Children with Autism Spectrum Disorders (ASDs) are impaired in visually disengaging attention in both social and non-social contexts, impairments that may, in subtler form, also affect the infant siblings of children with an ASD (ASD-sibs). I investigated patterns of visual attention (gazing) in six-month-old ASD-sibs (n = 17) and the siblings of typically developing children (COMP-sibs; n =17) during the Face-to-Face/Still-Face Protocol (FFSF). Also, I examined joint attention through the Early Social Communication Scales (ESCS) when ASD-sibs and COMP-sibs were eight months of age. The relationship between gazing and later joint attention was examined. Throughout the FFSF protocol, ASD-sibs shifted their gaze to and from their parents' faces less frequently than did COMP-sibs. The mean durations of ASD-sibs? gazes away from their parents' faces were longer than those of COMP-sibs. ASD-sibs and COMP-sibs did not differ in the mean durations of gazes at their parents' faces. Also, infants? shifts in gaze were positively correlated with initiating joint attention behaviors at eight months of age. In sum, ASD-sibs showed no deficits in visual interest to their parents? faces, but greater interest than COMP-sibs in non-face stimuli. Such differences may play an important role in the development of joint attention.

The paper is devoted to the modern methods of Value-at-Risk calculation using different cases of Generalized Hyperbolic distribution and models for predicting volatility. In our research we use GARCH-M and Non-parametric volatility models and compare Value-at-Risk calculation depending on the distribution that is used. In the case of Non-parametric model corresponding windows are proved by the Cross Validation method. Furthermore in our work we consider adaption of the method to intraday data using ACD and UHF-GARCH models. The project involves also application of the developed methods to real financial data and comparable analysis of the obtained results.

Thesis (doctoral)--Universität, Göttingen, 2000.

Despite varying perceptions and indicators of risk, some children and adolescents labeled at risk are successful in academic endeavors and in life and could be characterized as resilient (Barone, 1999, 2004; Benard, 2004; Waxman, Padron, & Gray, 2004; Wolin & Wolin, 1993). Using a multiple case study design, the purpose of this study was to explore literacy habits and everyday experiences of three African American, female adolescents, who were labeled at risk, yet displayed resilience. Data were collected throughout their senior year of high school, both inside and outside of school, and included observations, interviews, and document analysis. Data collection and analysis were grounded in a social theoretical framework, comprising theories of adolescent literacy, resilience, and identity. Analysis of the individual cases contextualized their unique experiences providing an in-depth understanding of the ways in which the participants enacted their resilient identities. Further, this analysis revealed the complex nature of literacy in their lives and their tremendous literacy growth. The cross case analysis examined overarching themes found across the three participants, which provided a more holistic lens for understanding resilience and literacy by juxtaposing their resilient characteristics and literacy practices with their lived experiences. The findings are discussed, and implications for educators and researchers are provided in an effort to better understand and serve students with at-risk labels.

