Estimating and forecasting the volatility of Brazilian finance series using arch models (Preliminary Version)

The goal of this paper is to present a comprehensive emprical analysis of the return and conditional variance of four Brazilian …nancial series using models of the ARCH class. Selected models are then compared regarding forecasting accuracy and goodness-of-…t statistics. To help understanding the empirical results, a self-contained theoretical discussion of ARCH models is also presented in such a way that it is useful for the applied researcher. Empirical results show that although all series share ARCH and are leptokurtic relative to the Normal, the return on the US$ has clearly regime switching and no asymmetry for the variance, the return on COCOA has no asymmetry, while the returns on the CBOND and TELEBRAS have clear signs of asymmetry favoring the leverage e¤ect. Regarding forecasting, the best model overall was the EGARCH(1; 1) in its Gaussian version. Regarding goodness-of-…t statistics, the SWARCH model did well, followed closely by the Student-t GARCH(1; 1)

Comparison between the complete Bayesian method and empirical Bayesian method for ARCH models using Brazilian financial time series

In this work we compared the estimates of the parameters of ARCH models using a complete Bayesian method and an empirical Bayesian method in which we adopted a non-informative prior distribution and informative prior distribution, respectively. We also considered a reparameterization of those models in order to map the space of the parameters into real space. This procedure permits choosing prior normal distributions for the transformed parameters. The posterior summaries were obtained using Monte Carlo Markov chain methods (MCMC). The methodology was evaluated by considering the Telebras series from the Brazilian financial market. The results show that the two methods are able to adjust ARCH models with different numbers of parameters. The empirical Bayesian method provided a more parsimonious model to the data and better adjustment than the complete Bayesian method.

Comparison between the complete Bayesian method and empirical Bayesian method for ARCH models using Brazilian financial time series

In this work we compared the estimates of the parameters of ARCH models using a complete Bayesian method and an empirical Bayesian method in which we adopted a non-informative prior distribution and informative prior distribution, respectively. We also considered a reparameterization of those models in order to map the space of the parameters into real space. This procedure permits choosing prior normal distributions for the transformed parameters. The posterior summaries were obtained using Monte Carlo Markov chain methods (MCMC). The methodology was evaluated by considering the Telebras series from the Brazilian financial market. The results show that the two methods are able to adjust ARCH models with different numbers of parameters. The empirical Bayesian method provided a more parsimonious model to the data and better adjustment than the complete Bayesian method.

Hilbert Space Valued Signal Plus Noise Models: Analysis of Structural Breaks under High Dimensionality and Temporal Dependence

This thesis is concerned with change point analysis for time series, i.e. with detection of structural breaks in time-ordered, random data. This long-standing research field regained popularity over the last few years and is still undergoing, as statistical analysis in general, a transformation to high-dimensional problems. We focus on the fundamental »change in the mean« problem and provide extensions of the classical non-parametric Darling-Erdős-type cumulative sum (CUSUM) testing and estimation theory within highdimensional Hilbert space settings. In the first part we contribute to (long run) principal component based testing methods for Hilbert space valued time series under a rather broad (abrupt, epidemic, gradual, multiple) change setting and under dependence. For the dependence structure we consider either traditional m-dependence assumptions or more recently developed m-approximability conditions which cover, e.g., MA, AR and ARCH models. We derive Gumbel and Brownian bridge type approximations of the distribution of the test statistic under the null hypothesis of no change and consistency conditions under the alternative. A new formulation of the test statistic using projections on subspaces allows us to simplify the standard proof techniques and to weaken common assumptions on the covariance structure. Furthermore, we propose to adjust the principal components by an implicit estimation of a (possible) change direction. This approach adds flexibility to projection based methods, weakens typical technical conditions and provides better consistency properties under the alternative. In the second part we contribute to estimation methods for common changes in the means of panels of Hilbert space valued time series. We analyze weighted CUSUM estimates within a recently proposed »high-dimensional low sample size (HDLSS)« framework, where the sample size is fixed but the number of panels increases. We derive sharp conditions on »pointwise asymptotic accuracy« or »uniform asymptotic accuracy« of those estimates in terms of the weighting function. Particularly, we prove that a covariance-based correction of Darling-Erdős-type CUSUM estimates is required to guarantee uniform asymptotic accuracy under moderate dependence conditions within panels and that these conditions are fulfilled, e.g., by any MA(1) time series. As a counterexample we show that for AR(1) time series, close to the non-stationary case, the dependence is too strong and uniform asymptotic accuracy cannot be ensured. Finally, we conduct simulations to demonstrate that our results are practically applicable and that our methodological suggestions are advantageous.

