This thesis examines the validity of the cost of carry model for pricing FTSE100 futures contracts and the relationship between FTSE100 spot and futures markets during two sub-periods characterised by different market trading systems employed by the LSE and LIFFE. The empirical work is carried out using three approaches to econometric modeling: a basic VECM for spot and futures prices, a VECM extended with a DCCTGARCH framework to account for the conditional variance-covariance structure for spot and futures prices and a threshold VECM to capture regime-dependent spot-futures price dynamics. Overall, both the basic VECM and the DCC-TGARCH analysis suggest that there are deviations from the cost of carry relationship in the first sub-sample when transactions costs in both markets are relatively high but that the cost of carry relationship tends to be valid in the second sub-sample when transactions costs are lower. This is further confirmed by the evidence of higher conditional correlations between the two markets in the second sub-sample as compared with the first, using the DCC-TGARCH analysis. This implies that the no-arbitrage cost of carry relationship between spot and futures markets is more effectively maintained by index arbitrageurs in the second period when market conditions are closer to perfect market assumptions, and hence the cost of carry model could be more reasonably used as a benchmark for pricing stock index futures. The threshold VECM analysis depicts regime-dependent price dynamics between FTSE100 spot and futures markets and leads to some interesting and important findings: arbitrage may not be practicable under some market conditions, either because it is difficult to find counterparties for the arbitrage transactions, or because there is significant risk associated with arbitrage; as a result, the cost of carry model may not always be suitable for pricing stock index futures. Furthermore, the threshold values yielded from estimating the threshold VECM reflect the average transaction costs for most arbitrageurs that are more reliable and fair than subjective estimations.

Thèse numérisée par la Direction des bibliothèques de l'Université de Montréal.

This thesis provides an analysis of systemic risk in the US banking sector. We use conditional value at risk (∆CoVaR), marginal expected shortfall (MES) and cross-quantilogram (CQ) to statistically measure tail-dependence in return series of individual institutions and the system as a whole. Wavelet multireso- lution analysis is used to study systemic risk in the time-frequency domain. De- composition of returns on different scales allows us to isolate cycles of 2-8 days, 8-32 days and 32-64 days and analyze co-movement patterns which would oth- erwise stay hidden. Empirical results demonstrate that filtering out short-term noise from the return series improves the forecast power of ∆CoVaR. Eventu- ally, we investigate the connection between statistical measures of systemic risk and fundamental characteristics of institutions (size, leverage, market to book ratio) and conclude that size is the most robust determinant of systemic risk.

In chapter 1, I investigate the return links and dynamic conditional correlations between the equity and commodity returns for G7 countries from 2000:01 to 2014:10. The commodity futures include BCOM Index which contains the futures and spot price of 22 commodities, Brent and Crude oil futures, gold and silver futures, Wheat, Corn and Soybean futures and CRB index. The finding indicates that during the full sample period GOLD, WHEAT and CORN have the smallest dynamic conditional correlations with all the Equity indexes. In addition, the correlations between the GOLD/Equity pairs are negative during the financial crisis. This fact indicates the benefit of hedging the stock portfolios with gold futures while we have stress in the financial markets. The results from hedging effectiveness suggest that all the commodity/stock portfolios provide better diversification benefits than the stock portfolios. In average, including CRB, BCOM and GOLD futures to the stock portfolios have the highest hedging effectiveness ratios. Chapter 2 investigates the impact of global and local variables on the Sovereign bond spreads for 22 developed countries in North America, Europe and Pacific Rim Regions, using monthly data from January 2010 to March 2015. There are a few main findings of this chaper. First, the global factors are considerably more important in déterminant the sovereign bond spreads for all the regions. Second, for the bond spread of each region over its local government bond, the countries’ domestic fundamentals are found to be more influential determinants of the spreads, compared to the spread over US government bond as a safe haven government bond. Third, the bond spreads in the Eurozone area is less influenced by the global factors compared to the other regions. Fourth, the sovereign bond spreads of all regions are positively related to the US corporate high yield spreads as a proxy of market sentiment and the log of VIX index as measurement for the investor risk aversion. The coefficient of the log of VIX index shows the strong power of the stock market implied volatility on determining the yield spreads in the fixed income market.