This thesis consists of three research topics, which together study the related topics of volatility jumps, modeling volatility and forecasting Value-at-­Risk (VaR). The first topic focuses on volatility jumps based on two recently developed jumps detection methods and empirically studied six markets and the distributional features, size and intensity of jumps and cojumps. The results indicate that foreign exchange markets have higher jump intensities, while equity markets have a larger jump size. I find that index and stock markets have more interdependent cojumps across markets. I also find two recently proposed jump detection methods deliver contradictory results of jump and cojump properties. The jump detection technique based on realized outlyingness weighted variation (ROWV) delivers higher jump intensities in foreign exchange markets, whereas the bi-­power variation (BV) method produces higher jump intensities in equity markets. Moreover, jumps under the ROWV method display more serial correlations than the BV method. The ROWV method detects more cojumps and higher cojumps intensities than the BV method does, particularly in foreign exchange markets. In the second topic, the Model Confidence Set test (MCS) is used. MCS selects superior models by power in forecasting ability. The candidate models set included 9 GARCH type models and 8 realized volatility models. The dataset is based on six markets spanning more than 10 years, avoiding the so-called data snooping problem. The dataset is extended by including recent financial crisis periods. The advantage of the MCS test is that it can compare models in a group, not only in a pair. Two loss functions that are robust to noise in volatility proxy were also implemented and the empirical results indicated that the traditional GARCH models were outperformed by realized volatility models when using intraday data. The MCS test based on MSE selected asymmetric ARFIMA models and the HAR mode as the most predictive, while the asymmetric QLike loss function revealed the leveraged HAR and leveraged HAR-­CJ model based on bi-­power variation as the highest performers. Moreover, results from the subsamples indicate that the asymmetric ARFIMA model performs best over turbulent periods. The third topic focuses on evaluating a broad band of VaR forecasts. Different VaR models were compared across six markets, five volatility models, four distributions and 8 quantiles, resulting in 960 specifications. The MCS test based on regulatory favored asymmetric loss function was applied and the empirical results indicate that the proposed asymmetric ARFIMA and leveraged HAR models, coupled with generalized extreme value distribution (GEV) or generalized Pareto distribution (GPD), have the superior predictive ability on both long and short positions. The filtered extreme value methods were found to handle not only extreme quantiles but also regular ones. The analysis conducted in this thesis is intended to aid risk management, and subsequently reduce the probability of financial distress in the sector.

REIS, Felipe Alves. Essays on the role of contagion and integration in international issues of South America. Tese (doutorado). Universidade Federal do Ceará, Programa de Pós Graduação em Economia, CAEN, Fortaleza, 2017. 93f. / Submitted by Mônica Correia Aquino (monicacorreiaaquino@gmail.com) on 2017-06-02T18:24:39Z No. of bitstreams: 1 2017_tese_fareis.pdf: 2795237 bytes, checksum: 00c4108cd3b495e1f0750caf3eb39a4f (MD5) / Approved for entry into archive by Mônica Correia Aquino (monicacorreiaaquino@gmail.com) on 2017-06-02T18:25:08Z (GMT) No. of bitstreams: 1 2017_tese_fareis.pdf: 2795237 bytes, checksum: 00c4108cd3b495e1f0750caf3eb39a4f (MD5) / Made available in DSpace on 2017-06-02T18:25:08Z (GMT). No. of bitstreams: 1 2017_tese_fareis.pdf: 2795237 bytes, checksum: 00c4108cd3b495e1f0750caf3eb39a4f (MD5) Previous issue date: 2017 / The emerging economies of South America commonly attract the attention of researchers, even if for punctually different reasons among the economies in question. These economies include the strong Chilean financial market, the consolidated domestic demand of the Brazilian population, the Argentine anti-democratic convergence, the process of internal pacification in Colombia, or even the high growth rates of the Peruvian economy. In addition to this, we highlight the results of Matos, Siqueira & Trompieri (2014) that show the existence of a high level of integration and the financial contagion among the indices of Brazil, Argentina, Colombia, Chile, Peru and Venezuela. In light of these evidences, this thesis presents three essays on financial and economic data from Brazil, Argentina, Colombia, Chile and Peru. In the first essay, we analyze the risk market of these economies using the Value at Risck - VaR conditional methodology, in which the critical value that characterizes the VaR is associated to the distribution that presents the best fitting, and we incorporate the effects of the mean and the volatility, both conditional, obtained by the best-specified ARMA-GARCH model, showing that the best fitting conditional models have a smaller number of violations. The second essay presents the analysis of international reserves, conceptually following the notions of the Buffer Stock methodology, but considering the significant cross-effects of conditional volatilities, their respective spreads and intra-block importation. The results point to both a significant improvement in the explanatory power of the model and that the Brazilian reserves are the least affected by South American economies. In the last essay, we analyze some diversified portfolio options available to a Brazilian investor, who faces a scenario with no opportunities in the financial market, with the purpose of measuring gains with diversification of the position acquired in the South American market indices vis-à-vis the domestic portfolio. The results show the possibility that simple and non-dynamic portfolio composition strategies, composed only of indexes of the markets of the neighboring countries of Brazil, translate into very satisfactory results in terms of expected gain and risk. / As economias emergentes da América do Sul atraem comumente a atenção de pesquisadores, mesmo que por razões pontualmente distintas entre as economias em questão. Dentre essas economias pode-se destacar o sólido mercado financeiro chileno, a consolidada demanda interna da população brasileira, a convergência antidemocrática argentina, o processo de pacificação interna colombiana, ou mesmo as elevadas taxas de crescimento da economia peruana. Adicionalmente a isso, ressaltamos os resultados de Matos, Siqueira & Trompieri (2014) que evidenciam a existência de um elevado nível de integração e o contágio financeiro entre os índices do Brasil, Argentina, Colômbia, Chile, Peru e Venezuela. À luz dessas evidências, essa tese faz três ensaios acerca de dados financeiros e econômicos do Brasil, Argentina, Colômbia, Chile e Peru. No primeiro ensaio faz-se a análise do mercado de risco dessas economias através da metodologia Value at Risck - VaR condicional, onde o valor crítico que caracteriza o VaR foi associado à distribuição que apresentar melhor fitting e incorporamos os efeitos da média e da volatilidade, ambas condicionais, obtidas pelo arcabouço ARMA-GARCH mais bem especificado. Onde observa-se que os modelos condicionais best fitting tem uma menor quantidade de violações. No segundo ensaio, buscou a análise das reservas internacionais seguindo conceitualmente noções da metodologia Buffer Stock, porém considerando os efeitos cruzados significativos das volatilidades condicionais, dos respectivos spreads e das importações intrablocos. Os resultados apontam uma melhoria significativa no poder explicação do modelo e que as reservas brasileiras são a menos afetadas pelas economias da América do Sul. No último ensaio foi analisado as opções de carteiras diversificadas disponíveis para um investidor brasileiro, que enfrenta um cenário livre de oportunidades no mercado financeiro, com o objetivo de mensurar ganhos com diversificação da posição adquirida nos índices de mercado da América do Sul vis-à-vis um carteira doméstica. Os resultados mostram a possibilidade que estratégias de composição de carteira simples e não dinâmica, composta somente de índices dos mercados dos países vizinhos do Brasil, se traduzam em resultados muito satisfatórios em termos de ganho e risco esperados.

