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.

Simulation-Based Finite-Sample Tests for Heteroskedasticity and ARCH Effects.

A wide range of tests for heteroskedasticity have been proposed in the econometric and statistics literature. Although a few exact homoskedasticity tests are available, the commonly employed procedures are quite generally based on asymptotic approximations which may not provide good size control in finite samples. There has been a number of recent studies that seek to improve the reliability of common heteroskedasticity tests using Edgeworth, Bartlett, jackknife and bootstrap methods. Yet the latter remain approximate. In this paper, we describe a solution to the problem of controlling the size of homoskedasticity tests in linear regression contexts. We study procedures based on the standard test statistics [e.g., the Goldfeld-Quandt, Glejser, Bartlett, Cochran, Hartley, Breusch-Pagan-Godfrey, White and Szroeter criteria] as well as tests for autoregressive conditional heteroskedasticity (ARCH-type models). We also suggest several extensions of the existing procedures (sup-type of combined test statistics) to allow for unknown breakpoints in the error variance. We exploit the technique of Monte Carlo tests to obtain provably exact p-values, for both the standard and the new tests suggested. We show that the MC test procedure conveniently solves the intractable null distribution problem, in particular those raised by the sup-type and combined test statistics as well as (when relevant) unidentified nuisance parameter problems under the null hypothesis. The method proposed works in exactly the same way with both Gaussian and non-Gaussian disturbance distributions [such as heavy-tailed or stable distributions]. The performance of the procedures is examined by simulation. The Monte Carlo experiments conducted focus on : (1) ARCH, GARCH, and ARCH-in-mean alternatives; (2) the case where the variance increases monotonically with : (i) one exogenous variable, and (ii) the mean of the dependent variable; (3) grouped heteroskedasticity; (4) breaks in variance at unknown points. We find that the proposed tests achieve perfect size control and have good power.

Quadratic M-Estimators for ARCH-Type Processes

This paper addresses the issue of estimating semiparametric time series models specified by their conditional mean and conditional variance. We stress the importance of using joint restrictions on the mean and variance. This leads us to take into account the covariance between the mean and the variance and the variance of the variance, that is, the skewness and kurtosis. We establish the direct links between the usual parametric estimation methods, namely, the QMLE, the GMM and the M-estimation. The ususal univariate QMLE is, under non-normality, less efficient than the optimal GMM estimator. However, the bivariate QMLE based on the dependent variable and its square is as efficient as the optimal GMM one. A Monte Carlo analysis confirms the relevance of our approach, in particular, the importance of skewness.

Les modèles vectoriels et multiplicatifs avec erreurs non-négatives de séries chronologiques.

L'objectif du présent mémoire vise à présenter des modèles de séries chronologiques multivariés impliquant des vecteurs aléatoires dont chaque composante est non-négative. Nous considérons les modèles vMEM (modèles vectoriels et multiplicatifs avec erreurs non-négatives) présentés par Cipollini, Engle et Gallo (2006) et Cipollini et Gallo (2010). Ces modèles représentent une généralisation au cas multivarié des modèles MEM introduits par Engle (2002). Ces modèles trouvent notamment des applications avec les séries chronologiques financières. Les modèles vMEM permettent de modéliser des séries chronologiques impliquant des volumes d'actif, des durées, des variances conditionnelles, pour ne citer que ces applications. Il est également possible de faire une modélisation conjointe et d'étudier les dynamiques présentes entre les séries chronologiques formant le système étudié. Afin de modéliser des séries chronologiques multivariées à composantes non-négatives, plusieurs spécifications du terme d'erreur vectoriel ont été proposées dans la littérature. Une première approche consiste à considérer l'utilisation de vecteurs aléatoires dont la distribution du terme d'erreur est telle que chaque composante est non-négative. Cependant, trouver une distribution multivariée suffisamment souple définie sur le support positif est plutôt difficile, au moins avec les applications citées précédemment. Comme indiqué par Cipollini, Engle et Gallo (2006), un candidat possible est une distribution gamma multivariée, qui impose cependant des restrictions sévères sur les corrélations contemporaines entre les variables. Compte tenu que les possibilités sont limitées, une approche possible est d'utiliser la théorie des copules. Ainsi, selon cette approche, des distributions marginales (ou marges) peuvent être spécifiées, dont les distributions en cause ont des supports non-négatifs, et une fonction de copule permet de tenir compte de la dépendance entre les composantes. Une technique d'estimation possible est la méthode du maximum de vraisemblance. Une approche alternative est la méthode des moments généralisés (GMM). Cette dernière méthode présente l'avantage d'être semi-paramétrique dans le sens que contrairement à l'approche imposant une loi multivariée, il n'est pas nécessaire de spécifier une distribution multivariée pour le terme d'erreur. De manière générale, l'estimation des modèles vMEM est compliquée. Les algorithmes existants doivent tenir compte du grand nombre de paramètres et de la nature élaborée de la fonction de vraisemblance. Dans le cas de l'estimation par la méthode GMM, le système à résoudre nécessite également l'utilisation de solveurs pour systèmes non-linéaires. Dans ce mémoire, beaucoup d'énergies ont été consacrées à l'élaboration de code informatique (dans le langage R) pour estimer les différents paramètres du modèle. Dans le premier chapitre, nous définissons les processus stationnaires, les processus autorégressifs, les processus autorégressifs conditionnellement hétéroscédastiques (ARCH) et les processus ARCH généralisés (GARCH). Nous présentons aussi les modèles de durées ACD et les modèles MEM. Dans le deuxième chapitre, nous présentons la théorie des copules nécessaire pour notre travail, dans le cadre des modèles vectoriels et multiplicatifs avec erreurs non-négatives vMEM. Nous discutons également des méthodes possibles d'estimation. Dans le troisième chapitre, nous discutons les résultats des simulations pour plusieurs méthodes d'estimation. Dans le dernier chapitre, des applications sur des séries financières sont présentées. Le code R est fourni dans une annexe. Une conclusion complète ce mémoire.

