This study aimed to verify the existence of commonality in liquidity in the Brazilian market by delivering common factors of liquidity with an innovative technique (dynamic factor analysis). Also sought to examine the relationship between commonality and return on individual assets. Most studies of commonality are proceeded with data analysis and worked out daily in developed markets like the United States (Chord, Roll and Subrahmanyam (2000) Huberman and Halka (1999), Hasbrouck and Seppi (2001), Henker and Martens (2003 ), Lee (2005) and Brockman, Chung and Perignon (2009)), but some use intraday data on the formation of the sample and, moreover, show the commonality in emerging markets. Brockman and Chung (2002), Zheng and Zhang (2006), and Giouvris Galariotis (2008) are examples of studies in these markets, using a variety of measures and different methodological approaches. There were no Brazilian studies involving the commonality, but a study of foreign Brockman, Chung and Perignon (2009) reported weak evidence in Brazil. The procedure adopted for estimating the dynamic factor analysis (DFA) was based on a study of Frederic (2006) using the software Stata version 11. This survey was conducted with the shares belonging to the Bovespa index (Bovespa) from intraday data every five minute interval in the period from January 4 until April 30, 2010, total assets of 63 theoretical portfolio of first quarter 2010. Due to the limitation of the software, the sample was divided into three groups (group 1, 2 and 3), each composed of 21 companies with 498 5 minute intervals during periods of 83 observations for each trading day, the day 01/04/2010 until 01/11/2010 generating a total of 10,458 observations for each group. Common factors were found from the liquidity variables, which explain in part the common variation in liquidity. After analyzing the factors we proceeded to estimate the regressions by group. For each group had three regressions, only the first return of Ibovespa regressing against the return of the asset. Then we included a factor for liquidity and, after all factors were included in the model. Among the results of the regressions, the Group 1 stands out, presented the highest coefficient of determination and where the Bovespa index return and Factor 1 were significant, indicating that beyond the market beta the common factor in liquidity also produces impacts on return the company. This study showed that there is commonality in liquidity in the market and also that there is influence of liquidity in the return of individual assets, confirming the evidence found by Brockman, Chung and Perignon (2009). / O presente estudo teve como objetivo verificar a existência de comunalidade na liquidez no mercado brasileiro através da apresentação de fatores comuns de liquidez com uma técnica inovadora (análise fatorial dinâmica). Buscou ainda analisar a relação entre a comunalidade e o retorno dos ativos individuais. A maioria dos estudos de comunalidade são procedidos com análises de dados diários e trabalhados em mercados desenvolvidos como os Estados Unidos (Chordia, Roll e Subrahmanyam (2000) Huberman and Halka (1999), Hasbrouck and Seppi (2001), Henker e Martens (2003), Lee (2005) e Brockman, Chung e Pérignon (2009)), mas alguns utilizam dados intraday na formação da amostra e, além disso, evidenciam a comunalidade também nos mercados emergentes. Brockman and Chung (2002), Zheng e Zhang (2006), Giouvris e Galariotis (2008) são exemplos de estudos nesses mercados, usando uma variedade de medidas e diferentes abordagens metodológicas. Não foram encontradas pesquisas brasileiras envolvendo a comunalidade, mas um estudo estrangeiro de Brockman, Chung e Pérignon (2009) relatou evidências fracas no Brasil. O procedimento adotado para a estimação da análise fatorial dinâmica (AFD) foi baseado no estudo de Frederici (2006) utilizando o software Stata versão 11. Essa pesquisa foi realizada com as ações pertencentes ao índice Bovespa (Ibovespa) a partir de dados intraday a cada intervalo de cinco minutos no período de 04 de Janeiro até 30 de abril de 2010, totalizando 63 ativos da carteira teórica do primeiro quadrimestre de 2010. Devido à limitação do software a amostra foi dividida em três grupos (Grupo 1, 2 e 3), cada um composto por 21 empresas com 498 intervalos de 5 minutos em períodos de 83 observações para cada dia negociado, do dia 04/01/2010 até 11/01/2010 gerando um total de 10458 observações para cada um dos grupos. Foram encontrados fatores comuns a partir das variáveis de liquidez, nos quais explicam parte da variação comum da liquidez. Após a análise dos fatores procedeu-se a estimação das regressões por Grupo. Para cada Grupo foram geradas três regressões, a primeira somente do retorno do Ibovespa regredindo contra o retorno do ativo. Em seguida incluiu-se o fator 1 de liquidez e, após, todos os fatores foram incluídos no modelo. Dentre os resultados das regressões, destaca-se o Grupo 1, cujo modelo estimado apresentou o maior coeficiente de determinação e onde o retorno Ibovespa e o Fator 1 foram significativos, indicando que além do beta de mercado o fator comum da liquidez também produz impactos no retorno da empresa. Este estudo mostrou que existe comunalidade na liquidez no mercado brasileiro e, também, que há influência dos fatores de liquidez no retorno dos ativos individuais, corroborando com as evidências encontradas por Brockman, Chung e Pérignon (2009).

