Evaluating Value-at-Risk models via Quantile regressions

This paper is concerned with evaluating value at risk estimates. It is well known that using only binary variables to do this sacrifices too much information. However, most of the specification tests (also called backtests) avaliable in the literature, such as Christoffersen (1998) and Engle and Maganelli (2004) are based on such variables. In this paper we propose a new backtest that does not realy solely on binary variable. It is show that the new backtest provides a sufficiant condition to assess the performance of a quantile model whereas the existing ones do not. The proposed methodology allows us to identify periods of an increased risk exposure based on a quantile regression model (Koenker & Xiao, 2002). Our theorical findings are corroborated through a monte Carlo simulation and an empirical exercise with daily S&P500 time series.

Essays on regulatory risk issues

Most studies around that try to verify the existence of regulatory risk look mainly at developed countries. Looking at regulatory risk in emerging market regulated sectors is no less important to improving and increasing investment in those markets. This thesis comprises three papers comprising regulatory risk issues. In the first Paper I check whether CAPM betas capture information on regulatory risk by using a two-step procedure. In the first step I run Kalman Filter estimates and then use these estimated betas as inputs in a Random-Effect panel data model. I find evidence of regulatory risk in electricity, telecommunications and all regulated sectors in Brazil. I find further evidence that regulatory changes in the country either do not reduce or even increase the betas of the regulated sectors, going in the opposite direction to the buffering hypothesis as proposed by Peltzman (1976). In the second Paper I check whether CAPM alphas say something about regulatory risk. I investigate a methodology similar to those used by some regulatory agencies around the world like the Brazilian Electricity Regulatory Agency (ANEEL) that incorporates a specific component of regulatory risk in setting tariffs for regulated sectors. I find using SUR estimates negative and significant alphas for all regulated sectors especially the electricity and telecommunications sectors. This runs in the face of theory that predicts alphas that are not statistically different from zero. I suspect that the significant alphas are related to misspecifications in the traditional CAPM that fail to capture true regulatory risk factors. On of the reasons is that CAPM does not consider factors that are proven to have significant effects on asset pricing, such as Fama and French size (ME) and price-to-book value (ME/BE). In the third Paper, I use two additional factors as controls in the estimation of alphas, and the results are similar. Nevertheless, I find evidence that the negative alphas may be the result of the regulated sectors premiums associated with the three Fama and French factors, particularly the market risk premium. When taken together, ME and ME/BE regulated sectors diminish the statistical significance of market factors premiums, especially for the electricity sector. This show how important is the inclusion of these factors, which unfortunately is scarce in emerging markets like Brazil.

Anonimato e fama no reality show BBB 3

In the present work we make an incursion about the Reality Show, in a specific study of the program Big Brother 3 (BBB 3) approaching the question of Anonymity and Fame, though of its Narratives Strategic. We search to explain phenomenon of transformations of anonymous people in celebrities, showing all net of relationships established by the participants of BBB 3, during the together in the setting house, stage of the tram that tells the daily one of a group of youngs. Supported in concepts of it and Reality Show, the work is link the theories semiotic of means, proposal for Algirda Julien Greimas. We stand out strategies of the program, showing that they on the basis of structuralize elements fiction that stimulate and seduce the receiving public. How empirical reference, the work bases on the program Big Brother Brazil, shown for the Rede Globo de Televisão opened canal, in period of January 14 to April 01 of 2003. Ahead of the results gotten in analysis, we verify that BBB 3 is a format of reality and fiction. What although to create the effect of a hurt of real everything to show, its reality artificial, built principally for edition of the images

Random regressions models to describe the genetic variation of milk yield over multiple parities in Buffaloes

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

Earning inequalities in Brazil: quantile regressions and the decomposition approach

Includes bibliography

O riso pela fama: análise dos filmes publicitários da topper e Confederação Brasileira de Rugby

Pós-graduação em Comunicação - FAAC

Tradução, reescrita e manipulação da fama literária de André Lefevere

Lefevere, A. Tradução, reescrita e manipulação da fama literária

Charlotte Wolter als Lady Macbeth, Rollenbild, in: William Shakespeare: Macbeth, Wien: Burgtheater

Signatur des Originals: S 36/F02195

Charlotte Wolter als Lady Macbeth, Rollenbild, in: William Shakespeare: Macbeth, Wien: Burgtheater

Signatur des Originals: S 36/F02221

Rosa Poppe als Lady Macbeth, Rollenbild, Kniestück, in: William Shakespeare: Macbeth

Signatur des Originals: S 36/F05818