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The relationship between carry trade currencies and equity markets, during the 2003-2012 time periodDumitrescu, Andrei, Tuovila, Antti January 2013 (has links)
One of the most popular investment and trading strategies over the last decade, has been the currency carry trade, which allows traders and investors to buy high-yielding currencies in the Foreign Exchange spot market by borrowing, low or zero interest rate currencies in the form of pairs, such as the Australian Dollar/Japanese Yen (AUD/JPY), with the purpose of investing the proceeds afterwards into fixed-income securities.To be able to determine the causality between the returns of equity markets and the foreign exchange market, we choose to observe the sensitivity and influence of two equity indexes on several pairs involved in carry trading. The reason for studying these relationships is to further explain the causes of the uncovered interest parity puzzle, thus adding our contribution to the academic field through this thesis.To accomplish our goals, data was gathered for daily quotes of 16 different currency pairs, grouped by interest differentials, and two equity indexes, the S&P 500 and FTSE All-World, along with data for the VIX volatility index, for the 2003-2012 period. The data was collected from Thomson Reuters Datastream and the selected ten year span was divided into three different periods. This was done in order to discover the differences on how equity indexes relate to typical carry trade currency pairs, depending on market developments before, during and after the world financial crisis.The tests conducted on the collected data measured the correlations, influences and sensitivity for the 16 different currency pairs with the S&P 500 Index, the FTSE All-World index, and the volatility index between the years of 2003-2012. For influences and sensitivity, we performed Maximum Likelihood (ML) regressions with Generalized Autoregressive Conditional Heteroscedasticity (GARCH) [1,1], in Eviews software.After analyzing the results, we found that, during our chosen time period, the majority of currency pair daily returns are positively correlated with the equity indexes and that the FX pairs show greater correlation with the FTSE All-World, than with the S&P 500. Factors such as the interest rate of a currency and the choice of funding currency played an important role in the foreign exchange markets, during the ten year time span, for every yield group of FX pairs.Regarding the influence and sensitivity between currency pairs and the S&P 500 with its VIX index, we found that our models explanatory power seems to be stronger when the interest rate differential between the currency pairs is smaller. Our regression analysis also uncovered that the characteristics of an individual currency can show noticeable effects for the relationship between its pair and the two indexes.
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Preisrisikomanagement im liberalisierten deutschen StrommarktBorgmann, Eberhard 15 July 2009 (has links) (PDF)
Die Entwicklung liberalisierter Strommärkte bis hin zum Handel an Kassa- und Terminbörsen wird anhand der Beispiele der USA, Skandinaviens und Deutschlands dargestellt. Wesentliche Merkmale ausländischer Strommärkte lassen sich auf den seit 1998 liberalisierten deutschen Markt übertragen. Kern der Arbeit ist die Gestaltung eines Preisrisikomanagementkonzeptes für den Strommarkt. In diesem Zusammenhang wird der Cost-of-Carry-Ansatz zur Bewertung von Warentermingeschäften um eine Komponente des thermischen Wirkungsgrades von fossilen Kraftwerken ergänzt und somit eine Übertragbarkeit des Konzeptes auf den Strombereich vorgeschlagen. Da die Kenntnisse der Preisprozesse für das Risikomanagement im Strombereich unverzichtbar sind, wird eine Analyse der Spotpreise an der Leipziger Strombörse durchgeführt.
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Nichtparametrische Cross-Over-Verfahren / Nonparametric applications for the cross-over-designKulle, Bettina 30 January 2002 (has links)
No description available.
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Assessing the Effect of Prior Distribution Assumption on the Variance Parameters in Evaluating Bioequivalence TrialsUjamaa, Dawud A. 02 August 2006 (has links)
Bioequivalence determines if two drugs are alike. The three kinds of bioequivalence are Average, Population, and Individual Bioequivalence. These Bioequivalence criteria can be evaluated using aggregate and disaggregate methods. Considerable work assessing bioequivalence in a frequentist method exists, but the advantages of Bayesian methods for Bioequivalence have been recently explored. Variance parameters are essential to any of theses existing Bayesian Bioequivalence metrics. Usually, the prior distributions for model parameters use either informative priors or vague priors. The Bioequivalence inference may be sensitive to the prior distribution on the variances. Recently, there have been questions about the routine use of inverse gamma priors for variance parameters. In this paper we examine the effect that changing the prior distribution of the variance parameters has on Bayesian models for assessing Bioequivalence and the carry-over effect. We explore our method with some real data sets from the FDA.
