Cette thèse traite la contribution des méthodes d'ondelettes sur la modélisation des séries temporelles économiques et financières et se compose de deux parties: une partie univariée et une partie multivariée. Dans la première partie (chapitres 2 et 3), nous adoptons le cas univarié. Premièrement, nous examinons la classe des processus longue mémoire non-stationnaires. Une étude de simulation a été effectuée afin de comparer la performance de certaines méthodes d'estimation semi-paramétrique du paramètre d'intégration fractionnaire. Nous examinons aussi la mémoire longue dans la volatilité en utilisant des modèles FIGARCH pour les données de l'énergie. Les résultats montrent que la méthode d'estimation Exact Local Whittle de Shimotsu et Phillips [2005] est la meilleure méthode de détection de longue mémoire et la volatilité du pétrole exhibe une forte évidence de phénomène de mémoire longue. Ensuite, nous analysons le risque de marché des séries de rendements univariées de marchés boursier, qui est mesurée par le risque systématique (bêta) à différents horizons temporels. Les résultats montrent que le Bêta n'est pas stable, en raison de multi-trading stratégies des investisseurs. Les résultats basés sur l'analyse montrent que le risque mesuré par la VaR est plus concentrée aux plus hautes fréquences. La deuxième partie (chapitres 4 et 5) traite l'estimation de la variance et la corrélation conditionnelle des séries temporelles multivariées. Nous considérons deux classes de séries temporelles: les séries temporelles stationnaires (rendements) et les séries temporelles non-stationnaires (séries en niveaux). / This thesis deals with the contribution of wavelet methods on modeling economic and financial time series and consists of two parts: the univariate time series and multivariate time series. In the first part (chapters 2 and 3), we adopt univariate case. First, we examine the class of non-stationary long memory processes. A simulation study is carried out in order to compare the performance of some semi-parametric estimation methods for fractional differencing parameter. We also examine the long memory in volatility using FIGARCH models to model energy data. Results show that the Exact local Whittle estimation method of Shimotsu and Phillips [2005] is the better one and the oil volatility exhibit strong evidence of long memory. Next, we analyze the market risk of univariate stock market returns which is measured by systematic risk (beta) at different time horizons. Results show that beta is not stable, due to multi-trading strategies of investors. Results based on VaR analysis show that risk is more concentrated at higher frequency. The second part (chapters 4 and 5) deals with estimation of the conditional variance and correlation of multivariate time series. We consider two classes of time series: the stationary time series (returns) and the non-stationary time series (levels). We develop a novel approach, which combines wavelet multi-resolution analysis and multivariate GARCH models, i.e. the wavelet-based multivariate GARCH approach. However, to evaluate the volatility forecasts we compare the performance of several multivariate models using some criteria, such as loss functions, VaR estimation and hedging strategies.

