O estudo da volatilidade dos retornos dos ativos ocupa um lugar de destaque dentro da moderna teoria de finanças. Tradicionalmente, os modelos empregados para a modelagem da volatilidade são estimados a partir de dados diários. No entanto, a recente disponibilidade de dados intradiários tem permitido a modelagem e a previsão da volatilidade dos ativos por meio da chamada variância realizada. Dessa forma, o objetivo principal da presente dissertação foi analisar como os modelos que incorporam dados intradiários se comportam, em termos de acurácia de previsão de volatilidade diária, em relação àqueles que utilizam apenas dados diários. Foram observados os comportamentos dos índices Ibovespa e S&P 500 durante o período de janeiro de 2006 a junho de 2009. Os resultados revelaram que o desempenho de previsão dos modelos estimados a partir de dados diários foi superior ao dos modelos de variância realizada para os dois índices. Buscou-se ainda comparar o comportamento dos modelos durante o período da crise de 2008. Novamente os resultados apontaram para uma melhor acurácia de previsão dos modelos que utilizaram apenas dados diários. / The study of volatility in asset returns is relevant within the modern theory of finance. Modeling volatility has been frequently based on daily data. Recent availability of intraday data has allowed volatility modeling and forecasting through the so called realized variance. The main objective of this master’s thesis was, therefore, to compare the accuracy of daily volatility forecasting between models that use either daily or intraday data. Returns during the period January 2006 to June 2009 on two indexes, the Ibovespa and the S&P 500, were used. Results showed that, for both indexes, forecasting based on daily data was superior to forecasting that used intraday returns. Comparison between models was also tested during the 2008 crisis. Similarly, results showed a better forecasting performance of daily data models.

Despite considerable research on the monetary policy rules, little is known about internal relation between policy rules targets. Research approach frequently consists in estimating parameters or identifying variables to make the rule operate accurately. The overall image that emerges from the literature is that there is no contradiction in attaining the targets once set properly. Dissertation switches attention to mutual feasibility of incorporated targets. To contribute to this strikingly overlooked fact hypothesis is tested. Analyzed are variances of inflation and output representing policy rule targets. Time regression processed throughout OLS technique, gap analysis and calculation of variances are applied as principal analytical tools. Examined are data for 14 countries. Countries are divided into two groups according to size of their economy: small economies (Austria, Belgium, Czech Republic, Hungary, Ireland, The Nederlands and Slovak Republic); large economies (Euro zone, France, Germany, Italy, Spain, Sweden and USA). Results of the analysis show that once monetary authority follows policy rule with multiple targets it faces restriction. Rather than achieving both targets at one time it must respect trade off between them. According to data for selected countries hypothesis is accepted. Variances of output consistently proved to be higher than variances of inflation. Whence it follows that authority need to solve constrained optimization problem. It needs to pick out combination of differently large variances contrary to wining with all reaching low levels.

This master's thesis deals with the cost planning and cost control in construction company specializing mainly in road construction works. The theoretical part concerns first with the description of cost planning process and its specifics in analysed company. The objective of cost control is then to carry out the variance analysis by selected performances and to give further recommendations for adjusting of standards of direct costs, based on achieved results from undertaken analysis. The last part deals with the design of appropriate method for cost control procedure, based on the Pareto principle and setting of tolerance intervals for cost amount. Excess of these intervals requires additional control of these costs and explanation of reasons, why this increased variance exists.