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Dynamics of disease : origins and ecology of avian cholera in the eastern Canadian arctic2015 October 1900 (has links)
Avian cholera, caused by infection with Pasteurella multocida, is an important infectious disease of wild birds in North America Since it was first confirmed in 2005, annual outbreaks of avian cholera have had a dramatic effect on common eiders on East Bay Island, Nunavut, one of the largest breeding colonies of northern common eiders (Somateria mollissima borealis) in the eastern Arctic. I investigated potential avian and environmental reservoirs of P. multocida on East Bay Island and other locations in the eastern Canadian Arctic by collecting cloacal and oral swabs from live or harvested, apparently healthy, common eiders, lesser snow geese, Ross’s geese, king eiders, herring gulls, and snow buntings. Water and sediment from ponds on East Bay Island were sampled before and during outbreaks. Avian and environmental samples were tested using a real-time polymerase chain reaction (PCR) assay to detect P. multocida. PCR positive birds were found in every species except for snow buntings, and PCR positive common eiders were found in most locations, supporting the hypothesis that apparently healthy wild birds can act as a reservoir for avian cholera. In all years, P. multocida DNA was detected in ponds both before and after the avian cholera outbreak began each year, suggesting that the environment also plays a role in outbreak dynamics. Contrary to our expectations, model results revealed that ponds were generally more likely to be positive earlier in the season, before the outbreaks began. Whereas average air temperature at the beginning of the breeding season was not an important predictor for detecting P. multocida in ponds, eiders were more likely to be PCR positive under cooler conditions, pointing to an important link between disease and weather. Potential origins of P. multocida causing avian cholera in Arctic eider colonies were investigated by comparing eastern Arctic isolates of P. multocida to isolates from wild birds across Canada, and the central flyway in the United States. Using repetitive extragenic palindromic-PCR (REP-PCR) and multi-locus sequence typing (MLST), we detected a low degree of genetic diversity among isolates, and P. multocida genotypes were correlated with somatic serotype. Isolates from East Bay Island were distinct from P. multocida from eider colonies in the St. Lawrence Estuary, Quebec, however, East Bay Island isolates were indistinguishable from isolates collected from a 2007 pelagic avian cholera outbreak on the east coast of Canada. Isolates from East Bay Island and Nunavik shared sequence types, indicating possible transmission of isolates among eider colonies in the eastern Arctic. Previously, feather corticosterone in eiders was found to be significantly associated with environmental temperature during the moulting period. In my study, path analysis revealed that environmental conditions experienced during the moulting period had direct impacts on arrival date and pre-breeding body condition of common eiders during the subsequent breeding period on East Bay Island, with indirect impacts on both reproductive success and survival. Higher temperatures experienced during the fall moulting period appear to impose significant costs to eiders, with subsequent carry-over effects on both survival and reproduction many months later during avian cholera outbreaks. This thesis describes several important features of the host, agent and environmental dynamics of avian cholera in North America with a particular focus on the disease in the eastern Canadian Arctic. Continued exploration of infectious wildlife disease dynamics is needed to better predict, detect, manage, and mitigate disease emergence that can threaten human and animal health and species conservation.