This dissertation comprises two essays; the first of which investigates sovereign credit risk interdependencies, while the second examines the reaction of corporate credit risk to sovereign credit risk events. The first essay titled, Characterizing Sovereign Credit Risk Interdependencies: Evidence from the Credit Default Swap Market, investigates the relationships that exist among disparate sovereign credit default swaps (CDS) and the implications on sovereign creditworthiness. We exploit emerging market sovereign CDS spreads to examine the reaction of sovereign credit risk to changes in country-specific and global financial factors. Utilizing aVAR model fitted with DCC GARCH, we find that comovements of spreads generally exhibit significant time-varying correlations, suggesting that spreads are commonly affected by global financial factors. We construct 19 country-specific commodity price indexes to instrument for country terms of trade, obtaining significant results. Our commodity price indexes account for significant variation in CDS spreads, controlling for global financial factors. In addition, sovereign spreads are found to be related to U.S. stock market returns and the VIX volatility risk premium global factors. Notwithstanding, our results suggest that terms of trade and commodity prices have a statistically and economically significant effect on the sovereign credit risk of emerging economies. Our results apply broadly to investors, financial institutions and policy makers motivated to utilize profitable factors in global portfolios. The second essay is titled, Differential Stock Market Returns and Corporate Credit Risk of Listed Firms. This essay explores the information transfer effect of shocks to sovereign credit risk as captured in the CDS and stock market returns of cross-listed and local stock exchange listed firms. Based on changes in sovereign credit ratings and outlooks, we find that widening CDS spreads of firms imply that negative credit events dominate, whereas tightening spreads indicate positive events. Grouping firms into companies with cross-listings and those without, we compare the spillover effects and find strong evidence of contagion across equity and CDS markets in both company groupings. Our findings suggest that the sensitivity of corporate CDS prices to sovereign credit events is significantly larger for non-cross-listed firms. Possible reasons for this finding could in fact be due to cross-listed firms’ better access to external capital and less degree of asymmetric information, relative to non-cross-listed peers with lower level of investor recognition. Our results provide new evidence relevant to investors and financial institutions in determining sovereign credit risk germane to corporate financial risk, for the construction of debt and equity portfolios, and hedging considerations in today’s dynamic environment.

This thesis performs portfolio optimization using three allocation methods, Certainty Equivalence Tangency (CET), Global Minimum Variance (GMV) and Minimum Conditional Value-at-Risk (MinCVaR). We estimate expected returns and covariance matrices based on 7 stock market indices with a DCC-GARCH model including an ARMA (1.1) process and an external regressor of an implied volatility index (VIX). We then simulate returns using a rolling window of 500 daily observations and construct portfolios based on the allocation methods. The results suggest that the model can sufficiently estimate expected returns and covariance matrices and we can outperform benchmarks in form of equally weighted and historical portfolios in terms of higher returns and lower risk. Over the whole out-of-sample period the CET portfolio yields the highest mean returns and GMV and MinCVaR can significantly lower the variance. The inclusion of VIX has marginal effects on the forecasting accuracy and it seems to impair the estimation of risk.

This thesis investigates if Environmental, Social and Governance (ESG) investments can be considered as an independent asset class. As ESG and responsible investing has increased substantially in recent years, responsible investments have entered the portfolios with other asset classes too. Therefore, there is a need in studying ESG investment properties with other financial asset classes. By collecting daily price data from October 2007 to December 2018, we research the directionalities between ESG, ethical, conventional, commodities and currency. Initially, we employed a MODWT, multiscale investment horizon wavelet analysis transformation of the data. The decomposed wavelet data is then applied in pairwise linear and non-linear Granger causality estimations to study the directionality relationships dependent on investment horizon. Additionally, econometric filtering processes have been employed to study the effects of volatility on directionality relationships. The results mainly suggest significant directionality relationships between ESG and the other asset classes. On the medium-term investment horizon, almost all estimations indicate strict bidirectionality. Thus, on the medium-term, ESG can be said to be integrated with the other asset classes. For the long-term horizon, most relationships are still predominantly bidirectional between ESG and all other asset classes. The biggest differences are found on the short-term horizon, with no directionality found between ESG and commodities that cannot be explained by volatility. Furthermore, most directionality relationships also disappear when controlling for the volatility transmission between ESG and currency on the short-term horizon. Thus, our findings suggest significantly more integration between ESG and ethical and conventional as bidirectionality overwhelmingly prevails regardless of investment horizon. As previous research has found similarities between ethical and conventional as well as ESG having similar characteristics to commodities as conventional and ethical, we suggest that ESG should be considered as being integrated and having strong similarities with other equities. Thus, it should be treated as being part of the conventional equity asset class. Deviations from bidirectionality could be caused by ESG variable specific heterogeneity. However, despite our rejection of ESG as an independent asset class, it still carries significant potential as it excludes firms with climate-harming practices, thereby helping in combating climate-related as well as social and governance issues the world is facing.

