Dois ensaios em finanças

In the first chapter, we test some stochastic volatility models using options on the S&P 500 index. First, we demonstrate the presence of a short time-scale, on the order of days, and a long time-scale, on the order of months, in the S&P 500 volatility process using the empirical structure function, or variogram. This result is consistent with findings of previous studies. The main contribution of our paper is to estimate the two time-scales in the volatility process simultaneously by using nonlinear weighted least-squares technique. To test the statistical significance of the rates of mean-reversion, we bootstrap pairs of residuals using the circular block bootstrap of Politis and Romano (1992). We choose the block-length according to the automatic procedure of Politis and White (2004). After that, we calculate a first-order correction to the Black-Scholes prices using three different first-order corrections: (i) a fast time scale correction; (ii) a slow time scale correction; and (iii) a multiscale (fast and slow) correction. To test the ability of our model to price options, we simulate options prices using five different specifications for the rates or mean-reversion. We did not find any evidence that these asymptotic models perform better, in terms of RMSE, than the Black-Scholes model. In the second chapter, we use Brazilian data to compute monthly idiosyncratic moments (expected skewness, realized skewness, and realized volatility) for equity returns and assess whether they are informative for the cross-section of future stock returns. Since there is evidence that lagged skewness alone does not adequately forecast skewness, we estimate a cross-sectional model of expected skewness that uses additional predictive variables. Then, we sort stocks each month according to their idiosyncratic moments, forming quintile portfolios. We find a negative relationship between higher idiosyncratic moments and next-month stock returns. The trading strategy that sells stocks in the top quintile of expected skewness and buys stocks in the bottom quintile generates a significant monthly return of about 120 basis points. Our results are robust across sample periods, portfolio weightings, and to Fama and French (1993)’s risk adjustment factors. Finally, we identify a return reversal of stocks with high idiosyncratic skewness. Specifically, stocks with high idiosyncratic skewness have high contemporaneous returns. That tends to reverse, resulting in negative abnormal returns in the following month.

Ages and diatom temperature values of DSDP sites in the western Pacific Ocean

Maximum entropy spectral analyses and a fitting test to find the best suitable curve for the modified time series based on the non-linear least squares method for Td (diatom temperature) values were performed for the Quaternary portion of the DSDP Sites 579 and 580 in the western North Pacific. The sampling interval averages 13.7 kyr in the Brunhes Chron (0-780 ka) and 16.5 kyr in the later portion of the Matuyama Chron (780-1800 ka) at Site 580, but increases to 17.3 kyr and 23.2 kyr, respectively, at Site 579. Among dominant cycles during the Brunhes Chron, there are 411.5 kyr and 126.0 kyr at Site 579, and 467.0 kyr and 136.7 kyr at Site 580 correspond to 413 kyr and 95 to 124 kyr of the orbital eccentricity. Minor cycles of 41.2 kyr at Site 579 and 41.7 kyr at Site 580 are near to 41 kyr of the obliquity (tilt). During the Matuyama Chron at Site 580, cycles of 49.7 kyr and 43.6 kyr are dominant. The surface-water temperature estimated from diatoms at the western North Pacific DSDP Sites 579 and 580 shows correlation with the fundamental Earth's orbital parameters during Quaternary time.

On increasing the effective aperture of antennas by data processing /

Includes bibliographical references (p. 58-59)

Ausgleichungsrechnung nach der methode der kleinsten quadrate

Mode of access: Internet.

Die Theorie der Beobachtungsfehler und die Methode der kleinsten Quadrate, mit ihrer Anwendung auf die Geodäsie und die Wassermessungen.

Mode of access: Internet.

Die Ausgleichungsrechnung nach der Methode der kleinsten Quadrate.

Mode of access: Internet.

A manual of spherical and practical astronomy, embracing the general problems of spherical astronomy, the special applications to nautical astronomy, and the theory and use of fixed and portable astronomical instruments,

Mode of access: Internet.

Anti-Trafficking Policy Compliance with International Norms in Estonia and the Former Soviet Space

Thesis (Master's)--University of Washington, 2016-06

Dynamic Models under Uncertainty for Large-Scale Enterprise Systems

Thesis (Ph.D.)--University of Washington, 2016-06

Variance-balanced designs under interference for dependent observations

It is shown that variance-balanced designs can be obtained from Type I orthogonal arrays for many general models with two kinds of treatment effects, including ones for interference, with general dependence structures. These designs can be used to obtain optimal and efficient designs. Some examples and design comparisons are given. (C) 2002 Elsevier B.V. All rights reserved.

