Dynamic conditional correlation in Latin-American asset markets

In this paper we reviewed the models of volatility for a group of five Latin American countries, mainly motivated by the recent periods of financial turbulence. Our results based on high frequency data suggest that Dynamic multivariate models are more powerful to study the volatilities of asset returns than Constant Conditional Correlation models. For the group of countries included, we identified that domestic volatilities of asset markets have been increasing; but the co-volatility of the region is still moderate.

Stock return comovements and integration within the Latin American integrated market

Financial integration has been pursued aggressively across the globe in the last fifty years; however, there is no conclusive evidence on the diversification gains (or losses) of such efforts. These gains (or losses) are related to the degree of comovements and synchronization among increasingly integrated global markets. We quantify the degree of comovements within the integrated Latin American market (MILA). We use dynamic correlation models to quantify comovements across securities as well as a direct integration measure. Our results show an increase in comovements when we look at the country indexes, however, the increase in the trend of correlation is previous to the institutional efforts to establish an integrated market in the region. On the other hand, when we look at sector indexes and an integration measure, we find a decreased in comovements among a representative sample of securities form the integrated market.

Inverse problems in dynamic cognitive modeling

Inverse problems for dynamical system models of cognitive processes comprise the determination of synaptic weight matrices or kernel functions for neural networks or neural/dynamic field models, respectively. We introduce dynamic cognitive modeling as a three tier top-down approach where cognitive processes are first described as algorithms that operate on complex symbolic data structures. Second, symbolic expressions and operations are represented by states and transformations in abstract vector spaces. Third, prescribed trajectories through representation space are implemented in neurodynamical systems. We discuss the Amari equation for a neural/dynamic field theory as a special case and show that the kernel construction problem is particularly ill-posed. We suggest a Tikhonov-Hebbian learning method as regularization technique and demonstrate its validity and robustness for basic examples of cognitive computations.

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.

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.

O fator comum associado à dinâmica de preços das commodities : a relação de cointegração e o fator dinâmico

Este trabalho analisa a importância dos fatores comuns na evolução recente dos preços dos metais no período entre 1995 e 2013. Para isso, estimam-se modelos cointegrados de VAR e também um modelo de fator dinâmico bayesiano. Dado o efeito da financeirização das commodities, DFM pode capturar efeitos dinâmicos comuns a todas as commodities. Além disso, os dados em painel são aplicados para usar toda a heterogeneidade entre as commodities durante o período de análise. Nossos resultados mostram que a taxa de juros, taxa efetiva do dólar americano e também os dados de consumo têm efeito permanente nos preços das commodities. Observa-se ainda a existência de um fator dinâmico comum significativo para a maioria dos preços das commodities metálicas, que tornou-se recentemente mais importante na evolução dos preços das commodities.

Common factors in Latin America's business cycles

This paper constructs new business cycle indices for Argentina, Brazil, Chile, and Mexico based on common dynamic factors extracted from a comprehensive set of sectoral output, external trade, fiscal and financial variables. The analysis spans the 135 years since the insertion of these economies into the global economy in the 1870s. The constructed indices are used to derive a business cyc1e chronology for these countries and characterize a set of new stylized facts. In particular, we show that ali four countries have historically displayed a striking combination of high business cyc1e volatility and persistence relative to advanced country benchmarks. Volatility changed considerably over time, however, being very high during early formative decades through the Great Depression, and again during the 1970s and ear1y 1980s, before declining sharply in three of the four countries. We also identify a sizeable common factor across the four economies which variance decompositions ascribe mostly to foreign interest rates and shocks to commodity terms of trade.

A estrutura hierárquica das variações de preços e o núcleo da inflação

The approach proposed here explores the hierarchical nature of item-level data on price changes. On one hand, price data is naturally organized around a regional strucuture, with variations being observed on separate cities. Moreover, the itens that comprise the natural structure of CPIs are also normally interpreted in terms of groups that have economic interpretations, such as tradables and non-tradables, energyrelated, raw foodstuff, monitored prices, etc. The hierarchical dynamic factor model allow the estimation of multiple factors that are naturally interpreted as relating to each of these regional and economic levels.

Análise bayesiana do modelo fatorial dinâmico para um vetor de séries temporais utilizando a distribuição t multivariada

The multivariate t models are symmetric and with heavier tail than the normal distribution, important feature in financial data. In this theses is presented the Bayesian estimation of a dynamic factor model, where the factors follow a multivariate autoregressive model, using multivariate t distribution. Since the multivariate t distribution is complex, it was represented in this work as a mix between a multivariate normal distribution and a square root of a chi-square distribution. This method allowed to define the posteriors. The inference on the parameters was made taking a sample of the posterior distribution, through the Gibbs Sampler. The convergence was verified through graphical analysis and the convergence tests Geweke (1992) and Raftery & Lewis (1992a). The method was applied in simulated data and in the indexes of the major stock exchanges in the world.

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.

Advantages and Applications of Transforming Empirical Model Input Space with Dimensional Models

Model-based calibration of steady-state engine operation is commonly performed with highly parameterized empirical models that are accurate but not very robust, particularly when predicting highly nonlinear responses such as diesel smoke emissions. To address this problem, and to boost the accuracy of more robust non-parametric methods to the same level, GT-Power was used to transform the empirical model input space into multiple input spaces that simplified the input-output relationship and improved the accuracy and robustness of smoke predictions made by three commonly used empirical modeling methods: Multivariate Regression, Neural Networks and the k-Nearest Neighbor method. The availability of multiple input spaces allowed the development of two committee techniques: a 'Simple Committee' technique that used averaged predictions from a set of 10 pre-selected input spaces chosen by the training data and the "Minimum Variance Committee" technique where the input spaces for each prediction were chosen on the basis of disagreement between the three modeling methods. This latter technique equalized the performance of the three modeling methods. The successively increasing improvements resulting from the use of a single best transformed input space (Best Combination Technique), Simple Committee Technique and Minimum Variance Committee Technique were verified with hypothesis testing. The transformed input spaces were also shown to improve outlier detection and to improve k-Nearest Neighbor performance when predicting dynamic emissions with steady-state training data. An unexpected finding was that the benefits of input space transformation were unaffected by changes in the hardware or the calibration of the underlying GT-Power model.