MAYORGA, Rodrigo de Oliveira. An application of value at risk and expected shortfall / Rodrigo de Oliveira Mayorga. - 2016. 60f. Tese (Doutorado) - Universidade Federal do Ceará, Programa de Pós Graduação em Economia, CAEN, Fortaleza, 2016. / Submitted by Mônica Correia Aquino (monicacorreiaaquino@gmail.com) on 2017-06-07T18:33:28Z No. of bitstreams: 1 2016_tese_romayorga.pdf: 23551041 bytes, checksum: c9a78d3b82daf878118fea8674fe02e8 (MD5) / Approved for entry into archive by Mônica Correia Aquino (monicacorreiaaquino@gmail.com) on 2017-06-07T18:33:45Z (GMT) No. of bitstreams: 1 2016_tese_romayorga.pdf: 23551041 bytes, checksum: c9a78d3b82daf878118fea8674fe02e8 (MD5) / Made available in DSpace on 2017-06-07T18:33:45Z (GMT). No. of bitstreams: 1 2016_tese_romayorga.pdf: 23551041 bytes, checksum: c9a78d3b82daf878118fea8674fe02e8 (MD5) Previous issue date: 2016 / The last two decades have been characterized by significant volatilities in financial world marked by few major crises, market crashes and bankruptcies of large corporations and liquidations of major financial institutions. In this context, this study considers the Extreme Value Theory (EVT), which provides well established statistical models for the computation of extreme risk measures like the Value at Risk (VaR) and Expected Shortfall (ES) and examines how EVT can be used to model tail risk measures and related confidence interval, applying it to daily log-returns on four market indices. These market indices represent the countries with greater commercial trade with Brazil for last decade (China, U.S. and Argentina). We calculate the daily VaR and ES for the returns of IBOV, SPX, SHCOMP and MERVAL stock markets from January 2nd 2004 to September 8th 2014, combining the EVT with GARCH models. Results show that EVT can be useful for assessing the size of extreme events and that it can be applied to financial market return series. We also verified that MERVAL is the stock market that is most exposed to extreme losses, followed by the IBOV. The least exposed to daily extreme variations are SPX and SHCOMP. / As duas últimas décadas têm sido caracterizadas por volatilidades significativas no mundo financeiro em grandes crises, quebras de mercado e falências de grandes corporações e liquidações de grandes instituições financeiras. Neste contexto, este estudo considera a evolução da Teoria do Valor Extremo (EVT), que proporciona modelos estatísticos bem estabelecidos para o cálculo de medidas de risco extremos, como o Value at Risk (VaR) e Espected Shortfall (ES) e examina como a EVT pode ser usada para modelar medidas de risco raros, estabelecendo intervalos de confiança, aplicando-a aos log-retornos diários a quatro índices de mercado. Estes mercados representam os países com maior intercâmbio comercial com o Brasil (China, U.S. e Argentina). Calculamos o VaR e ES diários dos índices IBOV, SPX, SHCOMP e MERVAL, com dados diários entre de 02 de janeiro de 2004 e 08 de setembro de 2014, combinando a EVT com modelos GARCH. Os resultados mostram que EVT pode ser útil para avaliar o tamanho de eventos extremos e que ele pode ser aplicado a séries de retorno do mercado financeiro. Verifica-se ainda que MERVAL é o mercado de ações que está mais exposta a perdas extremas, seguido do IBOV. Os menos expostos a variações extremas diárias são SPX e SHCOMP.