An existing analytical model, in use by Spoornet for the past two decades for calculating rail stresses on railway track, was revisited and improved. The model provided engineers with an easy-to-use program for evaluating track capacity and authorizing heavier loads on track. The model was modified to calculate rail and track component stresses more accurately. These modifications include the incorporation of current best practices and presentation of guidelines for the engineer on how to determine some input parameters which are normally difficult to obtain. Firstly it was determined which input parameters the model was the most sensitive to. Thereafter it was determined whether or not the correct information would generally be readily available for those sensitive parameters. The most sensitive parameters were further investigated and test results, as well as best practice analytical methods, were used to establish nominal input values and guidelines for determining such values. This research was necessary to establish whether or not the currently used analytical model still provided railway engineers with a useful tool and whether or not more modern and popular tools could validate or replace it. After some modifications to the analytical model, it was proved that it provides engineers with a suitably accurate tool for calculating rail and track component stresses, without the need to build time-consuming models of the track under investigation. It showed that the model, after some modifications, is current with calculational methods in recent publications and provides an immediate answer to "what-if" questions without the need to run lengthy analyses. / Dissertation (MEng (Mechanical Engineering))--University of Pretoria, 2006. / Mechanical and Aeronautical Engineering / unrestricted

With the growing popularity of business analytics, companies experience an increasing need of reliable data. Although the availability of behavioural data showing what the consumers do has increased, the access to data showing consumer mentality, what the con- sumers actually think, remain heavily dependent on tracking surveys. This thesis inves- tigates the performance of a Dynamic Factor Model using respondent-level data gathered through repeated cross-sectional surveys. Through Monte Carlo simulations, the model was shown to improve the accuracy of brand tracking estimates by double digit percent- ages, or equivalently reducing the required amount of data by more than a factor 2, while maintaining the same level of accuracy. Furthermore, the study showed clear indications that even greater performance benefits are possible.