Grasses of the genera Brachiaria and Cynodon are some of the most important pasture introductions in Brazil. Convert HD 364 brachiariagrass, a new Brachiaria hybrid, was released as an option for a broad range of environmental conditions, high nutritive value and forage production. Forage-based livestock systems are complex and interactions among animals, plants, and the environment exist at several levels of complexity, which can be evaluated using computer modeling. Herbage accumulation, crude protein (CP), neutral detergent fiber (NDF), in vitro organic matter digestibility (IVOMD), plant-part composition, leaf photosynthesis, leaf area index (LAI), and light interception (LI) were evaluated as affected by two harvest frequency (28 and 42-days), irrigated and rainfed in a clipping study from April 2011 to April 2013, contrasting Convert HD 364® brachiariagrass (Brachiaria hybrid CIAT 36061), Marandu palisadegrass {Brachiaria brizantha (Hochst. ex A. Rich.) R. D. Webster [syn. Urochloa brizantha (A. Rich.) Stapf]; CIAT 6297}, and Tifton 85 bermudagrass (Cynodon spp.). The experimental design for both the irrigated and the rainfed trials was a randomized complete block with four replications. Convert HD 364 had similar or higher annual herbage accumulation, seasonal yield and herbage accumulation rate than Marandu and Tifton 85, (15% more herbage accumulation than Marandu and 12% more than Tifton 85 when irrigated and when harvested at shorter regrowth intervals). Convert HD 364 had good seasonal distribution of total annual herbage produced and accumulates about 30% of the total herbage mass during the cool season in Piracicaba, similar to Marandu. Tifton 85 produced around 20% of its average annual yield during dry season. Tifton 85 forage had higher CP concentration than the other two grasses when harvested at shorter intervals and when irrigated. The NDF concentration in Convert HD 364 was lower than in the other grasses regardless of irrigation treatment, harvest frequency, and season of the year, resulting in high IVOMD (more than 650 g kg-1), similar to that of Marandu. Regard to CROPGRO calibration, in general the model performance was good for the three grasses. Leaf and stem weight simulations were improved, due to increase partitioning to stem for low harvest frequencies. The LAI and LI were well performed by the model, showing increase for lower harvest frequency, with exception to Tifton 85. Under rainfed conditions, the simulations using the Penman-Monteith-FAO 56 method gave more realistic water stress responses than using the Priestley and Taylor method. Calibration results suggest that the CROPGRO - Perennial Forage Model can be used to adequately simulate growth of Marandu, Convert HD 364, and Tifton 85 under irrigated and rainfed conditions, being able to simulate different harvest frequency managements. / As gramíneas do gênero Brachiaria e Cynodon são algumas das pastagens cultivadas introduzidas no Brasil de maior importância. Convert HD 364, um novo híbrido de Brachiaria, foi lançado como uma opção para uso numa ampla gama de condições ambientais, com alto valor nutritivo e produção de forragem. Sistemas pecuários em pastagens são complexos e as interações entre os animais, as plantas e o meio ambiente existem em vários níveis de complexidade, que podem ser avaliados utilizando modelagem computacional. Acúmulo de forragem, proteína bruta (PB), fibra em detergente neutro (FDN), digestibilidade in vitro da matéria orgânica (DIVMO), a composição morfológica da planta, fotossíntese foliar, índice de área foliar (IAF) e interceptação luminosa (IL) foram avaliados em resposta à duas frequências de colheita (28 e 42 dias), irrigada e não irrigada, em um estudo com parcelas colhidas mecanicamente a partir de abril de 2011 até abril de 2013, contrastando os capins Convert HD 364® (Brachiaria híbrida CIAT 36061), Marandu {Brachiaria brizantha (Hochst. ex A. Rich.) RD Webster [syn. Urochloa brizantha (A. Rich.) Stapf]; CIAT 6297} e Tifton 85 (Cynodon spp.). O delineamento experimental utilizado tanto para o irrigado quanto para o não irrigado foi de blocos casualizados, com quatro repetições. Convert HD 364 teve acúmulo de forragem anual, produção sazonal de forragem e taxa de acúmulo de forragem semelhante ou superior ao Marandu e Tifton 85, (acúmulo de forragem 15% maior do que Marandu e 12% maior do que o Tifton 85, quando irrigado e colhido em intervalos de rebrotação mais curtos). Convert HD 364 teve boa distribuição sazonal de forragem total do ano, produzindo cerca de 30% da massa total de forragem durante a estação fria, em Piracicaba, semelhante ao Marandu. Tifton 85 produziu cerca de 20% do seu rendimento médio anual durante a estação fria. Tifton 85 teve PB maior do que as outras duas gramíneas, quando colhidas em intervalos mais curtos e quando irrigadas. A concentração de FDN em Convert HD 364 foi menor do que nas outras gramíneas, independentemente da irrigação, da frequência de colheita e das estações do ano, resultando em alta DIVMO (mais de 650 g kg-1), semelhante à do capim Marandu. Em relação à calibração do CROPGRO, em geral, o desempenho do modelo foi bom para as três gramíneas. Simulações de massa de folha e colmo foram melhoradas para os capins, devido ao aumento na partição de assimilados direcionados para colmo em condição de baixa freqüência de colheita. O IAF e IL foram bem simulados pelo modelo, mostrando aumento com a diminuição da freqüência de colheita, com exceção do Tifton 85. Em condição não irrigada, as simulações utilizando o método de Penman -Monteith - FAO 56 deram respostas mais realistas de estresse hídrico do que usando o método de Priestley e Taylor. Os resultados da calibração sugerem que o modelo CROPGRO - forragem perene pode ser usado para simular adequadamente o crescimento de Marandu, Convert HD 364 e Tifton 85 sob condições irrigadas e não irrigada, sendo capaz de simular diferentes manejos de frequência de desfolhação.