Hypernormal densities

We propose a new family of density functions that possess both flexibilityand closed form expressions for moments and anti-derivatives, makingthem particularly appealing for applications. We illustrate its usefulnessby applying our new family to obtain density forecasts of U.S. inflation.Our methods generate forecasts that improve on standard methods based on AR-ARCH models relying on normal or Student's t-distributional assumptions.

The Shape of the Risk Premium: Evidence from a Semiparametric Garch Model.

We examine the relationship between the risk premium on the S&P 500 index return and its conditional variance. We use the SMEGARCH - Semiparametric-Mean EGARCH - model in which the conditional variance process is EGARCH while the conditional mean is an arbitrary function of the conditional variance. For monthly S&P 500 excess returns, the relationship between the two moments that we uncover is nonlinear and nonmonotonic. Moreover, we find considerable persistence in the conditional variance as well as a leverage effect, as documented by others. Moreover, the shape of these relationships seems to be relatively stable over time.

Laboratorial training of examiners for using a visual caries detection system in epidemiological surveys

Background: In epidemiological surveys, a good reliability among the examiners regarding the caries detection method is essential. However, training and calibrating those examiners is an arduous task because it involves several patients who are examined many times. To facilitate this step, we aimed to propose a laboratory methodology to simulate the examinations performed to detect caries lesions using the International Caries Detection and Assessment System (ICDAS) in epidemiological surveys. Methods: A benchmark examiner conducted all training sessions. A total of 67 exfoliated primary teeth, varying from sound to extensive cavitated, were set in seven arch models to simulate complete mouths in primary dentition. Sixteen examiners (graduate students) evaluated all surfaces of the teeth under illumination using buccal mirrors and ball-ended probe in two occasions, using only coronal primary caries scores of the ICDAS. As reference standard, two different examiners assessed the proximal surfaces by direct visual inspection, classifying them in sound, with non-cavitated or with cavitated lesions. After, teeth were sectioned in the bucco-lingual direction, and the examiners assessed the sections in stereomicroscope, classifying the occlusal and smooth surfaces according to lesion depth. Inter-examiner reproducibility was evaluated using weighted kappa. Sensitivities and specificities were calculated at two thresholds: all lesions and advanced lesions (cavitated lesions in proximal surfaces and lesions reaching the dentine in occlusal and smooth surfaces). Conclusion: The methodology purposed for training and calibration of several examiners designated for epidemiological surveys of dental caries in preschool children using the ICDAS is feasible, permitting the assessment of reliability and accuracy of the examiners previously to the survey´s development.

DETERMINAÇÃO DAS FORMAS E DIMENSÕES DOS ARCOS DENTAIS PARA USO DE ARCO CONTÍNUO NA TÉCNICA LINGUAL

Este estudo objetiva encontrar a forma e dimensão de arcos dentais para definir a forma de um arco contínuo que possa ser utilizado na técnica lingual. A amostra foi composta de 70 indivíduos brasileiros, leucodermas, com oclusão normal natural, que apresentaram no mínimo quatro das seis chaves de oclusão de Andrews. Esta amostra possui 40% de indivíduos do sexo masculino (28 homens) e 60% do sexo feminino (42 mulheres) com idade média de 16,4a. Os modelos dos arcos dentais da maxila e mandíbula foram digitalizados (3D) e as imagens exportadas para o software Delcam Power SHAPE® 2010 (Birmingham, U.K.). Foram selecionados pontos nas superfícies linguais dos dentes e traçadas 14 medidas para determinar a forma e a dimensão do arco dental. O teste de Shapiro-Wilk possibilitou definir uma forma de arco pequeno utilizando o percentil 25% (P25%), um arco médio (média) e uma forma de arco grande pelo percentil 75% (P75%). O teste t-student comparou se houve uma diferença entre os sexos, e foram encontrados 12 tamanhos de arcos dentais (6 para o sexo feminino e 6 para o sexo masculino). Em todos os testes estatísticos foi adotado nível de significância de 5% (p<0,05). A partir dos resultados obtidos, foi possível definir uma forma de arco contínuo para ser utilizado na técnica Lingual Straight Wire (LSW) - parábola levemente achatada na região anterior - e, devido à similaridade entre alguns tamanhos de arcos dentais, encontrados pelo dimorfismo sexual, pôde ser elaborado um diagrama de arcos de maneira mais simplificada.

