrogen Lamb shift measurements. The extracted magnetic radius is smaller than previous determinations and than the standard-dipole value.

Factor Structure of the Neck Disability Index

BACKGROUND CONTEXT: The Neck Disability Index frequently is used to measure outcomes of the neck. The statistical rigor of the Neck Disability Index has been assessed with conflicting outcomes. To date, Confirmatory Factor Analysis of the Neck Disability Index has not been reported for a suitably large population study. Because the Neck Disability Index is not a condition-specific measure of neck function, initial Confirmatory Factor Analysis should consider problematic neck patients as a homogenous group. PURPOSE: We sought to analyze the factor structure of the Neck Disability Index through Confirmatory Factor Analysis in a symptomatic, homogeneous, neck population, with respect to pooled populations and gender subgroups. STUDY DESIGN: This was a secondary analysis of pooled data. PATIENT SAMPLE: A total of 1,278 symptomatic neck patients (67.5% female, median age 41 years), 803 nonspecific and 475 with whiplash-associated disorder. OUTCOME MEASURES: The Neck Disability Index was used to measure outcomes. METHODS: We analyzed pooled baseline data from six independent studies of patients with neck problems who completed Neck Disability Index questionnaires at baseline. The Confirmatory Factor Analysis was considered in three scenarios: the full sample and separate sexes. Models were compared empirically for best fit. RESULTS: Two-factor models have good psychometric properties across both the pooled and sex subgroups. However, according to these analyses, the one-factor solution is preferable from both a statistical perspective and parsimony. The two-factor model was close to significant for the male subgroup (p<.07) where questions separated into constructs of mental function (pain, reading headaches and concentration) and physical function (personal care, lifting, work, driving, sleep, and recreation). CONCLUSIONS: The Neck Disability Index demonstrated a one-factor structure when analyzed by Confirmatory Factor Analysis in a pooled, homogenous sample of neck problem patients. However, a two-factor model did approach significance for male subjects where questions separated into constructs of mental and physical function. Further investigations in different conditions, subgroup and sex-specific populations are warranted.

Formation of Exchange Rates on the Russian Market: Dynamics and Modelling

Galina Kovaleva. The Formation of the Exchange Rate on the Russian Market: Dynamics and Modelling. The Russian financial market is fast becoming one of the major sectors of the Russian economy. Assets have been increasing steadily, while new market segments and new financial market instruments have emerged. Kovaleva attempted to isolate the factors influencing exchange rates, determine patterns in the dynamic changes to the rouble/dollar exchange rate, construct models of the processes, and on the basis of these activities make forecasts. She studied the significance of economic indicators influencing the rouble/dollar exchange rate at different times, and developed multi-factor econometric models. In order to reveal the inner structure of the financial indicators and to work out ex-post forecasts for different time intervals, she carried out a series of calculations with the aim of constructing trend-cyclical (TC) and harmonic models, and Box and Jenkins models. She found that: 1. The Russian financial market is dependant on the rouble/dollar exchange rate. Its dynamics are formed under the influence of the short-term state treasury notes and government bonds markets, interbank loans, the rouble/DM exchange rate, the inflation rate, and the DM/dollar exchange rate. The exchange rate is influenced by sales on the Moscow Interbank Currency Exchange and the mechanism of those sales. 2. The TC model makes it possible to conduct an in-depth study of the structure of the processes and to make forecasts of the dynamic changes to currency indicators. 3. The Russian market is increasingly influenced by the world currency market and its prospects are of crucial interest for the world financial community.

The performance of single- and multi-proxy transfer functions (testate amoebae, bryophytes, vascular plants) for reconstructing mire surface wetness and pH

Peatlands are widely exploited archives of paleoenvironmental change. We developed and compared multiple transfer functions to infer peatland depth to the water table (DWT) and pH based on testate amoeba (percentages, or presence/absence), bryophyte presence/absence, and vascular plant presence/absence data from sub-alpine peatlands in the SE Swiss Alps in order to 1) compare the performance of single-proxy vs. multi-proxy models and 2) assess the performance of presence/absence models. Bootstrapping cross-validation showing the best performing single-proxy transfer functions for both DWT and pH were those based on bryophytes. The best performing transfer functions overall for DWT were those based on combined testate amoebae percentages, bryophytes and vascular plants; and, for pH, those based on testate amoebae and bryophytes. The comparison of DWT and pH inferred from testate amoeba percentages and presence/absence data showed similar general patterns but differences in the magnitude and timing of some shifts. These results show new directions for paleoenvironmental research, 1) suggesting that it is possible to build good-performing transfer functions using presence/absence data, although with some loss of accuracy, and 2) supporting the idea that multi-proxy inference models may improve paleoecological reconstruction. The performance of multi-proxy and single-proxy transfer functions should be further compared in paleoecological data.

An Economic Derivation on Trade Coefficients under the Framework of Multi-regional I-O Analysis

The gravity model, entropy model, potential type model and others like these have been adopted to formulate interregional trade coefficients under the framework of Multi-Regional I-O (MRIO) analysis. Since most of these models are based upon analogies in physics or on statistical principles, they do not provide a theoretical explanation from the view of a firm's or individual's rational and deterministic decision making. In this paper, according to the deterministic choice theory, not only is an alternative formulation of the trade coefficients presented, but also a discussion of an appropriate definition for purchasing prices indices. Since this formulation is consistent with the MRIO system, it can be employed as a useful model-building tool in multi-regional models such as the spatial CGE model.

Continuous multi-criteria methods for crop and soil conservation planning on La Colacha (Río Cuarto, Province of Cordoba, Argentina)

Agro-areas of Arroyos Menores (La Colacha) west and south of Rand south of R?o Cuarto (Prov. of Cordoba, Argentina) basins are very fertile but have high soil loses. Extreme rain events, inundations and other severe erosions forming gullies demand urgently actions in this area to avoid soil degradation and erosion supporting good levels of agro production. The authors first improved hydrologic data on La Colacha, evaluated the systems of soil uses and actions that could be recommended considering the relevant aspects of the study area and applied decision support systems (DSS) with mathematic tools for planning of defences and uses of soils in these areas. These were conducted here using multi-criteria models, in multi-criteria decision making (MCDM); first of discrete MCDM to chose among global types of use of soils, and then of continuous MCDM to evaluate and optimize combined actions, including repartition of soil use and the necessary levels of works for soil conservation and for hydraulic management to conserve against erosion these basins. Relatively global solutions for La Colacha area have been defined and were optimised by Linear Programming in Goal Programming forms that are presented as Weighted or Lexicographic Goal Programming and as Compromise Programming. The decision methods used are described, indicating algorithms used, and examples for some representative scenarios on La Colacha area are given.