Modelling and forecasting fossil fuels, CO2 and electricity prices and their volatilities

In the current uncertain context that affects both the world economy and the energy sector, with the rapid increase in the prices of oil and gas and the very unstable political situation that affects some of the largest raw materials’ producers, there is a need for developing efficient and powerful quantitative tools that allow to model and forecast fossil fuel prices, CO2 emission allowances prices as well as electricity prices. This will improve decision making for all the agents involved in energy issues. Although there are papers focused on modelling fossil fuel prices, CO2 prices and electricity prices, the literature is scarce on attempts to consider all of them together. This paper focuses on both building a multivariate model for the aforementioned prices and comparing its results with those of univariate ones, in terms of prediction accuracy (univariate and multivariate models are compared for a large span of days, all in the first 4 months in 2011) as well as extracting common features in the volatilities of the prices of all these relevant magnitudes. The common features in volatility are extracted by means of a conditionally heteroskedastic dynamic factor model which allows to solve the curse of dimensionality problem that commonly arises when estimating multivariate GARCH models. Additionally, the common volatility factors obtained are useful for improving the forecasting intervals and have a nice economical interpretation. Besides, the results obtained and methodology proposed can be useful as a starting point for risk management or portfolio optimization under uncertainty in the current context of energy markets.

Modelos para el análisis dinámico y la predicción a corto plazo de los precios de la electricidad en mercados liberalizados

En esta tesis se va a describir y aplicar de forma novedosa la técnica del alisado exponencial multivariante a la predicción a corto plazo, a un día vista, de los precios horarios de la electricidad, un problema que se está estudiando intensivamente en la literatura estadística y económica reciente. Se van a demostrar ciertas propiedades interesantes del alisado exponencial multivariante que permiten reducir el número de parámetros para caracterizar la serie temporal y que al mismo tiempo permiten realizar un análisis dinámico factorial de la serie de precios horarios de la electricidad. En particular, este proceso multivariante de elevada dimensión se estimará descomponiéndolo en un número reducido de procesos univariantes independientes de alisado exponencial caracterizado cada uno por un solo parámetro de suavizado que variará entre cero (proceso de ruido blanco) y uno (paseo aleatorio). Para ello, se utilizará la formulación en el espacio de los estados para la estimación del modelo, ya que ello permite conectar esa secuencia de modelos univariantes más eficientes con el modelo multivariante. De manera novedosa, las relaciones entre los dos modelos se obtienen a partir de un simple tratamiento algebraico sin requerir la aplicación del filtro de Kalman. De este modo, se podrán analizar y poner al descubierto las razones últimas de la dinámica de precios de la electricidad. Por otra parte, la vertiente práctica de esta metodología se pondrá de manifiesto con su aplicación práctica a ciertos mercados eléctricos spot, tales como Omel, Powernext y Nord Pool. En los citados mercados se caracterizará la evolución de los precios horarios y se establecerán sus predicciones comparándolas con las de otras técnicas de predicción. ABSTRACT This thesis describes and applies the multivariate exponential smoothing technique to the day-ahead forecast of the hourly prices of electricity in a whole new way. This problem is being studied intensively in recent statistics and economics literature. It will start by demonstrating some interesting properties of the multivariate exponential smoothing that reduce drastically the number of parameters to characterize the time series and that at the same time allow a dynamic factor analysis of the hourly prices of electricity series. In particular this very complex multivariate process of dimension 24 will be estimated by decomposing a very reduced number of univariate independent of exponentially smoothing processes each characterized by a single smoothing parameter that varies between zero (white noise process) and one (random walk). To this end, the formulation is used in the state space model for the estimation, since this connects the sequence of efficient univariate models to the multivariate model. Through a novel way, relations between the two models are obtained from a simple algebraic treatment without applying the Kalman filter. Thus, we will analyze and expose the ultimate reasons for the dynamics of the electricity price. Moreover, the practical aspect of this methodology will be shown by applying this new technique to certain electricity spot markets such as Omel, Powernext and Nord Pool. In those markets the behavior of prices will be characterized, their predictions will be formulated and the results will be compared with those of other forecasting techniques.

Dynamic behaviour of underspanned suspension road bridges under traffic loads

Underspanned suspension bridges are structures with important economical and aesthetic advantages, due to their high structural efficiency. However, road bridges of this typology are still uncommon because of limited knowledge about this structural system. In particular, there remains some uncertainty over the dynamic behaviour of these bridges, due to their extreme lightness. The vibrations produced by vehicles crossing the viaduct are one of the main concerns. In this work, traffic-induced dynamic effects on this kind of viaduct are addressed by means of vehicle-bridge dynamic interaction models. A finite element method is used for the structure, and multibody dynamic models for the vehicles, while interaction is represented by means of the penalty method. Road roughness is included in this model in such a way that the fact that profiles under left and right tyres are different, but not independent, is taken into account. In addition, free software {PRPgenerator) to generate these profiles is presented in this paper. The structural dynamic sensitivity of underspanned suspension bridges was found to be considerable, as well as the dynamic amplification factors and deck accelerations. It was also found that vehicle speed has a relevant influence on the results. In addition, the impact of bridge deformation on vehicle vibration was addressed, and the effect on the comfort of vehicle users was shown to be negligible.