A assimetria na volatilidade das rendibilidades do preço do crude

Dissertação de Mestrado em Contabilidade e Análise Financeira

Comparative study of dental arch width in plaster models, photocopies and digitized images

The aim of this study was to comparatively assess dental arch width, in the canine and molar regions, by means of direct measurements from plaster models, photocopies and digitized images of the models. The sample consisted of 130 pairs of plaster models, photocopies and digitized images of the models of white patients (n = 65), both genders, with Class I and Class II Division 1 malocclusions, treated by standard Edgewise mechanics and extraction of the four first premolars. Maxillary and mandibular intercanine and intermolar widths were measured by a calibrated examiner, prior to and after orthodontic treatment, using the three modes of reproduction of the dental arches. Dispersion of the data relative to pre- and posttreatment intra-arch linear measurements (mm) was represented as box plots. The three measuring methods were compared by one-way ANOVA for repeated measurements (α = 0.05). Initial / final mean values varied as follows: 33.94 to 34.29 mm / 34.49 to 34.66 mm (maxillary intercanine width); 26.23 to 26.26 mm / 26.77 to 26.84 mm (mandibular intercanine width); 49.55 to 49.66 mm / 47.28 to 47.45 mm (maxillary intermolar width) and 43.28 to 43.41 mm / 40.29 to 40.46 mm (mandibular intermolar width). There were no statistically significant differences between mean dental arch widths estimated by the three studied methods, prior to and after orthodontic treatment. It may be concluded that photocopies and digitized images of the plaster models provided reliable reproductions of the dental arches for obtaining transversal intra-arch measurements.

Photographs of dental casts or digital models: rating dental arch relationships in bilateral cleft lip and palate

Yardsticks have been developed to measure dental arch relations in cleft lip and palate (CLP) patients as diagnostic proxies for the underlying skeletal relationship. Travelling with plaster casts to compare results between CLP centres is inefficient so the aim of this study was to investigate the reliability of using digital models or photographs of dental casts instead of plaster casts for rating dental arch relationships in children with complete bilateral cleft lip and palate (CBCLP). Dental casts of children with CBCLP (n=20) were included. Plaster casts, digital models and photographs of the plaster casts were available for all the children at 6, 9, and 12 years of age. All three record formats were scored using the bilateral cleft lip and palate (BCLP) yardstick by four observers in random order. No significant differences were found for the BCLP yardstick scores among the three formats. The interobserver weighted kappa scores were between 0.672 and 0.934. Comparison between the formats per observer resulted in weighted kappa scores between 0.692 and 0.885. It is concluded that digital models and photographs of dental casts can be used for rating dental arch relationships in patients with CBCLP. These formats are a reliable alternative for BCLP yardstick assessments on conventional plaster casts.

Density forecasts of crude-oil prices using option-implied and ARCH-type models

The predictive accuracy of competing crude-oil price forecast densities is investigated for the 1994–2006 period. Moving beyond standard ARCH type models that rely exclusively on past returns, we examine the benefits of utilizing the forward-looking information that is embedded in the prices of derivative contracts. Risk-neutral densities, obtained from panels of crude-oil option prices, are adjusted to reflect real-world risks using either a parametric or a non-parametric calibration approach. The relative performance of the models is evaluated for the entire support of the density, as well as for regions and intervals that are of special interest for the economic agent. We find that non-parametric adjustments of risk-neutral density forecasts perform significantly better than their parametric counterparts. Goodness-of-fit tests and out-of-sample likelihood comparisons favor forecast densities obtained by option prices and non-parametric calibration methods over those constructed using historical returns and simulated ARCH processes. © 2010 Wiley Periodicals, Inc. Jrl Fut Mark 31:727–754, 2011

Rhinometric evaluation of nasal cavity geometry and its relation to the upper arch transverse distance

The objective of this study was to evaluate children's respiratory patterns in the mixed dentition, by means of acoustic rhinometry, and its relation to the upper arch width development. Fifty patients were examined, 25 females and 25 males with mean age of eight years and seven months. All of them were submitted to acoustic rhinometry and upper and lower arch impressions to obtain plaster models. The upper arch analysis was accomplished by measuring the interdental transverse distance of the upper teeth, deciduous canines (measurement 1), deciduous first molars (measurement 2), deciduous second molars (measurement 3) and the first molars (measurement 4). The results showed that an increased left nasal cavity area in females means an increased interdental distance of the deciduous first molars and deciduous second molars and an increased interdental distance of the deciduous canines, deciduous first and second molars in males. It was concluded that there is a correlation between the nasal cavity area and the upper arch transverse distance in the anterior and mid maxillary regions for both genders.

Estudo sobre a memória longa na volatilidade dos preços do ouro : uma abordagem com base nos modelos de tipo ARCH

Mestrado em Contabilidade e Análise Financeira