A crise financeira americana de 2008 acarretou alta na volatilidade na maioria das bolsas de valores mundo afora. Nesse trabalho, é testada e analisada a hipótese de contágio financeiro como mecanismo de transmissão da crise iniciada em 2008 dos Estados Unidos para 16 países da amostra. Por meio de modelos multivariados de volatilidade das classes BEKK e DCC e testes de quebras estruturais, conclui-se que a hipótese de contágio financeiro é verificada em todos os países estudados para justificar a alta acima do esperado das volatilidades dos mercados durante os anos de crise. Também é verificado que países apresentam diferentes graus de exposição ao risco de contágio, de acordo com nível de abertura de suas economias e participação de investimento externo em seus mercados financeiros. / The 2008 American financial crisis caused high volatility in most stock markets worldwide. In this study, it is tested and analyzed the hypothesis of financial contagion as a mechanism of transmission for the crisis beginning in 2008 in United States to the 16 countries in the sample. Using multivariate BEKK and DCC volatility models, and tests of structural breakpoints, it is concluded that the hypothesis of financial contagion is verified in all countries studied to justify volatility higher than expected in the markets during the crisis years. It is also noted that countries have different degrees of exposure to contagion, according to level of economic openness and foreign investment participation in their financial markets.

This study examines to what extent how oil movements differently affect equity returns in general and sectoral levels of the GCC countries stock markets. Modeling the equity returns volatility requires using GARCH-type models. These models help to explore the pronounced differences of the conditional variance structures across sectors and markets. Chapter 1 compares the effects of changes in oil price return and its volatility on equity returns and volatility across sectors. The findings of this chapter show that despite the GCC states dependency on oil revenues, equity market performance at the sectoral level do not exactly associate with oil movements. Our results, in particular, show that the GCC stock markets do not always move hand-in-hand with oil market movements. In chapter 2, we explore the relationship within a specific sector, i.e. Banks sector in Saudi Arabia Stock market. We examine if oil price changes affect Islamic banks differently than conventional ones. The findings show a decrease in degree of co-movement between these two types of banking system and oil market, meaning that they are less integrated. Although the Islamic banks kept a higher degree of co-movement with oil, limitations of Shari'ah restrictions on Islamic banks have little impact on the relationship between oil and those banks. Chapter 3 examines whether the level of corruption influences how oil changes affect the GCC stock markets. The findings of chapter 3 show that dissimilar levels of corruption between GCC countries have inconsiderable differences on the oil return effects on the GCC stock markets. Oil returns affect both low and high level of corruption groups. The oil return innovation affects the equity volatility for Saudi Arabia and Kuwait more than other four GCC countries.

Submitted by Automa??o e Estat?stica (sst@bczm.ufrn.br) on 2018-03-12T18:25:13Z No. of bitstreams: 1 LemuelDeLemosRomao_DISSERT.pdf: 2085097 bytes, checksum: 88646c5827d373d5b2f0edf1e63de9e7 (MD5) / Approved for entry into archive by Arlan Eloi Leite Silva (eloihistoriador@yahoo.com.br) on 2018-03-16T12:25:56Z (GMT) No. of bitstreams: 1 LemuelDeLemosRomao_DISSERT.pdf: 2085097 bytes, checksum: 88646c5827d373d5b2f0edf1e63de9e7 (MD5) / Made available in DSpace on 2018-03-16T12:25:57Z (GMT). No. of bitstreams: 1 LemuelDeLemosRomao_DISSERT.pdf: 2085097 bytes, checksum: 88646c5827d373d5b2f0edf1e63de9e7 (MD5) Previous issue date: 2018-02-06 / Os modelos de microestrutura ganharam bastante espa?o na literatura econ?mica e surgem como um contraponto ?queles baseados puramente em fundamentos macroecon?micos. Dessa forma, o esfor?o passou a ser em microfundamentar o mercado de c?mbio, partindo de hip?teses comportamentais dos agentes envolvidos neste mercado. Uma nova vari?vel chave ? acrescentada nos modelos: o fluxo de ordens. Com a constata??o da relev?ncia do fluxo de ordens nas taxas de c?mbio, como tamb?m j? estimado por diversos autores as magnitudes de seus impactos, este trabalho passa a utilizar uma nova abordagem, olhando agora para os impactos na volatilidade. A partir dos modelos de microestrutura, estimou-se como a volatilidade nas vari?veis de risco e de fluxos s?o transmitidas ao c?mbio. Com as correla??es din?micas advindas dos modelos DCC-GARCH, confirma-se a import?ncia das vari?veis de risco na forma??o dos pre?os, sendo uma importante fonte de volatilidade para o c?mbio. Em rela??o aos fluxos de ordens, constata-se a import?ncia dos estrangeiros na variabilidade das taxas de c?mbio, com o setor financeiro geralmente atuando como contraparte das opera??es cambiais. / The models of microstructure have gained a lot of space in the economic literature and appear as a counterpoint to those based purely on macroeconomic fundamentals. In this way, the effort began to be in microfundament the exchange market, starting from behavioral hypotheses of the agents involved in this market. A new key variable is added in the models: the order flow. With the confirmation of the importance of the flow of orders in exchange rates, as already estimated by several authors the magnitudes of their impacts, this work uses a new approach, now looking at the impacts on volatility. From the microstructure models, it was estimated how the volatility in the risk variables and flows are transmitted to the exchange. With the dynamic correlations coming from the DCC-GARCH models, the importance of the risk variables in price formation is confirmed, being an important source of exchange volatility. Regarding order flows, the importance of foreigners in the exchange rate variability is verified, with the financial sector generally acting as counterpart of foreign exchange operations.

