Analysis of contagion from the constant conditional correlation model with Markov regime switching

Over the last decades, the analysis of the transmissions of international nancial events has become the subject of many academic studies focused on multivariate volatility models volatility. The goal of this study is to evaluate the nancial contagion between stock market returns. The econometric approach employed was originally presented by Pelletier (2006), named Regime Switching Dynamic Correlation (RSDC). This methodology involves the combination of Constant Conditional Correlation Model (CCC) proposed by Bollerslev (1990) with Markov Regime Switching Model suggested by Hamilton and Susmel (1994). A modi cation was made in the original RSDC model, the introduction of the GJR-GARCH model formulated in Glosten, Jagannathan e Runkle (1993), on the equation of the conditional univariate variances to allow asymmetric e ects in volatility be captured. The database was built with the series of daily closing stock market indices in the United States (SP500), United Kingdom (FTSE100), Brazil (IBOVESPA) and South Korea (KOSPI) for the period from 02/01/2003 to 09/20/2012. Throughout the work the methodology was compared with others most widespread in the literature, and the model RSDC with two regimes was de ned as the most appropriate for the selected sample. The set of results provide evidence for the existence of nancial contagion between markets of the four countries considering the de nition of nancial contagion from the World Bank called very restrictive. Such a conclusion should be evaluated carefully considering the wide diversity of de nitions of contagion in the literature.

Is there a general criterion for dynamic efficiency?

This paper analyses an overlapping generations model with absolute bequest motive. It is shown that the widely accepted criterion to verify dynamic efficiency does not apply to this case. In our model the social planner maximizes welfare by choosing a capital stock larger than the golden role and a real rate of interest smaller than the rate of growth of the economy.

Toward a venture capital-backed entrepreneurship model in Brazil

It is well documented venture capital‟s positive impact on creation and development of highly successful innovative companies worldwide. Venture capital not only provides funding to startups and SMEs (small and medium enterprises) that usually have financing gap, especially in emerging markets, but also brings a whole package of valuable resources that reduces companies‟ mortality rates. Using quantitative data obtained from an empirical survey as background, this paper discusses the role of venture capital in the success of innovative startups and SMEs, and it examines if, and to what extent, venture capitalists are supporting the entrepreneurial activity in Brazil. I focused on the portfolio companies analyzes and confirmed the hypothesis that the venture capital industry has been supporting entrepreneurship in Brazil. Second, I identified an important evidence of a venture capital‟s positive impact on economic activity, especially the capital market. Third, it became clear that venture capital-back entrepreneurship is highly concentrated in the Southeast region. And fourth, I identified that private equity expansion is also playing a key role on that dynamics. As consequence, I conclude that the venture capital (and private equity) industry has been very important to build an enormously dynamic and strong local entrepreneurial economy. Its committed capital grew 50% per year between 2005 and 2008 to achieve US$27 billion, which invested US$ 11 billion, which employs 1,400 professionals (75% with post-graduate degrees) and maintains 482 portfolio companies, mostly SMEs. In addition, venture capital-backed companies represented one third of the IPOs that occurred in Brazil between 2004 and 2008 (approximately US$15 billion).

Dynamic coordination among heterogeneous agents

We study a dynamic model of coordination with timing frictions and payoff heterogeneity. There is a unique equilibrium, characterized by thresholds that determine the choices of each type of agent. We characterize equilibrium for the limiting cases of vanishing timing frictions and vanishing shocks to fundamentals. A lot of conformity emerges: despite payoff heterogeneity, agents’ equilibrium thresholds partially coincide as long as there exists a set of beliefs that would make this coincidence possible – though they never fully coincide. In case of vanishing frictions, the economy behaves almost as if all agents were equal to an average type. Conformity is not inefficient. The efficient solution would have agents following others even more often and giving less importance to the fundamental

Joint dynamic probabilistic constraints with projected linear decision rules

We consider multistage stochastic linear optimization problems combining joint dynamic probabilistic constraints with hard constraints. We develop a method for projecting decision rules onto hard constraints of wait-and-see type. We establish the relation between the original (in nite dimensional) problem and approximating problems working with projections from di erent subclasses of decision policies. Considering the subclass of linear decision rules and a generalized linear model for the underlying stochastic process with noises that are Gaussian or truncated Gaussian, we show that the value and gradient of the objective and constraint functions of the approximating problems can be computed analytically.