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Understanding the cost of carry in Nikkei 225 stock index futures markets : mispricing, price and volatility dynamicsQin, Jieye January 2017 (has links)
This dissertation studies the cost of carry relationship and the international dynamics of mispricing, price and volatility in the three Nikkei futures markets - the Osaka Exchange (OSE), the Singapore Exchange (SGX) and the Chicago Mercantile Exchange (CME). Previous research does not fully consider the unique characteristics of the triple-listed Nikkei futures contracts, or the price and volatility dynamics in the three Nikkei futures exchanges at the same time. This dissertation makes a significant contribution to the existing literature. In particular, with a comprehensive new 19-year sample period, this dissertation helps deepen the understanding of the Nikkei spot-futures equilibrium and arbitrage behaviour, cross-border information transmission mechanism, and futures market integration. The first topic of the dissertation is to study the cost of carry relationship, mispricing and index arbitrage in the three Nikkei markets. The standard cost of carry model is adjusted for each Nikkei futures contract by allowing for the triple-listing nature and key institutional differences. Based on this, the economic significance of the Nikkei mispricing is explored in the presence of transaction costs. The static behaviour of the mispricing suggests that it is difficult especially for institutional investors to make arbitrage profits in the OSE and SGX, and that index arbitrage in the CME is not strictly risk-free due to the exchange rate effect. Smooth transition models are used to study the dynamic behaviour of the mispricing in the three markets. The results show that mean reversion in mispricing and limits to arbitrage are driven more by transaction costs than by heterogeneous arbitrageurs in the Nikkei markets. The second topic of the dissertation is to investigate the price discovery process in individual Nikkei markets and across the Nikkei futures markets. With smooth transition error correction models, this dissertation reports the leading role of the futures prices in the pre-crisis period and the leading role of the spot prices in the post-crisis period, in the first-moment information transmission process. Moreover, there is evidence of asymmetric adjustments in the Nikkei prices and volatilities. The cross-border dynamics suggest that the foreign Nikkei markets (the CME and SGX) act as the main price discovery vehicle, which implies the key functions of the equivalent, offshore markets in futures market globalisation. The third topic of the dissertation is to study the volatility transmission process in individual Nikkei markets and across the Nikkei futures markets, from the perspectives of the volatility interactions in and across the Nikkei markets and of the dynamic Nikkei market linkages. This dissertation finds bidirectional volatility spillover effects between the Nikkei spot and futures markets, and the information leadership of the foreign Nikkei markets (the CME and SGX) in the second-moment information transmission process across the border. It further examines the dynamic conditional correlations between the Nikkei markets. The results point to a dramatic integration process with strongly persistent and stable Nikkei market co-movements over time.
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An assessment of exchange rate impact over Taylor rule determination in BrazilCosta, Alexis Petri Magalhães 31 January 2017 (has links)
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Previous issue date: 2017-01-31 / This work assesses the validity of applying the Taylor Rule to the Brazilian market. Several variables, tools and features were analyzed. Among its variables, inflation, inflation target and output gap were included to determine a basis scenario. On top of that, exchange rates and exchange rate related information was tested. Both the crude market input (spot rate) and a trade-weighted currency are included in this analysis. Also extracted from the market, the carry-trade premium was calculated from future exchange rate quotes. Among its tools, the smoothing factor was evaluated. The series were tested for regime breaks, unit root and cointegration, residual autocorrelation, normality, heteroskedasticity and coefficient linearity. Among its features, special attention was paid to the proper timing of each variable. The regressions being forward looking, it was important to line up the actual information available for the Brazilian Central Bank at the time of each decision. Timing was again a factor when considering different cutoff periods, and for synchronizing market data, especially for constructing the carry-trade payoff. This work concludes that evidence of a Taylor Rule being a response function for the Brazilian Central Bank is shaky, especially given the number of misspecification indicators found. Results also suggest that, assuming there is a need to protect the local economy from sharp capital flows consequent of interest rate changes, the implicit future exchange rate premia is not a good indicator of such risk. / Esse trabalho avalia a aderência da Regra de Taylor à política monetária brasileira. Diferentes variaveis, ferramentas e características foram avaliadas. Entre suas variáveis, essa dissertação avaliou inflação, gap de inflação, e hiato do produto, para determinar um cenario base. Sobre este, informações referentes a câmbio foram testadas. Fez-se regressões incluindo o spot de mercado e o câmbio ponderado pela balança comercial. Testou-se também o prêmio implícito em um carry-trade hipotético utilizando o primeiro futuro de dolar da BM&F. Entre as ferramentas estudadas, o 'smoothing factor' foi analisado e não foram encontradas melhorias significativas. As séries foram testadas para quebras de regime, raiz unitária, cointegração, autocorrelação dos resíduos, normalidade, heteroskedasticity e linearidade de coeficientes. Entre suas características, esta dissertação leva em consideração o 'timing' de cada variável. As regressões sendo 'forward looking', buscou-se exatamente o valor para cada variável disponível ao Banco Central do Brasil no momento de cada decisão do COPOM. Esse mesmo cuidado foi tomado para sincronizar os dados de mercado, especialmente para construir o 'payoff' do carry-trade. Esta dissertação conclui que há evidências apenas fracas de que a função resposta do Banco Central esteja em linha com a Regra de Taylor, especialmente dado o número de problemas de especificação encontrados. Os resultados também sugere que, supondo que haja a inteção de proteger a economia local de choques de fluxo de capital consequentes de mudança na taxa SELIC, o prêmio implícito no 'carry-trade' não é um bom indicador desse risco.