Grasses of the genera Brachiaria and Cynodon are some of the most important pasture introductions in Brazil. Convert HD 364 brachiariagrass, a new Brachiaria hybrid, was released as an option for a broad range of environmental conditions, high nutritive value and forage production. Forage-based livestock systems are complex and interactions among animals, plants, and the environment exist at several levels of complexity, which can be evaluated using computer modeling. Herbage accumulation, crude protein (CP), neutral detergent fiber (NDF), in vitro organic matter digestibility (IVOMD), plant-part composition, leaf photosynthesis, leaf area index (LAI), and light interception (LI) were evaluated as affected by two harvest frequency (28 and 42-days), irrigated and rainfed in a clipping study from April 2011 to April 2013, contrasting Convert HD 364® brachiariagrass (Brachiaria hybrid CIAT 36061), Marandu palisadegrass {Brachiaria brizantha (Hochst. ex A. Rich.) R. D. Webster [syn. Urochloa brizantha (A. Rich.) Stapf]; CIAT 6297}, and Tifton 85 bermudagrass (Cynodon spp.). The experimental design for both the irrigated and the rainfed trials was a randomized complete block with four replications. Convert HD 364 had similar or higher annual herbage accumulation, seasonal yield and herbage accumulation rate than Marandu and Tifton 85, (15% more herbage accumulation than Marandu and 12% more than Tifton 85 when irrigated and when harvested at shorter regrowth intervals). Convert HD 364 had good seasonal distribution of total annual herbage produced and accumulates about 30% of the total herbage mass during the cool season in Piracicaba, similar to Marandu. Tifton 85 produced around 20% of its average annual yield during dry season. Tifton 85 forage had higher CP concentration than the other two grasses when harvested at shorter intervals and when irrigated. The NDF concentration in Convert HD 364 was lower than in the other grasses regardless of irrigation treatment, harvest frequency, and season of the year, resulting in high IVOMD (more than 650 g kg-1), similar to that of Marandu. Regard to CROPGRO calibration, in general the model performance was good for the three grasses. Leaf and stem weight simulations were improved, due to increase partitioning to stem for low harvest frequencies. The LAI and LI were well performed by the model, showing increase for lower harvest frequency, with exception to Tifton 85. Under rainfed conditions, the simulations using the Penman-Monteith-FAO 56 method gave more realistic water stress responses than using the Priestley and Taylor method. Calibration results suggest that the CROPGRO - Perennial Forage Model can be used to adequately simulate growth of Marandu, Convert HD 364, and Tifton 85 under irrigated and rainfed conditions, being able to simulate different harvest frequency managements. / As gramíneas do gênero Brachiaria e Cynodon são algumas das pastagens cultivadas introduzidas no Brasil de maior