This thesis describes the Delta-Normal method of computing Value-at-Risk. The advantages and disadvantages of the Delta-Normal method compared to the Historical and Monte Carlo method of computing Value-at-Risk are discussed. The Delta-Normal method of computing Value-at-Risk is compared with the Historical Simulation method of Value-at-Risk using an implementation of portfolio consisting of ten stocks for 400 time intervals. Based on the normality of the distribution of the portfolio risk factors, Delta-Normal would be suitable if the distribution is normal and Historical Simulation method of calculating Value-at-Risk would be ideally suited if the distribution is non-normal.

We study the half-hourly electricity generation by coal and by gas in the UK over a period of three years from 2012 to 2014. As a highly frequent time series, daily cycles along with seasonality and trend across days can be seen in the data for each fuel. Taylor (2003), Taylor et al. (2006), and Taylor (2008) studied time series of the similar features by introducing double seasonality into the methods for a single univariate time series. As we are interested in the continuous variation in the generation within a day, the half-hourly observations within a day are considered as a continuous function. In this way, a time series of half-hourly discrete observations is transformed into a time series of daily functions. The idea of a time series of functions can also seen in Shang (2013), Shang and Hyndman (2011) and Hyndman and Ullah (2007). We improve their methods in a few ways. Firstly, we identify the systematic effect due to the factors that take effect in a long term, such as weather and prices of fuels, and the intrinsic differences between the days of the week. The systematic effect is modeled and removed before we study the day-by-day random variation in the functions. Secondly, we extend functional principal component analysis (PCA), which was applied on one group of functions in Shang (2013), Shang and Hyndman (2011) and Hyndman and Ullah (2007), into partial common PCA, in order to consider the covariance structures of two groups of functions and their similarities. A test on the goodness of the approximation to the functions given by the common eigenfunctions is also proposed. The idea of bootstrapping residuals from the approximation seen in Shang (2014) is employed but is improved with non-overlapping blocks and moving blocks of residuals. Thirdly, we use a vector autoregressive (VAR) model, which is a multivariate approach, to model the scores on common eigenfunctions of a group such that the cross-correlation between the scores can be considered. We include Lasso penalties in the VAR model to select the significant covariates and refit the selection with ordinary least squares to reduce the bias. Our method is compared with the stepwise procedure by Pfaff (2007), and is proved to be less variable and more accurate on estimation and prediction. Finally, we propose the method to give the point forecasts of the daily functions. It is more complicated than the methods of Shang (2013), Shang and Hyndman (2011) and Hyndman and Ullah (2007) as the systematic effect needs to be included. An adjustment interval is also given along with a point forecast, which represents the range within which the true function might vary. Our methods to give the point forecast and the adjustment interval include the information updating after the training period, which is not considered in the classical predicting equations of VAR and GARCH seen in Tsay (2013) and Engle and Bollerslev (1986).

nÃo hà / Considering two of the main costs indicators in the civil construction sector, this study proposes models to estimate the costs trend in that sector in 2011. Forecasts from vector autoregressive models composed by INCC and SINAP index seasonally adjusted allow determining an upward trend for costs in the sector analyzed and that, as in periods of financial crisis, this should be the object of counter cyclical policy to contain the spread of movement of rising prices in the Brazilian economy. / Considerando dois dos principais indicadores de custos no setor da construÃÃo civil, o estudo propÃe modelos para estimar a tendÃncia dos custos no referido setor em 2011. PrevisÃes a partir de modelos vetoriais autorregressivos compostos pelo INCC e Ãndice SINAPI com ajuste sazonal permitem constatar uma tendÃncia ascendente para os custos no setor analisado e que, assim como nos perÃodos de crise financeira, este deve ser objeto de polÃtica anticÃclica visando conter a propagaÃÃo do movimento de elevaÃÃo de preÃos na economia brasileira.