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.

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.

MEDIAL LONGITUDINAL ARCH CHANGE IN DIABETIC PERIPHERAL NEUROPATHY

Objective: To describe and compare foot anthropometry in healthy and diabetic subjects using Medial Longitudinal Arch (MLA) classificatory indexes: Arch Index (AI), Chippaux-Smirak Index (CSI) and (A) over cap Angle ((A) over cap), as well as to compare the classification of these methods in each group. Materials and Methods: Control Group (CG) composed by 21 healthy subjects and Diabetic Group (DG), with 46 diabetic neuropathy subjects. The indexes were calculated from footprints. Results: A larger proportion of flat feet was seen in DG for the three indexes (At: 32,2%, CSI: 59,7%, A: 17,5%), while highly arched feet acted oppositely. The groups were statistically different for the proportion of flat feet in (A) over cap (p=0,0080) and CSI (p=0,0000) and high feet in A (p=0,0036). There were significant differences when compared GC and GD in the three indexes: IA (p 0,0027), CSI (p=0,0064), (A) over cap (p=0,0296). Conclusion: Data showed motor and orthopedic changes originated by peripheral neuropathy, which is responsible for foot changes, causing longitudinal arch crumbling. It was seen that A Angle strongly disagreed when compared with the arch classification made by the other two indexes and therefore, its application needs care.

Modèles animaux pour l’évaluation préclinique des dispositifs médicaux en radiologie interventionnelle au CR21 AP-HP INRA

Dissertação de Mestrado, Engenharia Zootécnica, 14 de Maio de 2015, Universidade dos Açores.

Edentulism and shortened dental arch in Brazilian elderly from the National Survey of Oral Health 2003

OBJECTIVE: To describe the distribution of edentulism and estimate the prevalence of functional dentition and shortened dental arch among elderly population. METHODS: A population-based epidemiological study was carried out with a sample of 5,349 respondents aged 65 to 74 years obtained from the 2002 and 2003 Brazilian Ministry of Health/Division of Oral Health survey database. The following variables were studied: gender; macroregion of residence; missing teeth; percentage that met the World Health Organization goal for oral health in the age group 65 to 74 years (50% having at least 20 natural teeth); presence of shortened dental arch; number of posterior occluding pairs of teeth. The Chi-square test assessed the association between categorical variables. The Kruskal-Wallis and Mann-Whitney tests were used to assess differences of mean between number of posterior occluding pairs teeth, macro-region and gender. RESULTS: The elderly population had an average of 5.49 teeth (SD: 7.93) with a median of 0. The proportion of completely edentulous respondents was 54.7%. Complete edentulism was 18.2% in the upper arch and 1.9% in the lower arch. The World Health Organization goal was achieved in 10% of all respondents studied. However, only 2.7% had acceptable masticatory function and aesthetics (having at least shortened dental arch) and a mean number of posterior occluding pairs of 6.94 (SD=2.97). There were significant differences of the percentage of respondents that met the World Health Organization goal and presence of shortened dental arch between men and women. There were differences in shortened dental arch between macroregions. CONCLUSIONS: The Brazilian epidemiological oral health survey showed high rate of edentulism and low rate of shortened dental arch in the elderly population studied, thus suggesting significant functional and aesthetic impairment in all Brazilian macroregions especially among women.

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

Agenesis of the posterior arch of the atlas

PURPOSE: To illustrate the radiological findings and review the current literature concerning a rare congenital abnormality of the posterior arch of the atlas. CASE REPORT: An adult female without neurological symptoms presented with an absent posterior arch of the atlas, examined with plain films and helical computerized tomography. Complete agenesis of the posterior arch of the atlas is a rare entity that can be easily identified by means of plain films. Although it is generally asymptomatic, atlantoaxial instability and neurological deficits may occur because of structural instability. Computerized tomography provides a means of assessing the extent of this abnormality and can help evaluate the integrity of neural structures. Although considered to be rare entities, defects of the posterior arch of the atlas may be discovered as incidental asymptomatic findings in routine cervical radiographs. Familiarity with this abnormality may aid medical professionals in the correct management of these cases.

An integrated model for simulation of construction phasing of arch concrete dams

Dissertação de mestrado integrado em Civil Engineering