A técnica de tratamento de solos com cal ou cimento vem sendo empregada com sucesso na engenharia geotécnica, melhorando as características do solo, que por ser um material complexo e muito variável nem sempre satisfaz as necessidades da obra a ser realizada. As últimas pesquisas em solos tratados com cal mostram o desenvolvimento de metodologias de dosagem baseadas em critérios racionais (como a relação água/cimento para o concreto), onde a relação volume de vazios/volume de cal desempenha papel fundamental na obtenção da resistência desejada. O volume de vazios (ou a porosidade) é um fator importante nestas metodologias de dosagem, e ainda não existem técnicas que quantifiquem este fator (como o ensaio de porosimetria por injeção de mercúrio para o concreto) e também modelos que permitam o entendimento do comportamento da porosidade dessas misturas o longo do tempo de cura (como o modelo de Powers para o concreto). Assim, esta pesquisa tem como objetivo verificar a influência da quantidade de cal (Ca), da porosidade (h), do teor de umidade (w) e do tempo de cura (t), sobre a resistência à compressão simples (qu), sobre a resistência à tração (qt) e sobre a rigidez inicial (Go) de um solo siltoso estabilizado com cal (misturas caulim-cal), verificando a adequação do uso da relação vazios/cal na estimativa de qu, qt e Go. Além disso, esta pesquisa busca quantificar a porosidade dessas misturas solo-cal e também desenvolver um modelo, que permita o entendimento do comportamento da sua porosidade ao longo do tempo de cura. Para atingir os objetivos da pesquisa foram realizados ensaios de resistência à compressão simples, ensaios de resistência à tração por compressão diametral, ensaios para a medida de Go, ensaios de sucção matricial e ensaios de porosimetria por injeção de mercúrio. Os resultados dos ensaios de resistência à compressão simples, de resistência à tração e de rigidez inicial demonstram que o aumento da quantidade de Ca, a diminuição da h e o aumento do t provoca o aumento de qu, qt e Go. Sendo que, qu, qt e Go crescem linearmente com o aumento da quantidade de cal e exponencialmente com a redução da sua porosidade. Assim, verifica-se que, a relação vazios/cal (h/Cav), definida pela razão entre a porosidade da mistura compactada e o teor volumétrico de cal, demonstra ser um parâmetro adequado na estimativa de qu, qt e Go. A partir desses mesmos resultados, observase que a w também desempenha um papel fundamental na previsão de qu, qt e Go. Além disso, a partir dos ensaios de resistência à compressão simples, resistência à tração e rigidez inicial, observa-se que a existência de relações únicas e distintas no controle de qu, qt e Go em função da h, do Cav e da w mostrou-se muito eficiente para relações de dosagem. Relações entre qu, qt, Go e h/Cav também, foram muito satisfatórias. Além disso, foram realizadas análises estatísticas dos dados obtidos neste experimento, e os resultados demonstram, a partir da análise da variância, que todos os fatores controláveis escolhidos no experimento são significativos. Os resultados dos ensaios de porosímetro por intrusão de mercúrio demonstram que a porosidade diminui com o tempo de cura. Porém, o modelo de Powers não se adaptou perfeitamente na previsão da variação da porosidade das misturas caulim-cal estudadas. / The technique of treating soil with lime or cement has been used successfully in geotechnical engineering, improving the characteristics of the soil, which is a highly variable and complex material, and does not always meet the needs of the earthwork to be performed. The last researches in soils treated with lime are in the development of dosage methodologies based on rational criteria (such as water/cement ratio for concrete), where the voids/lime ratio plays a fundamental role in the assesstment of the target strength. The void volume (or porosity) is an important factor in these dosage methodologies, and there are not techniques that quantify this factor (as the test porosimetry with intrusion of mercury, for concrete) and also models that allow understanding the behavior of porosity for these mixtures in long curing times (such as the Powers’s model for concrete). Thus, this research aims to determine the influence of the amount of lime (Ca), porosity (h), moisture content (w) and curing time period (t) on the unconfined compression strength (qu), tensile strength (qt) and initial stiffness (Go) of a silty soil stabilized with lime (kaolin-lime mixtures), checking the suitability of the use of voids/lime ratio in estimating qu, qt and Go. Besides, this research aims to quantify the porosity of these soil-lime mixtures and also adjusting a model that allows understanding the behavior of their porosity during the curing time. For that, a number of unconfined compression tests, splitting tensile tests, the measurement of Go, measurement of matric suction and porosimetry with intrusion of mercury tests were carried out in present work. The results of unconfined compression strength, tensile strength and initial stiffness show that increasing the amount of Ca, decreasing of h and increasing of t, causes increased of qu, qt and Go. Further, qu, qt and Go grow linearly with the increased amount of lime and exponentially with reducing its porosity. The voids/lime ratio, defined as the ratio of the compacted mixture porosity and the lime volumetric content, adjusted by an exponent, proves to be an appropriate parameter to estimate the qu, qt and Go. From these results, it is observed that the w also plays a fundamental parameter in predicting the qu, qt and Go. Moreover, it is noted that the existence of distinct and unique relationships in the control of qu, qt and Go according to h, Cav and w proved to be very efficient for dosage relationships. Relations between qu, qt, Go and h/Cav were very satisfactory too. Furthermore, statistical analyzes were performed of the results obtained in this experiment, and results demonstrate, through analysis of variance, that all controllable factors chosen in the experiment are significant. The results of test porosimetry with intrusion of mercury show that the porosity decreases with increasing curing time. However, the Powers’s model has not adapted perfectly to predict the variation of the porosity of kaolin-lime mixtures studied.