Submitted by Jorge Silva (jorgelmsilva@ufrrj.br) on 2018-09-06T18:21:23Z No. of bitstreams: 1 2017 - Carlos Ant?nio dos Santos.pdf: 1589290 bytes, checksum: fbf16019cb63898c65e615c045d17094 (MD5) / Made available in DSpace on 2018-09-06T18:21:23Z (GMT). No. of bitstreams: 1 2017 - Carlos Ant?nio dos Santos.pdf: 1589290 bytes, checksum: fbf16019cb63898c65e615c045d17094 (MD5) Previous issue date: 2017-02-17 / CAPES / CNPq / FAPERJ / The search for efficient strategies to reduce the losses caused by clubroot (Plasmodiophora brassicae) in cauliflower is essential due to the economic and social importance of this culture. Thus, the present study was developed with the objective of evaluating the effect of different treatments in the control of the disease, root development, biomass and inflorescences production under field and greenhouse conditions. The study consisted of three trials carried out in a family farmer's area in the municipality of Nova Friburgo, RJ, Brazil. In the first trial, it was tested the residual effect of four doses of calcined limestone (0, 1.0, 2.0 and 4.0 Mg.ha-1) associated to the application of Trichoderma harzianum biofungicide under field conditions. In the second trial, it was tested the effect of the liming associated to the application of T. harzianum and cyazofamid, under greenhouse conditions. In the third one, two ways of applying limestone were tested, in the planting pit, and applied by hand. The use of gypsum was evaluated in the field. The increase of the limestone doses promoted higher pH levels, and Ca+2 contents, and reduction of the toxic Al + 3 contents in the soil. There was also a reduction of root volume with galls, greater root development, and productivity in cauliflower. The use of T. harzianum was not effective to control the disease and did not favor the root development, either in field or in greenhouse conditions. The fungicide cyazofamid reduced the volume roots with galls, the severity, and the progression of the disease. The third rial revealed a discrete reduction in the severity of the disease when using limestone and gypsum combined. Although there was no effect of the treatments on the root system, limestone applied to the pit and by hand resulted in greater accumulations of fresh mass of inflorescence and productivity. The application of limestone by hand, in the pit, and combined with gypsum favored the accumulation of calcium in the plants. The application of limestone in the pit was equivalent to the hand application in terms of soil chemical attributes improvement, reduction of disease severity, and increase of productivity and accumulation of nutrients. / A busca por estrat?gias eficientes na redu??o das perdas causadas pela h?rnia das cruc?feras (Plasmodiophora brassicae) em couve-flor ? essencial devido ? import?ncia econ?mica e social dessa cultura. Com isso, desenvolveu-se o presente estudo com o objetivo de avaliar, em condi??es de campo e casa de vegeta??o, o efeito de diferentes tratamentos no controle da doen?a, desenvolvimento das ra?zes e produ??o de biomassa e infloresc?ncias em couve-flor. O trabalho foi constitu?do de tr?s ensaios realizados em ?rea de produtor familiar no munic?pio de Nova Friburgo, RJ. No primeiro ensaio, avaliou-se o efeito residual de quatro doses de calc?rio calcinado (0; 1,0; 2,0 e 4,0 Mg.ha-1), associado ? aplica??o de biofungicida a base de Trichoderma harzianum, em condi??es de campo. No segundo, avaliou-se o efeito da calagem associada ? aplica??o de T. harzianum e ciazofamida, em casa de vegeta??o. No terceiro, avaliou-se em campo duas formas de aplica??o de calc?rio, na cova e ? lan?o, e o uso de gesso agr?cola. O aumento das doses de calc?rio promoveu eleva??o do pH e dos teores de Ca+2 e redu??o do teor de Al+3 t?xico no solo. Ainda, houve redu??o do volume de ra?zes com h?rnias e maior desenvolvimento radicular e produtividade em couve-flor. O uso de T. harzianum n?o foi eficaz no controle da doen?a e n?o favoreceu o desenvolvimento radicular das plantas, seja nas condi??es de campo ou de casa de vegeta??o. O fungicida ciazofamida reduziu o volume de ra?zes doentes, a severidade e a progress?o da doen?a. Constatou-se no terceiro ensaio discreta redu??o da severidade da doen?a com o uso de calc?rio combinado com gesso. N?o houve efeito dos tratamentos sobre o sistema radicular, entretanto, calc?rio aplicado na cova e ? lan?o resultaram em maiores ac?mulos de massa fresca de infloresc?ncia e produtividade. A aplica??o de calc?rio ? lan?o, na cova, e calc?rio combinado com gesso favoreceram o ac?mulo de c?lcio nas plantas. O uso de calc?rio na cova foi equivalente ? sua aplica??o ? lan?o quanto a melhorias dos atributos qu?micos do solo, redu??o da severidade da doen?a, aumento da produtividade e ac?mulo de nutrientes.