Flexible information acquisition and optimal Tobin tax in tractable dynamic global games

My dissertation focuses on dynamic aspects of coordination processes such as reversibility of early actions, option to delay decisions, and learning of the environment from the observation of other people’s actions. This study proposes the use of tractable dynamic global games where players privately and passively learn about their actions’ true payoffs and are able to adjust early investment decisions to the arrival of new information to investigate the consequences of the presence of liquidity shocks to the performance of a Tobin tax as a policy intended to foster coordination success (chapter 1), and the adequacy of the use of a Tobin tax in order to reduce an economy’s vulnerability to sudden stops (chapter 2). Then, it analyzes players’ incentive to acquire costly information in a sequential decision setting (chapter 3). In chapter 1, a continuum of foreign agents decide whether to enter or not in an investment project. A fraction λ of them are hit by liquidity restrictions in a second period and are forced to withdraw early investment or precluded from investing in the interim period, depending on the actions they chose in the first period. Players not affected by the liquidity shock are able to revise early decisions. Coordination success is increasing in the aggregate investment and decreasing in the aggregate volume of capital exit. Without liquidity shocks, aggregate investment is (in a pivotal contingency) invariant to frictions like a tax on short term capitals. In this case, a Tobin tax always increases success incidence. In the presence of liquidity shocks, this invariance result no longer holds in equilibrium. A Tobin tax becomes harmful to aggregate investment, which may reduces success incidence if the economy does not benefit enough from avoiding capital reversals. It is shown that the Tobin tax that maximizes the ex-ante probability of successfully coordinated investment is decreasing in the liquidity shock. Chapter 2 studies the effects of a Tobin tax in the same setting of the global game model proposed in chapter 1, with the exception that the liquidity shock is considered stochastic, i.e, there is also aggregate uncertainty about the extension of the liquidity restrictions. It identifies conditions under which, in the unique equilibrium of the model with low probability of liquidity shocks but large dry-ups, a Tobin tax is welfare improving, helping agents to coordinate on the good outcome. The model provides a rationale for a Tobin tax on economies that are prone to sudden stops. The optimal Tobin tax tends to be larger when capital reversals are more harmful and when the fraction of agents hit by liquidity shocks is smaller. Chapter 3 focuses on information acquisition in a sequential decision game with payoff complementar- ity and information externality. When information is cheap relatively to players’ incentive to coordinate actions, only the first player chooses to process information; the second player learns about the true payoff distribution from the observation of the first player’s decision and follows her action. Miscoordination requires that both players privately precess information, which tends to happen when it is expensive and the prior knowledge about the distribution of the payoffs has a large variance.

WOW: wiki aided organization draWing

As the world evolves, organizations are becoming more and more complex, and the need to understand that complexity is increasing as well. With this demand, arises organizational engineering, which is a subject that emerged with the purpose to make organizations easier to understand, by putting in practice the concept of organizational self-awareness, which means that that the collaborators who are part of an organization, need to understand it and know what their role in it is. The DEMO methodology (Design Engineering Methodology for Organizations), came up with the purpose of representing these organizations’ self-awareness, through the definition and creation of consistent and coherent diagrams. Semantic wikis have features that can help in enterprise modelling. UEAOM (Universal Enterprise Adaptive Organization Model) is a model that allows the specification and dynamic evolution of languages, meta-models, models, and their representations as diagrams and tables. In this project, it was implemented a system based on UEAOM, and Semantic Media Wiki which allows a graphical creation and edition of diagrams. UEAOM can be divided into the meta-modeling level where a language is defined, and the modelling level where instances of classes of that language are created. The system we developed focuses on the modeling level, but will takes as a basis the project that focuses on meta-modeling. The DEMO language was used as an example for the implementation and tests of a graphical editor, based in web technologies and SVG, integrated with SemanticMediaWiki to allow an intuitive, coherent and consistent navigation and editing of organization diagrams.

Three-Dimensional Semiautomatic Road Extraction From a High-Resolution Aerial Image by Dynamic-Programming Optimization in the Object Space

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

Evaluation of the Cartographic Communication Performance of a Route Guidance and Navigation System

This study evaluates the influence of different cartographic representations of in-car navigation systems on visual demand, subjective preference, and navigational error. It takes into account the type and complexity of the representation, maneuvering complexity, road layout, and driver gender. A group of 28 drivers (14 male and 14 female) participated in this experiment which was performed in a low-cost driving simulator. The tests were performed on a limited number of instances for each type of representation, and their purpose was to carry out a preliminary assessment and provide future avenues for further studies. Data collected for the visual demand study were analyzed using non-parametric statistical analyses. Results confirmed previous research that showed that different levels of design complexity significantly influence visual demand. Non-grid-like road networks, for example, influence significantly visual demand and navigational error. An analysis of simple maneuvers on a grid-like road network showed that static and blinking arrows did not present significant differences. From the set of representations analyzed to assess visual demand, both arrows were equally efficient. From a gender perspective, women seem to took at the display more than men, but this factor was not significant. With respect to subjective preferences, drivers prefer representations with mimetic landmarks when they perform straight-ahead tasks. For maneuvering tasks, landmarks in a perspective model created higher visual demands.