Essa pesquisa busca investigar a influência de diferentes níveis de fatores na variância da maturidade do endividamento corporativo na América Latina. Ao todo, foram levantados cinco diferentes grupos (divididos em três níveis de influência) de variáveis que potencialmente determinam a maturidade do endividamento das empresas dos países estudados ao longo do período de 1996 a 2009. Foi utilizado o modelo linear hierárquico, que possibilita o aninhamento de variáveis em diferentes níveis – em que os níveis superiores influenciam os níveis inferiores. Ao longo do estudo, procedeu-se à análise fatorial com o objetivo de extrair fatores representativos do nível de desenvolvimento financeiro e da qualidade das instituições de Argentina, Brasil, Chile, Colômbia, México, Peru, Venezuela e Estados Unidos (países componentes da amostra). Os resultados sugerem que as variações ao longo do tempo e as variações entre as empresas são as maiores fontes de modificações na maturidade do endividamento. Além disso, o tamanho, a liquidez, a taxa real de juros e o nível de desenvolvimento financeiro do país se sobressaem como fatores que impactam de forma significativa a maturidade do endividamento corporativo. Finalmente, os fatores extraídos e a taxa real de juros impactaram indiretamente na maturidade do endividamento através de outras variáveis, a saber: oportunidades de crescimento, tamanho e liquidez. / This research investigates the influence of distinct factor´s levels in corporate debt maturity in Latin America. Five different variables groups (divided into three influence levels) that potentially determine the corporate debt maturity in the countries studied were collected over the period 1996 to 2009. We used Hierarchical Linear Modeling, which allows nesting of variables at different levels – in which the higher levels may influence the lower levels. Throughout the study, we proceeded to factor analysis in order to extract financial development and institutional quality factors in Argentina, Brazil, Chile, Colombia, Mexico, Peru, Venezuela and the United States (countries belonging to the sample). The results suggest that variations over time and variations between firms are the major sources of changes in corporate debt maturity. Moreover, size, liquidity, the real interest rate and the financial development stand out as factors that impact significantly the corporate debt maturity. Finally, the extracted factors and the real interest rate indirectly impacted the corporate debt maturity by others variables, namely: growth opportunities, size and liquidity.

Portfolio selection theory, developed by Markowitz (1952), is one of the best known and widely applied methods for allocating funds among possible investment choices, where investment decision making is a trade-off between the expected return and risk of the portfolio. Many portfolio selection models have been developed on the basis of Markowitz's theory. Most of them assume that complete investment information is available and that it can be accurately extracted from the historical data. However, this complete information never exists in reality. There are many kinds of ambiguity and vagueness which cannot be dealt with in the historical data but still need to be considered in portfolio selection. For example, to address the issue of uncertainty caused by estimation errors, the robust counterpart approach of Ben-Tal and Nemirovski (1998) has been employed frequently in recent years. Robustification, however, often leads to a more conservative solution. As a consequence, one of the most common critiques against the robust counterpart approach is the excessively pessimistic character of the robust asset allocation. This thesis attempts to develop new approaches to improve on the respective performances of the robust counterpart approach by incorporating additional investment information sources, so that the optimal portfolio can be more reliable and, at the same time, achieve a greater return.