importância. Convert HD 364, um novo híbrido de Brachiaria, foi lançado como uma opção para uso numa ampla gama de condições ambientais, com alto valor nutritivo e produção de forragem. Sistemas pecuários em pastagens são complexos e as interações entre os animais, as plantas e o meio ambiente existem em vários níveis de complexidade, que podem ser avaliados utilizando modelagem computacional. Acúmulo de forragem, proteína bruta (PB), fibra em detergente neutro (FDN), digestibilidade in vitro da matéria orgânica (DIVMO), a composição morfológica da planta, fotossíntese foliar, índice de área foliar (IAF) e interceptação luminosa (IL) foram avaliados em resposta à duas frequências de colheita (28 e 42 dias), irrigada e não irrigada, em um estudo com parcelas colhidas mecanicamente a partir de abril de 2011 até abril de 2013, contrastando os capins Convert HD 364® (Brachiaria híbrida CIAT 36061), Marandu {Brachiaria brizantha (Hochst. ex A. Rich.) RD Webster [syn. Urochloa brizantha (A. Rich.) Stapf]; CIAT 6297} e Tifton 85 (Cynodon spp.). O delineamento experimental utilizado tanto para o irrigado quanto para o não irrigado foi de blocos casualizados, com quatro repetições. Convert HD 364 teve acúmulo de forragem anual, produção sazonal de forragem e taxa de acúmulo de forragem semelhante ou superior ao Marandu e Tifton 85, (acúmulo de forragem 15% maior do que Marandu e 12% maior do que o Tifton 85, quando irrigado e colhido em intervalos de rebrotação mais curtos). Convert HD 364 teve boa distribuição sazonal de forragem total do ano, produzindo cerca de 30% da massa total de forragem durante a estação fria, em Piracicaba, semelhante ao Marandu. Tifton 85 produziu cerca de 20% do seu rendimento médio anual durante a estação fria. Tifton 85 teve PB maior do que as outras duas gramíneas, quando colhidas em intervalos mais curtos e quando irrigadas. A concentração de FDN em Convert HD 364 foi menor do que nas outras gramíneas, independentemente da irrigação, da frequência de colheita e das estações do ano, resultando em alta DIVMO (mais de 650 g kg-1), semelhante à do capim Marandu. Em relação à calibração do CROPGRO, em geral, o desempenho do modelo foi bom para as três gramíneas. Simulações de massa de folha e colmo foram melhoradas para os capins, devido ao aumento na partição de assimilados direcionados para colmo em condição de baixa freqüência de colheita. O IAF e IL foram bem simulados pelo modelo, mostrando aumento com a diminuição da freqüência de colheita, com exceção do Tifton 85. Em condição não irrigada, as simulações utilizando o método de Penman -Monteith - FAO 56 deram respostas mais realistas de estresse hídrico do que usando o método de Priestley e Taylor. Os resultados da calibração sugerem que o modelo CROPGRO - forragem perene pode ser usado para simular adequadamente o crescimento de Marandu, Convert HD 364 e Tifton 85 sob condições irrigadas e não irrigada, sendo capaz de simular diferentes manejos de frequência de desfolhação.