Improving the GNSS positioning stochastic model in the presence of ionospheric scintillation

Ionospheric scintillations are caused by time-varying electron density irregularities in the ionosphere, occurring more often at equatorial and high latitudes. This paper focuses exclusively on experiments undertaken in Europe, at geographic latitudes between similar to 50 degrees N and similar to 80 degrees N, where a network of GPS receivers capable of monitoring Total Electron Content and ionospheric scintillation parameters was deployed. The widely used ionospheric scintillation indices S4 and sigma(phi) represent a practical measure of the intensity of amplitude and phase scintillation affecting GNSS receivers. However, they do not provide sufficient information regarding the actual tracking errors that degrade GNSS receiver performance. Suitable receiver tracking models, sensitive to ionospheric scintillation, allow the computation of the variance of the output error of the receiver PLL (Phase Locked Loop) and DLL (Delay Locked Loop), which expresses the quality of the range measurements used by the receiver to calculate user position. The ability of such models of incorporating phase and amplitude scintillation effects into the variance of these tracking errors underpins our proposed method of applying relative weights to measurements from different satellites. That gives the least squares stochastic model used for position computation a more realistic representation, vis-a-vis the otherwise 'equal weights' model. For pseudorange processing, relative weights were computed, so that a 'scintillation-mitigated' solution could be performed and compared to the (non-mitigated) 'equal weights' solution. An improvement between 17 and 38% in height accuracy was achieved when an epoch by epoch differential solution was computed over baselines ranging from 1 to 750 km. The method was then compared with alternative approaches that can be used to improve the least squares stochastic model such as weighting according to satellite elevation angle and by the inverse of the square of the standard deviation of the code/carrier divergence (sigma CCDiv). The influence of multipath effects on the proposed mitigation approach is also discussed. With the use of high rate scintillation data in addition to the scintillation indices a carrier phase based mitigated solution was also implemented and compared with the conventional solution. During a period of occurrence of high phase scintillation it was observed that problems related to ambiguity resolution can be reduced by the use of the proposed mitigated solution.

Radial Plasma Dynamic in Sequential Pinches

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

A new spin-2 self-dual model in D=2+1

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

On the dynamic behaviour of a mass supported by a parallel combination of a spring and an elastically connected damper

This paper presents a consistent and concise analysis of the free and forced vibration of a mass supported by a parallel combination of a spring and an elastically supported damper (a Zener model). The results are presented in a compact form and the physical behaviour of the system is emphasised. This system is very similar to the conventional single-degree-of freedom system (sdof)-(Voigt model), but the dynamics can be quite different depending on the system parameters. The usefulness of the additional spring in series with the damper is investigated, and optimum damping values for the system subject to different types of excitation are determined and compared.There are three roots to the characteristic equation for the Zener model; two are complex conjugates and the third is purely real. It is shown that it is not possible to achieve critical damping of the complex roots unless the additional stiffness is at least eight times that of the main spring. For a harmonically excited system, there are some possible advantages in using the additional spring when the transmitted force to the base is of interest, but when the displacement response of the system is of interest then the benefits are marginal. It is shown that the additional spring affords no advantages when the system is excited by white noise. (c) 2007 Elsevier Ltd. All rights reserved.

On the dynamic behaviour of the "click" mechanism in dipteran flight

In this paper, the dynamic behaviour of the "click" mechanism is analysed. A more accurate model is used than in the past, in which the limits of movement due to the geometry of the flight mechanism are imposed. Moreover, the effects of different damping models are investigated. In previous work, the damping model was assumed to be of the linear viscous type for simplicity, but it is likely that the damping due to drag forces is nonlinear. Accordingly, a model of damping in which the damping force is proportional to the square of the velocity is used, and the results are compared with the simpler model of linear viscous damping. Because of the complexity of the model an analytical approach is not possible so the problem has been cast in terms of non-dimensional variables and solved numerically. The peak kinetic energy of the wing root per energy input in one cycle is chosen to study the effectiveness of the "click" mechanism compared with a linear resonant mechanism. It is shown that, the "click" mechanism has distinct advantages when it is driven below its resonant frequency. When the damping is quadratic, there are some further advantages compared to when the damping is linear and viscous, provided that the amplitude of the excitation force is large enough to avoid the erratic behaviour of the mechanism that occurs for small forces. (C) 2011 Elsevier Ltd. All rights reserved.

Dynamic stationary response of reinforced plates by the boundary element method

A direct version of the boundary element method (BEM) is developed to model the stationary dynamic response of reinforced plate structures, such as reinforced panels in buildings, automobiles, and airplanes. The dynamic stationary fundamental solutions of thin plates and plane stress state are used to transform the governing partial differential equations into boundary integral equations (BIEs). Two sets of uncoupled BIEs are formulated, respectively, for the in-plane state ( membrane) and for the out-of-plane state ( bending). These uncoupled systems are joined to formamacro-element, in which membrane and bending effects are present. The association of these macro-elements is able to simulate thin-walled structures, including reinforced plate structures. In the present formulation, the BIE is discretized by continuous and/or discontinuous linear elements. Four displacement integral equations are written for every boundary node. Modal data, that is, natural frequencies and the corresponding mode shapes of reinforced plates, are obtained from information contained in the frequency response functions (FRFs). A specific example is presented to illustrate the versatility of the proposed methodology. Different configurations of the reinforcements are used to simulate simply supported and clamped boundary conditions for the plate structures. The procedure is validated by comparison with results determined by the finite element method (FEM).