FERREIRA, Antonio Glênio Moura. Gestão de risco das principais tesourarias de fundos de investimento em ações no Brasil. 2014. 74 f. Dissertação (Mestrado Profissional) - Programa de Pós Graduação em Economia, CAEN, Universidade Federal do Ceará, Fortaleza-CE, 2014. / Submitted by Mônica Correia Aquino (monicacorreiaaquino@gmail.com) on 2014-11-26T19:15:33Z No. of bitstreams: 1 2014_dissert_agmferreira.pdf: 4707768 bytes, checksum: f18c9c30d647c9b0285c6569738e1f47 (MD5) / Approved for entry into archive by Mônica Correia Aquino(monicacorreiaaquino@gmail.com) on 2014-11-26T19:15:47Z (GMT) No. of bitstreams: 1 2014_dissert_agmferreira.pdf: 4707768 bytes, checksum: f18c9c30d647c9b0285c6569738e1f47 (MD5) / Made available in DSpace on 2014-11-26T19:15:47Z (GMT). No. of bitstreams: 1 2014_dissert_agmferreira.pdf: 4707768 bytes, checksum: f18c9c30d647c9b0285c6569738e1f47 (MD5) Previous issue date: 2014 / This study aims to examine empirically the behavior of the model for measuring market risk Value at Risk - VaR in its parametric interpretation unconditional Gaussian and extensions that regulate violations on heteroscedasticity and non-normality of daily returns of investment funds Actions, of the thirteen largest financial institutions resident in Brazil, during the January/06 dezembro/12. For a better evaluation of the data, we sought to initially model the conditional evolution of risk and adjust the statistic al idiosyncrasy of temporal series of thirteen treasuries, using probability distributions that best adapt to the analysis of the models. The results obtained with the semodels are analyzed by the test failure rate proposed by Kupiec (1995) and Chisttoffersen (1998). The survey also shows, with graphic examples, a performance Risk - Return of the thirteen banks using the methodology proposed by Balzer. / O presente trabalho busca analisar, empiricamente, o comportamento do modelo de mensuração de risco de mercado Value-at-Risk – VaR em sua interpretação paramétrica gaussiana incondicional e extensões que regulam as violações sobre a não normalidade e a heterocedasticidade dos retornos diários dos fundos de investimentos em Ações, das treze maiores instituições financeiras residentes no Brasil, durante o período de janeiro/06 a dezembro/12. Para uma melhor avaliação dos dados, buscou-se, inicialmente, modelar a evolução condicional do risco e ajustar a idiossincrasia estatística das séries temporais das treze tesourarias, utilizando distribuições de probabilidade que mais se adaptassem à análise dos modelos. Os resultados obtidos com esses modelos são analisados à luz do teste para proporção de falhas proposto por Kupiec (1995) e Chisttoffersen (1998). A pesquisa ainda apresenta, com exemplos gráficos, uma análise de desempenho Risco – Retorno dos treze bancos utilizando a metodologia proposta por Balzer.