Le but de ce travail est de fournir des informations qui peuvent aider à clarifier le mécanisme par lequel se produit la précipitation d’asphaltènes afin d'optimiser les modèles qui prédisent ce phénomène. Premièrement, la composition chimique des fractions aromatiques et saturées est analysée au regard à la stabilité des asphaltènes dans le brut. Plus précisément, la composition SARA de différents bruts vénézuéliens est corrélée au seuil de floculation des asphaltènes. Nos résultats mettent en évidence que les saturées, semblables aux résines, ont un effet significatif sur la stabilité des asphaltènes dans le brut. Deuxièmement, la teneur en Ni et V dans les asphaltènes et leurs sous fractions A1 et A2 a été déterminé par spectroscopie d'émission atomique avec plasma inductif. Les données expérimentales établissent que A1 a une concentration en V et en Ni supérieure à celle de A2, quelque soit la stabilité des bruts. Nous interprétons ces données comme l’illustration d’interactions fortes, telles que des liaisons covalentes entre pétroporphyrines et les molécules d’asphaltènes. Finalement, un dispositif haut pression est utilisé pour détecter visuellement la pression seuil de floculation d'un système modèle correspondant à une solution d’asphaltènes dans un mélange toluène/heptane/CO2. Les résultats confirment, pour ces systèmes gazés, que les augmentations de pression conduisent à une augmentation de la solubilité des asphaltènes et que pour la température il y a deux régimes opposés. Le premier correspond à une diminution de la stabilité du fluide avec l’augmentation de la température et le second, passé une valeur seuil proche de 80°C, conduit au phénomène inverse. / The purpose of this work is to provide information that can help in clarifying the mechanism by which asphaltene precipitation occurs in order to optimize the models that predict the phenomenon. The study is divided into three chapters. In the first one, the constituents of aromatic and saturate fractions of some Venezuelan crude oils were associated with the asphaltenes stability. SARA composition was correlated with asphaltene flocculation onsets and the results showed that saturates, similar to resins, have a significant effect on the flocculation process of the asphaltenes. In the second chapter, the concentration of Ni and V was determined in asphaltenes and their fractions A1 and A2. The samples were analyzed using inductively coupled plasma atomic emission spectrometry and elemental combustion analysis. Results show that A1 presents higher Ni and V concentrations than A2, in both stable and unstable crude oils. These results can be explained by strong interactions, such as covalent bonds between the petroporphyrins and the asphaltene molecules. In the final section, the asphaltenes phase envelopes were obteined for a system consisting of asphaltene in a mixture toluene/heptane/CO2. The temperature ranges 10-150 °C with varying concentrations of CO2 between 10 and 20 wt%. The experimental results confirm that increase of pressure leads to increase of solubility of the asphaltenes in the medium. Also, there are two temperature regimes having opposite trends. First, the solubility of the asphaltenes increases with the temperature, then after a threshold value of 80 °C, the stability is getting worse with the temperature

The Niger Delta militancy ravaged the Nigerian upstream petroleum sector between 2004-2009, bringing it to a standstill. In response, the Nigerian state adopted an amnesty policy―a globally recognized tool for conflict resolution and peacebuilding―to protect the sector and the economy from collapse. Little is known, however, about the unintended consequences of the amnesty implementation for the Nigerian upstream petroleum sector. Thus, the purpose of this study was to fill this gap in the research literature on the Niger Delta amnesty program. Polarity management was the conceptual framework applied; relative deprivation and polarities of democracy constituted the theoretical foundation for this qualitative case study. Face-to-face interviews and focus group discussions were conducted with 29 purposefully selected participants from the senior ranks of the petroleum industry, sector trade unions, relevant government agencies, and a regional university. Data were inductively coded as part of content analysis, the data analysis strategy. Participants viewed the amnesty policy as being poorly conceived and implemented due to the many unintended negative consequences arising from the policy implementation. The key finding from the study indicates that both the sector and the Niger Delta region are worse off post the amnesty policy implementation. The study concludes that by adopting and implementing the study recommendations, stakeholders may be able to mitigate the identified unintended consequences, position the Nigerian upstream petroleum sector for sustainable growth, address the root causes of the militancy, and deliver a positive social change for the residents of Niger Delta.

Allocating production volumes across a portfolio of producing assets is a complex optimization problem. Each producing asset possesses different technical attributes (e.g. crude type), facility constraints, and costs. In addition, there are corporate objectives and constraints (e.g. contract delivery requirements). While complex, such a problem can be specified and solved using conventional deterministic optimization methods. However, there is often uncertainty in many of the inputs, and in these cases the appropriate approach is neither obvious nor straightforward. One of the major uncertainties in the oil and gas industry is the commodity price assumption(s). This paper investigates this problem in three major sections: (1) We specify an integrated stochastic optimization model that solves for the optimal production allocation for a portfolio of producing assets when there is uncertainty in commodity prices, (2) We then compare the solutions that result when different price models are used, and (3) We perform a value of information analysis to estimate the value of more accurate price models. The results show that the optimum production allocation is a function of the price model assumptions. However, the differences between models are minor, and thus the value of choosing the “correct” price model, or similarly of estimating a more accurate model, is small. This work falls in the emerging research area of decision-oriented assessments of information value. / text

No description available.