De manière générale, la qualité d’un circuit de distribution peut-elle influencer le capital d’une marque ?C’est la principale question que nous traitons dans cette recherche. De nombreuses recherches ont étépubliées sur les déterminants du capital marque. Cependant, peu de choses ont été dites sur le rôle de ladistribution. De plus, une grande partie des recherches ont considéré l’image du point de vente comme unconcept global ou unidimensionnel. Or, la majorité des recherches affirme que l’image du point de vente estun construit multidimensionnel.Le but de cette recherche est d’étudier la relation entre la qualité de la distribution et le capital de la marquequi y est référencée. Nous développons un modèle qui met en relation les dimensions du magasin (l’imageprix, la variété de l’assortiment, la qualité de MDD, la qualité des produits, la qualité de service etl’accessibilité du magasin) et le capital marque, mesuré à l’aide des constantes qui, sont considéréescomme la mesure de l’utilité incrémentale de la marque. Nous utilisons les variables de contrôle telles que lacatégorie de produits. Nous élaborons un modèle factoriel dynamique en utilisant les données de panel sur4500 ménages, 12 magasins appartenant à de chaines différentes en France sur une période de cinq ans etdemi (2004-2009). Les résultats montrent que les effets de l’image du magasin sur le capital marque varientselon l’enseigne, le format de magasin, les catégories de produits, les marques et les caractéristiques desconsommateurs.D’un point de vue théorique, cette recherche permet d’identifier les dimensions les plus pertinentes del’image d’un point de vente ainsi que leurs conditions d’efficacité. D’un point de vue méthodologique, nousutilisons un modèle factoriel dynamique qui n’a pas encore été utilisé sur la mesure du capital marque. D’unpoint de vue managérial, cette recherche permettra aux responsables de marques de mieux apprécierl’influence d’un magasin sur la valeur de leurs marques. / Does a store format quality can generally influence brand equity? This is the main question we address inthis research. Numerous studies have been published on brand equity drivers. However, little has been saidabout the role of distribution. In addition, much research has conceptualized store image as a global or onedimensionalconcept. However, according to the research majority, store image is a multidimensionalconstruct.The purpose of this research is to investigate the relationship between distribution quality and brand equity.We develop a model that connects store image dimensions (price image, assortment variety, private labelquality, product quality, service quality, and location) and brand equity, measured thanks to the interceptswhich are considered as a brand incremental utility measure. The model controls for the variables such asthe product category. We adopt a dynamic factor model using panel data on 4500 households, 12 storesbelonging to different chains in France over a period of five years and a half (2004-2009). The results showthat store image effects on the brand equity depend on the store name, store format, product categories,brands and consumer characteristics.From a theoretical perspective, this research identifies the most relevant store image dimensions as well astheir efficiency conditions. From a methodological point of view, we use a dynamic factor model that has notyet been used on brand equity measurement. From a managerial standpoint, this research may help brandmanagers to better assess the store impact on their brands value.

Esse trabalho propõe estudar o grau de integração da estrutura a termo da taxa de juros com o mercado global e regional nos países da América Latina. Modelos de fatores dinâmicos foram usados para extrair os fatores globais, regionais e idiossincráticos da estrutura a termo como em Diebold, Li e Yue (2008) e Bae e Kim (2011). Foi encontrado que a estrutura a termo da taxa de juros da América Latina é integrada ao mercado global além de existir uma integração regional entre os países. Esse resultado é robusto ao fazer análises de subpériodos. No entanto, o proporção de variância explicada por cada fator varia conforme mudamos a amostra analisada. Essa variação pode ser consequência do período pós-crise e das politicas monetárias realizadas pelos principais Bancos Centrais no período. Ademais, a curva de juros do Brasil parece ter sido pouca influenciada por fatores globais pois o país apresentava condições macroeconômicas diferentes do restante do mundo. / In this work we propose to study the degree of integration of the term structure of interest rate of Latin America countries with global and regional markets. Using dynamic factor models as Diebold, Li e Yue (2008) and Bae e Kim (2011) to extract the global, regional and country specific factors we found that the term structure of interest rates of Latin America countries is integrated with global and regional markets. This result is robust studying different sample periods. However, the proportion of variance explained by those factors change when the sample periods change. This variation in the proportion of variance can be understood as consequence of the post crises period and the unconventional monetary policy that followed. Brazil term structure doesn\'t seem to be affected to global components. We interpret this last result as being a consequence of the different economic cycle that the country had comparing to the rest of the world.