A crise financeira americana de 2008 acarretou alta na volatilidade na maioria das bolsas de valores mundo afora. Nesse trabalho, é testada e analisada a hipótese de contágio financeiro como mecanismo de transmissão da crise iniciada em 2008 dos Estados Unidos para 16 países da amostra. Por meio de modelos multivariados de volatilidade das classes BEKK e DCC e testes de quebras estruturais, conclui-se que a hipótese de contágio financeiro é verificada em todos os países estudados para justificar a alta acima do esperado das volatilidades dos mercados durante os anos de crise. Também é verificado que países apresentam diferentes graus de exposição ao risco de contágio, de acordo com nível de abertura de suas economias e participação de investimento externo em seus mercados financeiros. / The 2008 American financial crisis caused high volatility in most stock markets worldwide. In this study, it is tested and analyzed the hypothesis of financial contagion as a mechanism of transmission for the crisis beginning in 2008 in United States to the 16 countries in the sample. Using multivariate BEKK and DCC volatility models, and tests of structural breakpoints, it is concluded that the hypothesis of financial contagion is verified in all countries studied to justify volatility higher than expected in the markets during the crisis years. It is also noted that countries have different degrees of exposure to contagion, according to level of economic openness and foreign investment participation in their financial markets.

Chez les bilatériens, les connexions permettant de relier la partie droite et gauche du système nerveux central (SNC) sont appelées commissures cérébrales. Comprendre les mécanismes moléculaires permettant la mise en place de ces circuits constituent un enjeu majeur en neurobiologie du développement. Le guidage des commissures cérébrales repose sur des paires de ligands-récepteurs telles que Netrine-1/DCC et Slits/Robos. Nétrine et Slits sont exprimés au niveau de la plaque du plancher tandis que leurs récepteurs respectifs, DCC et Robo1/2, sont exprimés dans les neurones et axones commissuraux de la moelle épinière et du tronc cérébral au cours du développement. L'étude des souris déficientes pour ces gènes a permis d'établir un modèle : Nétrine-1, agirait à distance afin d'attirer les axones commissuraux par gradient vers la ligne médiane ventrale, puis, les Slits permettraient de repousser les axones en dehors de la plaque du plancher. Au cours de ma thèse, j'ai utilisé des modèles génétiques murins afin d'étudier in vivo la mise en place des commissures et la migration des neurones précérébelleux. Nous avons inactivé de façon spécifique l'expression des molécules Nétrine-1, Slits et Robo1/2 dans différentes régions du SNC. Nous avons montré que la présence de Nétrine-1 dans la plaque du plancher n'était pas nécessaire à l'attraction des axones commissuraux mais que la source principale de Nétrine-1 était la glie radiaire. Nous avons aussi montré que le couple Slit/Robo n'était pas essentiel à la migration des neurones précérébelleux. Ces données remettent en cause le modèle classiquement proposé et suggèrent l'existence de d'autres mécanismes moléculaires de guidage. / In all bilaterians, the connections linking the left and the right part of the central nervous system (CNS) are called the commissures. Understanding molecular mechanisms involved in the formation of these circuits is a major issue in developmental neurobiology. The guidance of commissural projections lay on two major couples of ligand- receptors: Netrin-1/DCC and Slits/Robos. Netrin-1 and Slits are expressed in the floor plate whereas their respective receptors, DCC and Robo1/2, are present in the neurons and commissural axons of the spinal cord and the hindbrain during the development. Analysis of mice deficient for these genes lead to establish a model: a Netrin-1 gradient would act through long distances in order to attract commissural axons to the ventral midline, then Slits would repulse axons outside the floor plate. During my thesis, I used genetic mouse models to study the setting of commissural axons and the migration of precerebellar neurons in vivo. We have specifically inactivated the expression of Netrin-1 Slits and Robo1/2 genes in different region of the CNS. We showed that floor plate-derived Netrin-1 was not necessary for the attraction of commissural axons and that the principal source of Netrin-1 was the radial glia. We also showed that the Slit/Robo couple was not essential for the migration of precerebellar neurons. These results reassess the model firstly provided and suggest the presence of other molecular mechanisms involved in commissural axon guidance.