The need for energy and the associated economic benefits from the oil and gas deposits found mainly in the Niger Delta region of Nigeria necessitated the exploration and exploitation activities being carried out by the oil and gas Companies. However, these exploration and exploitation activities due to their unpredictable nature have a huge potential for environmental pollution as been experienced in the form of oil spills, gas flaring, irresponsible disposal of waste and several other activities that have resulted in the environmental degradation of the Niger Delta region. In the light of these, the Federal Government of Nigeria having experienced the consequences of pollution of the environment during the Koko Toxic Waste Dump incident in the then Bendel State in 1987 established a regulatory body tasked with the responsibility of harmonizing the economic interest from the oil and gas exploration and exploitation activities with the sustainability of the natural environment by developing well structured and articulated policies aimed at guiding the operations of the oil and gas operators, track their compliance and administer appropriate punitive measures for non compliance. However, this research work which is aimed at evaluating the impact of the environmental protection policies in upstream oil and gas activities in the Niger Delta region, involved the use of questionnaires and interviews. These questionnaires were completed by the management and staff of three major oil and gas companies operating within the area, the Department of Petroleum Resources and members of the Host communities. The interview was carried out to provide relevant feedback on their assessment of the impact made by the environmental protection policies on the upstream oil and gas activities in their operational areas/host communities. The study however concluded that “Although there is a regulatory body tasked with the responsibility to develop, implement and track compliance of the environmental protection policies in the upstream oil industry, the body is ineffective and as such the impact of the environmental protection policies is inadequate. Appropriate informed recommendations on the improvement strategies to the identified gaps that resulted in the unfavorable conditions were also provided. / Thesis (M.Ing. (Development and Management Engineering))--North-West University, Potchefstroom Campus, 2011

The need for energy and the associated economic benefits from the oil and gas deposits found mainly in the Niger Delta region of Nigeria necessitated the exploration and exploitation activities being carried out by the oil and gas Companies. However, these exploration and exploitation activities due to their unpredictable nature have a huge potential for environmental pollution as been experienced in the form of oil spills, gas flaring, irresponsible disposal of waste and several other activities that have resulted in the environmental degradation of the Niger Delta region. In the light of these, the Federal Government of Nigeria having experienced the consequences of pollution of the environment during the Koko Toxic Waste Dump incident in the then Bendel State in 1987 established a regulatory body tasked with the responsibility of harmonizing the economic interest from the oil and gas exploration and exploitation activities with the sustainability of the natural environment by developing well structured and articulated policies aimed at guiding the operations of the oil and gas operators, track their compliance and administer appropriate punitive measures for non compliance. However, this research work which is aimed at evaluating the impact of the environmental protection policies in upstream oil and gas activities in the Niger Delta region, involved the use of questionnaires and interviews. These questionnaires were completed by the management and staff of three major oil and gas companies operating within the area, the Department of Petroleum Resources and members of the Host communities. The interview was carried out to provide relevant feedback on their assessment of the impact made by the environmental protection policies on the upstream oil and gas activities in their operational areas/host communities. The study however concluded that “Although there is a regulatory body tasked with the responsibility to develop, implement and track compliance of the environmental protection policies in the upstream oil industry, the body is ineffective and as such the impact of the environmental protection policies is inadequate. Appropriate informed recommendations on the improvement strategies to the identified gaps that resulted in the unfavorable conditions were also provided. / Thesis (M.Ing. (Development and Management Engineering))--North-West University, Potchefstroom Campus, 2011

Thesis (Master of Military Studies)-Marine Corps Command and Staff College, 2008. / Title from title page of PDF document (viewed on: Dec 29, 2009). Includes bibliographical references.