The thesis is dedicated to time series analysis for functional data and contains three original parts. In the first part, we derive statistical tests for the presence of a periodic component in a time series of functions. We consider both the traditional setting in which the periodic functional signal is contaminated by functional white noise, and a more general setting of a contaminating process which is weakly dependent. Several forms of the periodic component are considered. Our tests are motivated by the likelihood principle and fall into two broad categories, which we term multivariate and fully functional. Overall, for the functional series that motivate this research, the fully functional tests exhibit a superior balance of size and power. Asymptotic null distributions of all tests are derived and their consistency is established. Their finite sample performance is examined and compared by numerical studies and application to pollution data. In the second part, we consider vector autoregressive processes (VARs) with innovations having a singular covariance matrix (in short singular VARs). These objects appear naturally in the context of dynamic factor models. The Yule-Walker estimator of such a VAR is problematic, because the solution of the corresponding equation system tends to be numerically rather unstable. For example, if we overestimate the order of the VAR, then the singularity of the innovations renders the Yule-Walker equation system singular as well. Moreover, even with correctly selected order, the Yule-Walker system tends be close to singular in finite sample. We show that this has a severe impact on predictions. While the asymptotic rate of the mean square prediction error (MSPE) can be just like in the regular (non-singular) case, the finite sample behavior is suffering. This effect turns out to be particularly dramatic in context of dynamic factor models, where we do not directly observe the so-called common components which we aim to predict. Then, when the data are sampled with some additional error, the MSPE often gets severely inflated. We explain the reason for this phenomenon and show how to overcome the problem. Our numerical results underline that it is very important to adapt prediction algorithms accordingly. In the third part, we set up theoretical foundations and a practical method to forecast multiple functional time series (FTS). In order to do so, we generalize the static factor model to the case where cross-section units are FTS. We first derive a representation result. We show that if the first r eigenvalues of the covariance operator of the cross-section of n FTS are unbounded as n diverges and if the (r+1)th eigenvalue is bounded, then we can represent the each FTS as a sum of a common component driven by r factors and an idiosyncratic component. We suggest a method of estimation and prediction of such a model. We assess the performances of the method through a simulation study. Finally, we show that by applying our method to a cross-section of volatility curves of the stocks of S&P100, we have a better prediction accuracy than by limiting the analysis to individual FTS. / Doctorat en Sciences économiques et de gestion / info:eu-repo/semantics/nonPublished

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This thesis consists of four papers: two of them deal with the effects on the forest sector of an increase in the demand for forest fuels, and two of them concern the relation between economic growth and pollution. Paper [I] is a first, preliminary study of the potential effects on the Swedish forest sector of a continuing rise in the use of forest resources as a fuel in energy generation. Sweden has made a commitment that the energy system should be sustainable, i.e., it should be based on renewable resources. However, an increasing use of the forest resources as an energy input could have effects outside the energy sector. We consider this in a static model by estimating a system of demand and supply equations for the four main actors on the Swedish roundwood market; forestry, sawmills, pulpmills and the energy sector. We then calculate the industries' short run supply and demand elasticities. Paper [II], is a development of the former paper. In this paper, we estimate the dynamic effects on the forest sector of an increased demand for forest fuels. This is done by developing a partial adjustment model of the forest sector that enables short, intermediate, and long run price elasticities to be estimated. It is relevant to study the effects of increased demand for forest fuels as the Swedish government has committed to an energy policy that is likely to further increase the use of renewable resources in the Swedish energy system. Four subsectors are included in the model: forestry, sawmills, pulpmills and the energy industry. The results show that the short run elasticities are fairly consistent with earlier studies and that sluggish adjustment in the capital stock is important in determining the intermediate and long run responses. Simulation shows that an increase in the demand for forest fuels has a positive effect on the equilibrium price of all three types of wood, and a negative effect on the equilibrium quantities of sawtimber and pulpwood. In paper [III] a Shephard distance function approach is used to estimate time series of shadow prices for Swedish emissions of CO2, SO2, and VOC for the period 1918 - 1994. The shadow prices are in a next step regressed on GDP per capita. The objective of the study is closely linked to hypothesis of environmental Kuznets curves. We conclude that the time series of the shadow prices from this approach can not be used to explain the EKCs found for Swedish emissions. In paper [IV], we calculate time series of shadow prices for Swedish emissions of CO2, SO2, and VOC for the period 1918 - 1994. The shadow prices are in a next step related to income, to explain the EKCs previously found for Swedish data on the three emissions. Newly constructed historical emission time series enable studying a single country's emission paths through increasing levels of economic activity. A directional distance function approach is used to estimate the industry's production process in order to calculate the opportunity costs of a reduction in the emissions. The time series of the shadow prices show support for EKCs for the Swedish industry.