DMAOVC.BAS is a computer program written in the compiler version of microsoft basic which performs factorial analysis of variance/covariance with expected mean squares. The program accommodates factorial and other hierarchical experimental designs with balanced sets of data. The program is writ ten for use on most modest sized microprocessors, in which the compiler is available. The program is parameter file driven where the parameter file consists of the response variable structure, the experimental design model expressed in a similar structure as seen in most textbooks, information concerning the factors (i.e. fixed or random, and the number of levels), and necessary information to perform covariance analysis. The results of the analysis are written to separate files in a format that can be used for reporting purposes and further computations if needed.

The purpose of the present study was to examine the effect of varying the amount of participant engagement on alcohol expectancy and drinking outcomes during a social/sexual expectancy challenge based on Darkes and Goldman's (1993, 1998) protocol. This study was also intended to provide a test of the efficacy of administering an alcohol/placebo expectancy challenge outside of a live drinking scenario through video presented as part of a computerized intervention. One hundred fifty-eight male participants across three sites were randomized into a no-intervention control group that received non alcohol-related information in a minimally interactive computerized format, a low-level engagement experimental group that received minimally interactive computerized expectancy-related information, and a high-level engagement experimental group that received the same expectancy-related information presented in a more interactive computerized format that included games and audiovisual elements such as video clips, graphics, live narrations, and music. It was hypothesized that high-level engagement participants would report being more engaged in their computerized program and demonstrate greater decreases in social/sexual alcohol expectancies and drinking levels relative to control and low-level engagement participants. Results indicated that while high-level engagement participants reported being more engaged in their interventions, none of the groups exhibited changes in the alcohol expectancies measured. In addition, all three groups experienced significant but comparable decreases in drinking levels. Exploratory follow-up analyses were also conducted to provide suggestions for future directions.

National cultures play a critical role in effective leadership and organisational success in international businesses. Contemporary organisations are therefore challenged by cross-cultural leadership needs to address increasing diversity. In the past decades, there has been a growing interest in studies of non-Western leadership. Recent papers have focused particularly on leadership in the Asia-Pacific region. This paper compares leadership in China and New Zealand, based on the data collected by using the GLOBE (Global Leadership and Organisational Behaviour Effectiveness) project leadership questionnaire. In addition, the paper reviews the main findings of previous research in order to investigate the similarities and differences in preferred leadership behaviours/characteristics in both cultures, while attempting to examine the consistency of current findings against the previous GLOBE studies. Significant differences of leadership behaviours between China and New Zealand have been identified. This paper generally supports the findings of previous GLOBE studies that charismatic/value-based leadership is the universally contributing factor towards outstanding leadership and self-protective leadership is the universally negative factor against leadership excellence. Findings in this paper may contribute to further understanding of leadership practice in these two countries. Future research should be undertaken to examine the effects of cultural differences on organisational practice by a more comprehensive research method.

We utilise several asset pricing models that allow for discontinuities in the returns and volatility time series in order to obtain estimates of Value-at-Risk (VaR). The first class of model that we use mixes a continuous diffusion process with discrete jumps at random points in time (Poisson Jump Diffusion Model). We also apply a purely discontinuous model that does not contain any continuous component at all in the underlying distribution (Variance Gamma Model). These models have been shown to have some success in capturing certain characteristics of return distributions, a few being leptokurtosis and skewness. Calibrating these models onto the returns of an index of Australian stocks (All Ordinaries Index), we then use the resulting parameters to obtain daily estimates of VaR. In order to obtain the VaR estimates for the Poisson Jump Diffusion Model and the Variance Gamma Model, we introduce the use of an innovation from option pricing techniques, which concentrates on the more tractable characteristic functions of the models. Having then obtained a series of VaR estimates, we then apply a variety of criteria to assess how each model performs and also evaluate these models against the traditional approaches to calculating VaR, such as that suggested by J.P. Morgan???s RiskMetrics. Our results show that whilst the Poisson Jump Diffusion model proved the most accurate at the 95% VaR level, neither the Poisson Jump Diffusion or Variance Gamma models were dominant in the other performance criteria examined. Overall, no model was clearly superior according to all the performance criteria analysed, and it seems that the extra computational time required to calibrate the Poisson Jump Diffusion and Variance Gamma models for the purposes of VaR estimation do not provide sufficient reward for the additional effort than that currently employed by Riskmetrics.