Forecasting with serially correlated regression models

In this article we investigate the asymptotic and finite-sample properties of predictors of regression models with autocorrelated errors. We prove new theorems associated with the predictive efficiency of generalized least squares (GLS) and incorrectly structured GLS predictors. We also establish the form associated with their predictive mean squared errors as well as the magnitude of these errors relative to each other and to those generated from the ordinary least squares (OLS) predictor. A large simulation study is used to evaluate the finite-sample performance of forecasts generated from models using different corrections for the serial correlation.

The specification of vector autoregressive moving average models

In this paper we propose a new identification method based on the residual white noise autoregressive criterion (Pukkila et al. , 1990) to select the order of VARMA structures. Results from extensive simulation experiments based on different model structures with varying number of observations and number of component series are used to demonstrate the performance of this new procedure. We also use economic and business data to compare the model structures selected by this order selection method with those identified in other published studies.

Patterns of gene expression in the frontal cortex discriminate alcoholic from non-alcoholic individuals

Alcohol dependence is characterized by tolerance, physical dependence, and craving. The neuroadaptations underlying these effects of chronic alcohol abuse are likely due to altered gene expression. Previous gene expression studies using human post-mortem brain demonstrated that several gene families were altered by alcohol abuse. However, most of these changes in gene expression were small. It is not clear if gene expression profiles have sufficient power to discriminate control from alcoholic individuals and how consistent gene expression changes are when a relatively large sample size is examined. In the present study, microarray analysis (similar to 47 000 elements) was performed on the superior frontal cortex of 27 individual human cases ( 14 well characterized alcoholics and 13 matched controls). A partial least squares statistical procedure was applied to identify genes with altered expression levels in alcoholics. We found that genes involved in myelination, ubiquitination, apoptosis, cell adhesion, neurogenesis, and neural disease showed altered expression levels. Importantly, genes involved in neurodegenerative diseases such as Alzheimer's disease were significantly altered suggesting a link between alcoholism and other neurodegenerative conditions. A total of 27 genes identified in this study were previously shown to be changed by alcohol abuse in previous studies of human post-mortem brain. These results revealed a consistent re-programming of gene expression in alcohol abusers that reliably discriminates alcoholic from non-alcoholic individuals.

Enhanced detection-guided NLMS estimation of sparse FIR-modeled signal channels

In various signal-channel-estimation problems, the channel being estimated may be well approximated by a discrete finite impulse response (FIR) model with sparsely separated active or nonzero taps. A common approach to estimating such channels involves a discrete normalized least-mean-square (NLMS) adaptive FIR filter, every tap of which is adapted at each sample interval. Such an approach suffers from slow convergence rates and poor tracking when the required FIR filter is "long." Recently, NLMS-based algorithms have been proposed that employ least-squares-based structural detection techniques to exploit possible sparse channel structure and subsequently provide improved estimation performance. However, these algorithms perform poorly when there is a large dynamic range amongst the active taps. In this paper, we propose two modifications to the previous algorithms, which essentially remove this limitation. The modifications also significantly improve the applicability of the detection technique to structurally time varying channels. Importantly, for sparse channels, the computational cost of the newly proposed detection-guided NLMS estimator is only marginally greater than that of the standard NLMS estimator. Simulations demonstrate the favourable performance of the newly proposed algorithm. © 2006 IEEE.

Efficient experimental designs when most treatments are unreplicated

In early generation variety trials, large numbers of new breeders' lines (varieties) may be compared, with each having little seed available. A so-called unreplicated trial has each new variety on just one plot at a site, but includes several replicated control varieties, making up around 10% and 20% of the trial. The aim of the trial is to choose some (usually around one third) good performing new varieties to go on for further testing, rather than precise estimation of their mean yields. Now that spatial analyses of data from field experiments are becoming more common, there is interest in an efficient layout of an experiment given a proposed spatial analysis and an efficiency criterion. Common optimal design criteria values depend on the usual C-matrix, which is very large, and hence it is time consuming to calculate its inverse. Since most varieties are unreplicated, the variety incidence matrix has a simple form, and some matrix manipulations can dramatically reduce the computation needed. However, there are many designs to compare, and numerical optimisation lacks insight into good design features. Some possible design criteria are discussed, and approximations to their values considered. These allow the features of efficient layouts under spatial dependence to be given and compared. (c) 2006 Elsevier Inc. All rights reserved.