Submitted by Maximilian-Benedikt Koehn (mb@koehn.cc) on 2015-10-27T13:40:42Z No. of bitstreams: 1 MasterThesis_FGV_MBK-2.pdf: 1998443 bytes, checksum: f5b2dd679c9a165738dd916b469de18e (MD5) / Rejected by Ana Luiza Holme (ana.holme@fgv.br), reason: Maximilian, In second page, the date is incorrect, it should be 2015. Also the pages numeration in the thesis is incorrect, it should started at the first page of the thesis but the number only appear in the introdution. and it should be at the bottom of the pages. Ex: Introdution is page 10 so in the bottom of the page you see the number 10. Also you didn't write the acknowledgement. It's mandatory in the thesis. Ana Luiza Holme 3799-3492 on 2015-10-27T13:49:55Z (GMT) / Submitted by Maximilian-Benedikt Koehn (mb@koehn.cc) on 2015-10-29T11:50:38Z No. of bitstreams: 1 MasterThesis_FGV_MBK_Final.pdf: 1963111 bytes, checksum: 7788e02d7ef86d4824fb7f131629e4d5 (MD5) / Rejected by Ana Luiza Holme (ana.holme@fgv.br), reason: Duplicidade, Duplicity on 2015-11-03T11:55:29Z (GMT) / Submitted by Maximilian-Benedikt Koehn (mb@koehn.cc) on 2015-11-03T14:54:38Z No. of bitstreams: 1 MasterThesis_FGV_MBK.pdf: 2335793 bytes, checksum: 0ce05e9480acae0f9da905ae2e91f3ba (MD5) / Approved for entry into archive by Ana Luiza Holme (ana.holme@fgv.br) on 2015-11-03T15:13:09Z (GMT) No. of bitstreams: 1 MasterThesis_FGV_MBK.pdf: 2335793 bytes, checksum: 0ce05e9480acae0f9da905ae2e91f3ba (MD5) / Made available in DSpace on 2015-11-03T15:16:18Z (GMT). No. of bitstreams: 1 MasterThesis_FGV_MBK.pdf: 2335793 bytes, checksum: 0ce05e9480acae0f9da905ae2e91f3ba (MD5) Previous issue date: 2015-09-24 / Reviewing the definition and measurement of speculative bubbles in context of contagion, this paper analyses the DotCom bubble in American and European equity markets using the dynamic conditional correlation (DCC) model proposed by Engle and Sheppard (2001) as an econometrical - and on the other hand the behavioral finance as an psychological explanation. Contagion is defined in this context as the statistical break in the computed DCCs as measured by the shifts in their means and medians. Even it is astonishing, that the contagion is lower during price bubbles, the main finding indicates the presence of contagion in the different indices among those two continents and proves the presence of structural changes during financial crisis. / Revendo a definição e determinação de bolhas especulativas no contexto de contágio, este estudo analisa a bolha do DotCom nos mercados acionistas americanos e europeus usando o modelo de correlação condicional dinâmica (DCC) proposto por Engle e Sheppard (2001) como uma explicação econométrica e, por outro lado, as finanças comportamentais como uma explicação psicológica. Contágio é definido, neste contexto, como a quebra estatística nos DCC’s estimados, medidos através das alterações das suas médias e medianas. Surpreendentemente, o contágio é menor durante bolhas de preços, sendo que o resultado principal indica a presença de contágio entre os diferentes índices dos dois continentes e demonstra a presença de alterações estruturais durante a crise financeira.