El presente estudio tuvo como objetivo principal formular una crema dermocosmética a base de Mauritia flexuosa L. f. y Copaifera reticulata var. peruviana y comprobar su efecto regenerador en piel lesionada de ratones Mus musculus Balb c. Se evaluaron las características fisicoquímicas del aceite de aguaje y la oleorresina de copaiba. Posteriormente se diseñaron tres formulaciones: crema a base de aceite de Mauritia flexuosa L. f. “aguaje”, crema a base de oleorresina de Copaifera reticulata var. peruviana “copaiba” y una mezcla de ambas, en las cuales se realizaron estudios de estabilidad acelerada a la temperatura de 40 0C y 5 0C durante 120 días teniendo como parámetros análisis organolépticos (aspecto, color y olor), fisicoquímicos (pH, viscosidad) y carga microbiológica total. El efecto regenerador de la piel lesionada de las cremas dermocosmética se evaluó mediante el método tensiométrico y corroborado por estudios histológicos. Se emplearon ratones Mus musculus Balb c de 33 ± 2.7g de peso y como tratamientos las cremas dermocosméticas a base de aguaje al 8%, copaiba al 10% y una mezcla de ambas a las mismas concentraciones mencionadas, comparando los resultados con el grupo control (sin tratamiento) y con el grupo tratado con una crema comercial Cicalfate. Se obtuvo mayor efecto regenerador de la piel lesionada con la crema dermocosmética a base de aguaje y copaiba comprobada por presentar mayor porcentaje de cicatrización 57.4%, el cual se corroboró mediante el estudio histológico de la piel regenerada, donde se observaron inicios de reepitelización, tejido de granulación y aumento de colágeno en la dermis. Palabras clave: Mauritia flexuosa L. f. “aguaje”, Copaifera reticulata var. peruviana “copaiba”, crema dermocosmética, efecto regenerador. / This present study was main objective to formulate a dermocosmetic cream based Mauritia flexuosa L. f. and Copaifera reticulata var. peruviana and to check its regenerative effect on damaged skin of mice Mus musculus Balb c. The physicochemical characteristics aguaje oil and copaiba oleoresin were evaluated. Subsequently, three formulations were designed: cream based oil of Mauritia flexuosa L. f. “aguaje”, cream based oleoresin of Copaifera reticulata var. peruviana "copaiba" and a mixture of both, which perfomed accelerated stability studies at the temperature of 40 0C and 5 0C for 120 days having as parameters organoleptic analysis (appearance, color and odor), physicochemical (pH, viscosity) and load microbial total. The regenerating effect in the injured skin was assessed by method tensiometric and corroborated by histological studies. Mus musculus Balb c mice of 33 ± 2.7g of weight were used and as treatments dermocosmetic creams based of aguaje 8%, copaiba 10% and a mixture of both at the same concentrations mentioned, comparing the results with the control group (untreated) and treated group with a commercial cream Cicalfate. The highest regenerative effect of damaged skin was obtained with the dermocosmetic cream based of aguaje and copaiba proven by to present higher percentage of healing 57.4%, which was confirmed by histological study of the regenerated skin, where were observed early epithelialization, tissue granulating and increasing collagen in the dermis. Key words: Mauritia flexuosa L. f. "aguaje", Copaifera reticulata var. peruviana "copaiba", dermocosmetic cream, regenerating effect. / Tesis