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Alocação dinâmica ótima com momentos de ordem superior para a estratégia de carry tradeOliveira, Pablo Frisanco 30 January 2012 (has links)
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Previous issue date: 2012-01-30 / The aim of the present work is verify if, when the higher moments (skewness and kurtosis) are taken in consideration for carry trade portfolio allocation optimization, an investor can be better off than the traditional allocation, which prioritizes only the first two moments (mean and variance). The hypothesis of the research is that a carry trade currency exhibits non-Normal returns distribution, and its higher moments have a dynamic which can be modeled by GARCH-type model, in this specific case IC-GARCHSK. This model consists of one equation to each of the independent components’ conditional moments, named the returns, variance, the skewness, and the kurtosis. Another hypothesis is that a CARA (constant absolute risk aversion) utility function investor can have its function approximated by 4th order Taylor expansion. The work’s strategy is modelling the dynamics of the daily log-returns series’ moments of some carry trade currencies using the model above and dynamically estimate the optimal allocation which maximizes the investor’s expected utility function. The results show that the investor can benefit from taking in consideration the series’ higher moments, once this portfolio exhibited smaller opportunity cost than one that uses only mean and variance as criteria. / O objetivo do presente trabalho é verificar se, ao levar-se em consideração momentos de ordem superior (assimetria e curtose) na alocação de uma carteira de carry trade, há ganhos em relação à alocação tradicional que prioriza somente os dois primeiros momentos (média e variância). A hipótese da pesquisa é que moedas de carry trade apresentam retornos com distribuição não-Normal, e os momentos de ordem superior desta têm uma dinâmica, a qual pode ser modelada através de um modelo da família GARCH, neste caso IC-GARCHSK. Este modelo consiste em uma equação para cada momento condicional dos componentes independentes, explicitamente: o retorno, a variância, a assimetria, e a curtose. Outra hipótese é que um investidor com uma função utilidade do tipo CARA (constant absolute risk aversion), pode tê-la aproximada por uma expansão de Taylor de 4ª ordem. A estratégia do trabalho é modelar a dinâmica dos momentos da série dos logartimos neperianos dos retornos diários de algumas moedas de carry trade através do modelo IC-GARCHSK, e estimar a alocação ótima da carteira dinamicamente, de tal forma que se maximize a função utilidade do investidor. Os resultados mostram que há ganhos sim, ao levar-se em consideração os momentos de ordem superior, uma vez que o custo de oportunidade desta foi menor que o de uma carteira construída somente utilizando como critérios média e variância.