Made available in DSpace on 2014-12-17T15:34:44Z (GMT). No. of bitstreams: 1 ManoelPN_DISSERT.pdf: 1337463 bytes, checksum: aaed50bece00427adf0672e0a99b898a (MD5) Previous issue date: 2012-06-27 / Conselho Nacional de Desenvolvimento Cient?fico e Tecnol?gico / We analyzed the quality of raw milk from eight dairy farms in Rio Grande do Norte stored in a cooling tank , in order to evaluate methods for determining somatic cell counts (SCC). The Somaticell? kit and a portable Direct Cell Counter (DCC) were compared with each other and with the MilkoScanTM FT+ (FOSS Denmark), which uses Fourier Transform Infrared (FTIR) spectroscopy). Direct cell counter data were processed for somatic cell scores (log-transformed somatic cell count) and analyzed with the SAS?, statistical package , Statistical Analysis System, (SAS, INSTITUTE, 1998). Comparison of means and correlation of somatic cell scores were conducted using Pearson s correlation coefficient and the Tukey Test at 1 %. No significant difference was observed for comparison of means. The correlation between somatic cell scores was significant, that is, 0.907 and 0.876 between the MilkoScanTM FT+ and the Somaticell? kit and Direct Cell Count (DCC) respectively, and 0.943 between the Somaticell? kit and Direct Cell Count (DCC). The methods can be recommended for monitoring the quality of raw milk kept in a cooling tank in the production unit / A qualidade do leite cru mantido em tanque de resfriamento de oito propriedades do Rio Grande do Norte foi analisada, com o objetivo de avaliar m?todos para determina??o da contagem de c?lulas som?ticas (CCS). Foram usados o kit Somaticell? e o equipamento port?til Direct Cell Counter (DCC), sendo comparados entre si e com o MilkoScanTM FT+ (FOSS Denmark) que usa a metodologia do Infravermelho com Transformada de Fourier (IVTF). Os dados de CCS foram transformados para escore de c?lulas som?ticas ECS log (CCS) e analisados pelo pacote estat?stico SAS? Statical Analisys System, (SAS, INSTITUTE, 1998). Foram feitas a compara??o das m?dias e a correla??o dos escores de c?lulas som?ticas por meio do coeficiente de correla??o de Pearson, sendo aplicado o Teste de Tukey a 1%. N?o foi observada diferen?a significativa para a compara??o das m?dias. A correla??o entre os escores de c?lulas som?ticas foi significativa, sendo de 0,907 e 0,876 entre o MilkoScanTM FT+ e o kit Somaticell? e o Direct Cell Count (DCC) respectivamente, e de 0,943 entre o kit Somaticell? e o Direct Cell Count (DCC). Os m?todos avaliados podem ser recomendados para o monitoramento da qualidade do leite cru refrigerado mantido em tanque de resfriamento em n?vel de unidade produtiva