Submitted by Pedro Montero Mattos (pmattos90@gmail.com) on 2017-09-05T14:09:34Z No. of bitstreams: 1 nowcasting-brazilian-gdp-ficha.pdf: 808279 bytes, checksum: 3b790fa6a2be106b618a354ab1f18650 (MD5) / Rejected by Joana Martorini (joana.martorini@fgv.br), reason: Prezado Pedro, boa noite, Seu trabalho não condiz com as normas necessárias para aprovação. Favor corrigir para que possamos aceitar o arquivo. Na capa faltou o nome completo da Escola, e ao identificar o local, na parte inferior da página, colocar somente o nome da cidade e o ano, retirar páginas em branco. Dissertação, banca examinadora, data da aprovação, campo de conhecimento devem estar ao lado inferior direito da página e deve haver um resumo em português. No link abaixo, a partir da página 11, tem o modelo dos requisitos necessários que podem auxiliá-lo: http://sistema.bibliotecas-sp.fgv.br/sites/bibliotecas.fgv.br/files/bibnormas1.pdf Se preferir, entre em contato pelo telefone: Thais Oliveira Cursos de Pós-Graduação (55 11) 3799-7764 SRA - Secretaria de Registros Acadêmicos on 2017-09-05T22:51:54Z (GMT) / Submitted by Pedro Montero Mattos (pmattos90@gmail.com) on 2017-09-06T18:29:03Z No. of bitstreams: 1 nowcasting-brazilian-gdp-final.pdf: 2797146 bytes, checksum: bc06f3221f99621eef79ac27ea0570ed (MD5) / Rejected by Joana Martorini (joana.martorini@fgv.br), reason: Prezado, boa tarde. Seu trabalho foi rejeitado pelo seguintes motivos: - O título na capa, contracapa e dissertação devem ser em negrito; - A numeração de páginas começa a partir da Introdução; - As Dissertações, Data da Aprovação e Banca Examinadora devem estar ao lado direito da página. Favor fazer a correção para que possamos aprovar o item. Qualquer dúvida entrar em contato no mestradoprofissional@fgv.br ou ligue 3799-7764 Att. on 2017-09-11T17:59:58Z (GMT) / Submitted by Pedro Montero Mattos (pmattos90@gmail.com) on 2017-09-11T20:14:04Z No. of bitstreams: 1 nowcasting-brazilian-gdp-final.pdf: 1435677 bytes, checksum: f7158565f421de4eacc385ee98d3348b (MD5) / Rejected by Joana Martorini (joana.martorini@fgv.br), reason: Prezado Pedro, boa noite. O trabalho está correto, exceto pela numeração de páginas, começa a partir da "Introdução", mas com o número de páginas certo, que no caso do seu arquivo seria "14" contando a partir da folha de rosto. Favor fazer a correção para que possamos aprovar o item. Grata. on 2017-09-11T21:34:20Z (GMT) / Submitted by Pedro Montero Mattos (pmattos90@gmail.com) on 2017-09-11T21:53:46Z No. of bitstreams: 1 nowcasting-brazilian-gdp-final.pdf: 1436704 bytes, checksum: 65555fa1bc7c021e54edc92cf70d35f2 (MD5) / Approved for entry into archive by Joana Martorini (joana.martorini@fgv.br) on 2017-09-11T22:28:54Z (GMT) No. of bitstreams: 1 nowcasting-brazilian-gdp-final.pdf: 1436704 bytes, checksum: 65555fa1bc7c021e54edc92cf70d35f2 (MD5) / Made available in DSpace on 2017-09-12T17:16:25Z (GMT). No. of bitstreams: 1 nowcasting-brazilian-gdp-final.pdf: 1436704 bytes, checksum: 65555fa1bc7c021e54edc92cf70d35f2 (MD5) Previous issue date: 2017-08-16 / Based on recent surveys on nowcasting methods, we apply the one-step estimation of dynamic factor models to the Brazilian case. Such methodology copes well with the problems of mixed-frequency series, ragged edges, timeliness and high dimensionality of data sets. We use the daily expectation published by the Brazilian Central Bank as a benchmark for our model and we do not find enough evidence to reject that both models have equal predictive accuracy, under non-distressed circumstances. / Baseado em recentes pesquisas em métodos de Nowcasting, foi aplicada a estimação de modelos de fatores dinâmicos em um passo ao caso brasileiro. Esta metodologia lida com os problemas de frequências mistas, amostras recortadas, horizonte temporal e alta dimensão da amostra. Foram utilizadas as expectativas diárias do PIB publicadas pelo Banco Central como um benchmark do modelo. Não foram encontradas evidências que rejeitam a hipótese de igual poder preditivo, para circunstâncias econômicas não estressadas.