This study was designed to explore the elements that influence the identification of young children that might be considered at-risk for early school failure. To this end, guided by complexity theory, the study sought to examine (a) system requirements and expectations at the provincial and school board levels, (b) current practice in schools and classrooms, and (c) the beliefs and knowledge of individuals surrounding the assessment and identification of at-risk students in Kindergarten. Using a qualitative, case-study approach 23 individuals from two different school boards in Ontario were interviewed to explore both practice and beliefs. Review of relevant provincial and school board documents as well as artifacts that were gathered during school visits provided further information. While there were some differences in details, the findings were similar in the two boards. In describing which characteristics were of concern when considering an at-risk designation, most participants cited social, emotional, and behavioural difficulties. While both school boards required tracking and assessment of literacy skills, teachers and ECEs concentrated more on ongoing observations and anecdotal notes to determine student progress. Interventions for students at-risk were more often provided for students with academic difficulties. However, there was also some support for behaviour difficulties in terms of consultation from special education personnel in one board and an early intervention team in the other. It was clear from the findings that many elements influence the identification of a student as at-risk including the characteristics of the student, the student’s family, and the particular classroom, school, and board the student attends. The study findings contribute to our understanding of practice and beliefs around young student at-risk and how the interactions of the various elements involved impact the identification of individual students.

A mensuração do risco de um investimento é uma das mais importantes etapas para a tomada de decisão de um investidor. Em virtude disto, este trabalho comparou três métodos de estimação (tradicional, através da analise univariada dos retornos do portfólio; cópulas estáticas e cópulas dinâmicas) de duas medidas de risco: Value at Risk (VaR) e Expected Shortfall (ES). Tais medidas foram estimadas para o portfólio composto pelos índices BOVESPA e S&P500 no período de janeiro de 1998 a maio de 2012. Para as modelagens univariadas, incluindo as marginais das cópulas, foram comparados os modelos GARCH e EGARCH. Para cada modelo univariado, utilizamos as cópulas Normal, t-Student, Gumbel rotacionada e Joe-Clayton simetrizada, com isso totalizando 36 modelos comparados. Nas comparações do VaR e ES foram utilizados, respectivamente, o teste de Chritoffersen e o teste de Mcneil e Frey. Os principais resultados encontrados foram a superioridade de modelos que supõem erros com distribuição t-Student, assim como a identificação de mudança no comportamento dos parâmetros dinâmicos nos períodos de crise. / Measuring the risk of an investment is one of the most important steps in an investor's decision-making. With this in light, this study compared three estimation methods (traditional; by univariate analysis of portfolio returns; dynamic copulas and static copulas), of two risk measurements: Value at Risk (VaR) and Expected Shortfall (ES). Such estimated measures are performed for a portfolio composed by the BOVESPA and S&P500 indexes, ranging from January 1998 to May 2012. For univariate modelling (including copulas marginals), the GARCH and EGARCH models were compared,. Regarding copulas, we use Normal, t-Student, rotated Gumbel and symmetric Joe-Clayton, leading to a total of 36 models being compared. For the comparison of VaR and ES were used, respectively, the Christoffersen test, and the Mcneil and Frey test. The main results found were the superiority of models assuming the t-Student distributed errors, as well as the identification of a change in the behaviour of dynamic parameters in periods of crisis.