La SER, est la grandeur qui permet de quantifier le pouvoir réflecteur d'un objet, ou a contrario sa discrétion électromagnétique. Maîtriser la SER, voire la diminuer, est un enjeu majeur dans le domaine aéronautique de défense. C'est en particulier un gage de survivabilité pour les aéronefs. Historiquement, les fréquences RADAR d'intérêt étaient celles de la bande Super Haute Fréquence, ce qui équivaut à des longueurs d'onde de 2 à 30 centimètres. Des outils d'analyse adaptés ainsi que des moyens de mesure ou de caractérisation de la SER ont été mis au point. Ils se sont révélés extrêmement performants. On peut citer par exemple la chambre anéchoïque CAMELIA du CESTA. En revanche, dans le domaine des basses fréquences, il est plus délicat de réaliser des mesures précises. Pour des longueurs d'onde de 1 à 5 mètres, l'épaisseur des absorbants est souvent trop faible ; même les dimensions des chambres anéchoïques ne représentent que quelques longueurs d'onde. Notre objectif, lors de cette thèse, était de proposer et d'étudier des algorithmes nouveaux permettant d'améliorer ou de faciliter la caractérisation de la SER en basse fréquence. La notion de courants caractéristiques, introduite par Harrington et Mautz dans les années 70, puis reprise par Y. Morel dans le cas d'objets parfaitement conducteurs, permet la décomposition d'un courant induit quelconque en courants élémentaires. Les modes caractéristiques sont obtenus en faisant rayonner ces courants caractéristiques. Cependant, il n'existe pas d'outil de détermination des modes lorsque l'objet n'est plus parfaitement conducteur. Nous nous sommes donc dotés d'un tel outil, que nous avons construit et validé. Pour cela, nous avons repris dans un premier temps le cadre mathématique qui permet de définir l'opérateur de Perturbation, ses propriétés mathématiques et sa décomposition en éléments propres. Nous avons montré que cet opérateur discrétisé conserve ses propriétés mathématiques. Nous avons ensuite validé notre méthode de calcul direct des modes caractéristiques, issus de la diagonalisation de l'opérateur de perturbation discrétisé. Dans un deuxième temps, nous avons mené des études phénoménologiques. Nous avons tout d'abord observé l'évolution des éléments propres de l'opérateur de perturbation en fonction de l'impédance, et nous nous sommes intéressés au cas particulier de l'impédance égale à 1. Nous avons ensuite observé les phénomènes lorsque la fréquence évolue. En nous concentrant sur les valeurs propres, nous avons pu différencier deux types de modes. Enfin, nous avons détaillé quelques exemples d'applications concrètes de cette méthode de détermination des modes, qui permettent d'améliorer ou de faciliter la caractérisation de la SER en basse fréquence. L'outil ORFE (Outil de Reformulation, Filtrage et Extrapolation de données) permet d'atténuer les termes d'erreurs inhérents à toute caractérisation, et d'extrapoler des données existantes à des cas de figure non acquis ou non accessibles en mesure. Il a donné lieu à un brevet. Un outil d'interpolation de SER en basse fréquence a aussi été construit. Il permet d'obtenir de meilleurs résultats que l'interpolation linéaire de la SER. Nous avons aussi mis en place une méthode d'imagerie basse fréquence. Elle permet de localiser d'éventuels défauts de métallisation de l'objet considéré, en utilisant la base des courants caractéristiques. Enfin, nous avons présenté une méthodologie de caractérisation de SER qui intègre les limites des moyens de mesure. Nous avons mis en évidence que cette caractérisation donne une information absolue sur la SER de l'objet, dans un périmètre de validité. Un brevet a été déposé sur cette méthode. / This work focuses on RADAR Cross Section (RCS) measurements in the low frequency domain. Radar Cross Section (RCS) is a description of how an object reflects an incident electromagnetic wave. Quantitatively, RCS is the effective surface area that intercepts the incident wave and isotropically scatters the energy. Controlling RCS is a real challenge for aeronautic defence. In the past, RCS interest frequencies used to be in the Super High Frequency domain (wavelengths between 2 and 30 centimetres). RCS is mastered in this frequency domain, due to the use of bright point model and large anechoic chamber. On the other hand, RCS measurements cannot be entirely and accurately obtained in the low frequency domain because of experimental constraints. Indeed, absorbing coatings are too thin (compared to the wavelength) to be efficient, and the anechoic chamber is too small. The aim of the thesis was to suggest new algorithms that improve RCS low frequency characterization. The Characteristic Currents were first introduced by Harrington and Mautz in the early 70's and then studied by Y. Morel in his PhD thesis. This work highlights that the current of any Perfectly Electrically Conducting (PEC) object can be split into elementary currents. The characteristic modes are obtained by radiating the characteristic currents. However, there is no tool to determine the characteristic modes for non PEC object. In this thesis, such a tool has been built and validated. We _rst needed to set the mathematical framework. We defined the Perturbation Operator, its eigenvalues decomposition and its mathematical properties. We proved that the discrete Perturbation Operator keeps its properties. This method of modes determination has then been validated. We then presented two phenomenology studies. The first one deals with the impact of impedance on the eigenvalues and eigenvectors of the perturbation operator. We get particularly interested in the case of the impedance equal to 1. The second focuses on the impact of frequency, which led us to distinguish two kinds of modes. When finally listed some concrete applications of our method of modes determination, that led to improve RCS characterizations. The first tool named ORFE (it stands for Reformulation, Filtering and Extrapolation Tool), consists in reducing errors that are inherent in RCS measurements, and extrapolating data out of measurement range. This tool has been patented. A RCS frequency interpolation algorithm has also been built. We then implemented a low frequency imagery method. It consists in localizing some perturbation of metallization, by using the characteristic current basis. We finally presented a way to characterize RCS while taking low frequency experimental constraints into account. We show that this characterization gives information of the RCS of the object in a validity perimeter. This method has been patented too.