This Thesis is composed by three independent papers that investigate<p>central debates in empirical macroeconomic modeling.<p><p>Chapter 1, entitled “A Model for Real-Time Data Assessment with an Application to GDP Growth Rates”, provides a model for the data<p>revisions of macroeconomic variables that distinguishes between rational expectation updates and noise corrections. Thus, the model encompasses the two polar views regarding the publication process of statistical agencies: noise versus news. Most of the studies previous studies that analyze data revisions are based<p>on the classical noise and news regression approach introduced by Mankiew, Runkle and Shapiro (1984). The problem is that the statistical tests available do not formulate both extreme hypotheses as collectively exhaustive, as recognized by Aruoba (2008). That is, it would be possible to reject or accept both of them simultaneously. In turn, the model for the<p>DPP presented here allows for the simultaneous presence of both noise and news. While the “regression approach” followed by Faust et al. (2005), along the lines of Mankiew et al. (1984), identifies noise in the preliminary<p>figures, it is not possible for them to quantify it, as done by our model. <p><p>The second and third chapters acknowledge the possibility that macroeconomic data is measured with errors, but the approach followed to model the missmeasurement is extremely stylized and does not capture the complexity of the revision process that we describe in the first chapter.<p><p><p>Chapter 2, entitled “Revisiting the Success of the RBC model”, proposes the use of dynamic factor models as an alternative to the VAR based tools for the empirical validation of dynamic stochastic general equilibrium (DSGE) theories. Along the lines of Giannone et al. (2006), we use the state-space parameterisation of the factor models proposed by Forni et al. (2007) as a competitive benchmark that is able to capture weak statistical restrictions that DSGE models impose on the data. Our empirical illustration compares the out-of-sample forecasting performance of a simple RBC model augmented with a serially correlated noise component against several specifications belonging to classes of dynamic factor and VAR models. Although the performance of the RBC model is comparable<p>to that of the reduced form models, a formal test of predictive accuracy reveals that the weak restrictions are more useful at forecasting than the strong behavioral assumptions imposed by the microfoundations in the model economy.<p><p>The last chapter, “What are Shocks Capturing in DSGE modeling”, contributes to current debates on the use and interpretation of larger DSGE<p>models. Recent tendency in academic work and at central banks is to develop and estimate large DSGE models for policy analysis and forecasting. These models typically have many shocks (e.g. Smets and Wouters, 2003 and Adolfson, Laseen, Linde and Villani, 2005). On the other hand, empirical studies point out that few large shocks are sufficient to capture the covariance structure of macro data (Giannone, Reichlin and<p>Sala, 2005, Uhlig, 2004). In this Chapter, we propose to reconcile both views by considering an alternative DSGE estimation approach which<p>models explicitly the statistical agency along the lines of Sargent (1989). This enables us to distinguish whether the exogenous shocks in DSGE<p>modeling are structural or instead serve the purpose of fitting the data in presence of misspecification and measurement problems. When applied to the original Smets and Wouters (2007) model, we find that the explanatory power of the structural shocks decreases at high frequencies. This allows us to back out a smoother measure of the natural output gap than that<p>resulting from the original specification. / Doctorat en Sciences économiques et de gestion / info:eu-repo/semantics/nonPublished