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Design et Analyse de sécurité pour les constructions en cryptographie symétrique / Design and Security Analysis for constructions in symmetric cryptographyThomas, Gael 02 June 2015 (has links)
Les travaux réalisés au cours de cette thèse se situent au carrefour de la cryptographie symétrique et du monde des environnements contraints. Le but de cette cryptographie, dite cryptographie à bas coût, est de fournir et d'évaluer des algorithmes symétriques pouvant être implémentés sur des systèmes très limités en ressources. Les contributions de cette thèse portent d'une part sur l'évaluation de la sécurité des registres à décalage à rétroaction avec retenue (FCSR) face à de nouvelles attaques et d'autre part sur une vision unifiée des différents schémas de Feistel généralisés (GFN) qui permet de mieux cerner leurs propriétés cryptographiques. Ces études ont donné lieu à deux nouveaux algorithmes à bas coût~; d'une part GLUON une fonction de hachage à base de FCSR et d'autre part le chiffrement LILLIPUT basé sur une famille étendant plus avant la notion de GFN. Enfin, une méthode générique permettant de réaliser des attaques différentielles en fautes sur des GFN est esquissée. / The work done during this Ph.D. lies at the crossroads of symmetric cryptography and constraints environments. The goal of such cryptography, called lightweight cryptography, is to propose and evaluate symmetric algorithms that can be implemented on very ressource limited devices. The contributions of this thesis are first on the security evaluations of feedback with carry shift registers (FCSR) to some new attacks and second on a unified vision of generalized Feistel networks (GFNs) that allows to better understand their cryptographic properties. These studies gave rise to two new lightweight algorithms: first GLUON a hash function based upon FCSRs and second the cipher LILLIPUT based on a family further extanding the notion of generalized Feistel network. Finally, a generic method for carrying out a differential fault attack on GFNs is outlined.
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On the links between capital flows and monetary policies / Liens entre flux de capitaux et politiques monétairesDell'Eva, Cyril 07 October 2016 (has links)
Cette thèse étudie deux grandes problématiques économiques étant étroitement liées. D’une part, il est question d’analyser à quelles conditions les taux de change présentent des relations de long terme communes. D’autre part, une analyse en profondeur concernant les investissements sur devises connus sous le terme anglais de « carry trades » est proposée. Le taux de change étant un des déterminants du rendement de ces investissements, le lien entre les deux problématiques apparaît clairement. Ces problématiques sont traitées à travers la mobilisation d’outils théoriques et empiriques. Ce travail aboutit à plusieurs conclusions. Concernant les mouvements communs de long terme entre les taux de change, ils dépendent du degré d’intégration des économies ainsi que de la similarité de leurs politiques monétaires. Concernant les investissements sur devises, cette thèse démontre que les banques centrales des petites économies ouvertes ont tout intérêt à fixer une cible d’inflation ainsi qu’une cible d’afflux de capitaux afin d’éviter l’effet déstabilisateur des « carry trades ». Cette politique sera efficace uniquement si la banque centrale est transparente concernant ses cibles de long terme. Pour finir, après la crise financière de 2008, la banque centrale Néo-Zélandaise a changé de comportement vis-à-vis des « carry trades » en provenance du Japon. En effet, après la crise, la banque centrale y a répondu de manière à stabiliser l’économie. Cependant, les investissements en provenance des Etats-Unis sont toujours déstabilisateurs pour l’économie Néo-Zélandaise, surtout lorsque les Etats-Unis utilisent une politique d’assouplissement quantitatif. / This thesis investigates two main issues in economics. On the one hand, we investigate under which conditions cointegration between exchange rates is likely to appear. On the other hand, this thesis proposes to investigate how carry trades affect small open economies. Given that the exchange rate is a main determinant of carry trades’ returns, these two topics are obviously linked. These two issues are investigated both through theoretical and empirical tools. Concerning long run comovements between exchange rates, this thesis reveals that they depend on the degree of linkages between two economies and on the way central banks set their monetary policies. Concerning carry trades, this work sheds light on the fact that small open economies central banks should have both an inflation and a capital inflows target to suppress the destabilizing effect of carry trades. Moreover, such a policy would be efficient only if the central banks are transparent concerning their long run targets. Finally, in this thesis we show that the Reserve Bank of New Zealand (RBNZ) has changed its reaction to Japan-sourced carry trades after the 2008 global financial crisis (GFC). Indeed, after the GFC, the RBNZ responded in a stabilizing way to Japan-sourced carry trades. However, after the GFC, the RBNZ still responded in a destabilizing way to US-sourced carry trades. Our work also reveals that carry trades destabilize even more New-Zealand’s economy when the US are engaged in a quantitative easing policy.
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