A crise financeira americana de 2008 acarretou alta na volatilidade na maioria das bolsas de valores mundo afora. Nesse trabalho, é testada e analisada a hipótese de contágio financeiro como mecanismo de transmissão da crise iniciada em 2008 dos Estados Unidos para 16 países da amostra. Por meio de modelos multivariados de volatilidade das classes BEKK e DCC e testes de quebras estruturais, conclui-se que a hipótese de contágio financeiro é verificada em todos os países estudados para justificar a alta acima do esperado das volatilidades dos mercados durante os anos de crise. Também é verificado que países apresentam diferentes graus de exposição ao risco de contágio, de acordo com nível de abertura de suas economias e participação de investimento externo em seus mercados financeiros. / The 2008 American financial crisis caused high volatility in most stock markets worldwide. In this study, it is tested and analyzed the hypothesis of financial contagion as a mechanism of transmission for the crisis beginning in 2008 in United States to the 16 countries in the sample. Using multivariate BEKK and DCC volatility models, and tests of structural breakpoints, it is concluded that the hypothesis of financial contagion is verified in all countries studied to justify volatility higher than expected in the markets during the crisis years. It is also noted that countries have different degrees of exposure to contagion, according to level of economic openness and foreign investment participation in their financial markets.

L’équipe de conception de Freescale à Toulouse développe des circuits intégrés dédiés au marché de l’automobile pour des applications châssis, sécurité ou loisir. Les contraintes associées à l’embarquement des circuits sont nombreuses : niveau d’intégration, fiabilité, températures élevées, et compatibilité électromagnétique. Les produits conçus par Freescale intègrent des convertisseurs à découpage pour l’alimentation en énergie des microcontrôleurs. Cette thèse a pour objet l’étude de nouvelles topologies de convertisseur d’énergie pour la baisse de l’encombrement et des perturbations électromagnétiques. La structure multiphase répond à la problématique dans son ensemble. Un prototype est réalisé dans une technologie silicium Freescale haute tension 0.25µm. Le volume des composants externes de filtrage est optimisé et réduit. Les mesures sur le prototype montrent des performances en accord avec les objectifs, et des émissions électromagnétiques particulièrement faibles.

The aim of the thesis is to present a robust conceptual framework for risk management of non-financial companies in order to improve decision making in the area of hedging with derivative instruments. Application of modern quantitative methods.

The world has faced tumultuous times in recent years with the COVID-19 pandemic as well as the Russian invasion of Ukraine causing the stock market to be unusually volatile. During such times investors tend to flee to alternative investment opportunities that are uncorrelated or negatively correlated with the stock market, called safe-haven assets. Traditionally, the most prominent safe-haven asset has been gold but with the rise of cryptocurrencies as a new asset class there has been much speculation if they could act as a safe-haven against the stock market. The leading cryptocurrency Bitcoin is often the main target for such research and has even been called “digital gold”. However, some studies have explored the possibility that the second largest cryptocurrency Ethereum has an even greater potential as a safe-have asset. With the stock market crash in 2020 providing the first “real” test if cryptocurrencies can behave as safe-haven assets a myriad of papers on the topic have been published. However, little research has been done taking on the perspective of a Swedish investor. This thesis aims to fill this research gap by investigating whether the two major cryptocurrencies Bitcoin and Ethereum have acted as safe-havens towards the Swedish stock index OMX30 during the COVID-19 crisis and the Russian invasion of Ukraine. For this purpose, DCC-GARCH analysis was conducted, and the results were compared with gold as benchmark of how a more traditional safe-haven asset has behaved. The findings in this study showed that neither Bitcoin or Ethereum have acted as safe-havens during the COVID-19 crisis or the Russian invasion of Ukraine. The study also finds that gold did not act as a safe-haven for the COVID-19 crisis while it did during the Russian invasion of Ukraine. These findings imply that Bitcoin and Ethereum seem to be unable to act as “digital gold” for Swedish investors in a safe-haven and hedging sense. Instead, these cryptocurrencies have only provided diversification benefits during the recent stock market turmoil.

This paper investigates the diversification characteristics of commodities in relation to the Swedish equity index OMXSPI. Much of the previous literature concludes that gold and oil possess diversification or hedging properties against the US equity markets. The findings from literature investigating other markets or commodities are less conclusive. We apply a DCC-GARCH model on monthly data between 1996 and 2022 and analyze the dynamic conditional correlations between eight commodities, Swedish inflation and OMXSPI. We focus our analysis on three well-known crises and find large variations in the correlation among the assets and between the different crises. We also construct three portfolios, a minimum variance-, maximum Sharpe- and equally weighted portfolio, to investigate if commodities lower the variance of a portfolio based on OMXSPI. We find that aluminum, cocoa, silver and soybeans display diversification characteristics while copper, platinum and rubber are deemed less capable diversifiers. The model returned no significant results between the commodities and inflation. We conclude this could be because of the stable nature of Sweden’s inflation or the low contribution commodities seem to have to the GDP.