Modern electric power utilities are facing a variety of challenges introduced by the increasing complexity of their operation, structure, and consumer loads. One such challenge has been to supply the ever growing demand for reactive power which is essential for grid support. For this reason dynamic VAR technologies are becoming much more important to modern day power systems. A recent dynamic VAR technology known as the Dynamic Capacitor offers full quadrant capacitive VAR control through the combination of AC/AC buck and boost cells. This paper introduces a new topology deemed the “Four-Switch Buck-Boost Dynamic Capacitor” which promises to combine the performance of the AC/AC buck and boost cells into a single power electronic device. This is done in an effort to reduce the required component count and thus reduce the overall device footprint and implementation cost of the Dynamic Capacitor technology. Derivations and analysis will detail the workings of the Four-Switch Buck-Boost Dynamic Capacitor, while simulations in LTSpice and Matlab Simulink will demonstrate the functionality and performance of the proposed topology. The results of this thesis prove the Four-Switch Buck-Boost Dynamic Capacitor to be a feasible shunt reactive compensating device.

本研究運用多元時間數列分析(VAR)，探討1996年5月1日至1996年12月31日此段期間，我國股市與美國、日本、香港、新加坡股市之間的關係，及我國股市於1996年9月2日被列入摩根史坦利指數，此舉是否會改變我國股市與美國股市之間的關係。 本研究透過建立多元時間數列的模型、因果關係的檢定、衝擊反應分析及預測誤產變異數分解的程序，獲得下列的實證結果： 一、由VAR模式可得知，香港、日本及新加坡的股市均受美國股市前一天股價的影響，但台灣股市則不受影響。此外，除了美國股市會影響它國股市外，其餘股市間則彼此沒有顯著的相關。 二、由衝擊反應分析可得知，美國股市為國際中最具影響力的股市，且各國股市反應新資訊的速度很快，國際股市符合效率市場假說。 三、由預測誤差變異數分解可知，美國股市的變動解釋其他國家預測誤差變異數的比例最強，其中以香港最強，台灣最弱，而其他股市對美國的解釋能力都很弱，可見其他股市（除台灣例外）均強烈的受到美國的影響。 四、我國股市列入摩根史坦利指數會使得我國股市與美國股市間關係更密切，加深我國股市受美國股市影響的程度。 由上述的實證結果可以得知，國際股市之間是存有關聯性的，只是程度上的差別而已，而我國股市被列入摩根史坦利指數，則加深了我國股市受美國股市影響的程度。

<p>Denna uppsats ämnar undersöka hur volatilitetstransmissionen mellan sex aktiemarknader i</p><p>världen ser ut och att utreda vilka aktiemarknader som har mest inflytande över den svenska</p><p>börsens volatilitet. Uppsatsen syftar även till att utforska om graden av volatilitetsspridning</p><p>ökat sedan IT-kraschen. Vid utförandet av denna studie används en ekonometrisk tvåstegsmodell</p><p>inkluderande GARCH och VAR. Resultaten pekar på att det sprids volatilitet</p><p>mellan aktiemarknaderna och att utländska innovationer står för en långvarig påverkan på den</p><p>inhemska volatiliteten. Undersökningen visar att svenska börsen är den aktiemarknad som</p><p>påverkas mest av utländska chocker och att den inte har någon nämnvärd påverkan på de</p><p>andra aktiemarknaderna. Vidare påvisar resultaten att IT-kraschen lett till att utländska</p><p>innovationer fått en större betydelse i Sverige liksom att den svenska börsens volatilitet blivit</p><p>mer beroende av Nasdaqs.</p>

<p>Oljeprisets påverkan på svensk ekonomi är högaktuell och skapar rubriker i massmedia dagligen. Inte minst på aktiemarknaden iakttas oljepriset noggrant. Denna uppsats undersöker det dynamiska sambandet mellan oljepriset och aktiemarknaden i Sverige, vilket görs genom en VAR analys som baseras på månadsdata för åren 1990-2006. Vidare används impuls responser för att se hur de olika variablerna påverkas av en chock i oljepriset. De data som används i undersökningen är oljeprisindex, aktieprisindex, industriproduktionsindex och ränta.</p><p>Resultaten som fås är i paritet med tidigare studier och visar att det inte går att finna några starkt signifikanta samband mellan oljeprisutvecklingen och aktiemarknaden i Sverige. Detta kan tyda på att priset generellt är överskattat av både investerare och massmedia.</p>

Thesis (Ph.D. (Risk Management))--North-West University, Potchefstroom Campus, 2007.