Time series model have been used in many areas of knowledge and have become a current necessity for companies to survive in a globalized and competitive market, as well as climatic factors that have always been a concern because of the different ways they interfere in human life. In this context, this work aims to present a comparison among the performances by the following models of time series: ARIMA, ARMAX and Exponential Smoothing, adjusted to air relative humidity (UR) and also to verify the volatility present in the series through non-linear models ARCH/GARCH, adjusted to residues of the ARIMA and ARMAX models. The data were collected from INMET from October, 1st to January, 22nd, 2014. In the comparison of the results and the selection of the best model, the criteria MAPE, EQM, MAD and SSE were used. The results showed that the model ARMAX(3,0), with the inclusion of exogenous variables produced better forecast results, compared to the other models SARMA(3,0)(1,1)12 and the Holt-Winters multiplicative. In the volatility study of the series via non-linear ARCH(1), adjusted to the quadrants of SARMA(3,0)(1,1)12 and ARMAX(3,0) residues, it was observed that the volatility does not tend to influence the future long-term observations. It was then concluded that the classes of models used and compared in this study, for data of a climatologic variable, showed a good performance and adjustment. We highlight the broad usage possibility in the techniques of temporal series when it is necessary to make forecasts and also to describe a temporal process, being able to be used as an efficient support tool in decision making. / Modelos de séries temporais vêm sendo empregados em diversas áreas do conhecimento e têm surgido como necessidade atual para empresas sobreviverem em um mercado globalizado e competitivo, bem como fatores climáticos sempre foram motivo de preocupação pelas diferentes formas que interferem na vida humana. Nesse contexto, o presente trabalho tem por objetivo apresentar uma comparação do desempenho das classes de modelos de séries temporais ARIMA, ARMAX e Alisamento Exponencial, ajustados a dados de umidade relativa do ar (UR) e verificar a volatilidade presente na série por meio de modelos não-lineares ARCH/GARCH ajustados aos resíduos dos modelos ARIMA e ARMAX. Os dados foram coletados junto ao INMET no período de 01 de outubro de 2001 a 22 de janeiro de 2014. Na comparação dos resultados e na seleção do melhor modelo foram utilizados os critérios MAPE, EQM, MAD e SSE. Os resultados mostraram que o modelo ARMAX(3,0) com a inclusão de variáveis exógenas produziu melhores resultados de previsão em relação aos seus concorrentes SARMA(3,0)(1,1)12 e o Holt-Winters multiplicativo. No estudo da volatilidade da série via modelo não-linear ARCH(1), ajustado aos quadrados dos resíduos dos modelos SARMA(3,0)(1,1)12 e ARMAX(3,0), observou-se que a volatilidade não tende a influenciar as observações futuras em longo prazo. Conclui-se que as classes de modelos utilizadas e comparadas neste estudo, para dados de uma variável climatológica, demonstraram bom desempenho e ajuste. Destaca-se a ampla possibilidade de utilização das técnicas de séries temporais quando se deseja fazer previsões e descrever um processo temporal, podendo ser utilizadas como ferramenta eficiente de apoio nas tomadas de decisão.

[pt] A hipótese de normalidade é comumente utilizada na área de análise de risco para descrever as distribuições dos retornos padronizados pelas volatilidades. No entanto, utilizando cinco dos ativos mais líquidos na Bovespa, este trabalho mostra que tal hipótese não é compatível com medidas de volatilidades estimadas pela metodologia EWMA ou modelos GARCH. Em contraposição, ao extrair a informação contida em cotações intradiárias, a metodologia de volatilidade realizada origina retornos padronizados normais, potencializando ganhos no cálculo de medidas de Valor em Risco. Além disso, são caracterizadas as distribuições de volatilidades e correlações de ativos brasileiros e, em especial, mostra-se que as distribuições das volatilidades são aproximadamente lognormais, enquanto as distribuições das correlações são aproximadamente normais. A análise é feita tanto de um ponto de vista univariado quanto multivariado e fornece subsídio para a melhor modelagem de variâncias e correlações em um contexto de grande dimensionalidade. / [en] The normality assumption is commonly used in the risk management area to describe the distributions of returns standardized by volatilities. However, using five of the most actively traded stocks in Bovespa, this paper shows that this assumption is not compatible with volatilities estimated by EWMA or GARCH models. In sharp contrast, when we use the information contained in high frequency data to construct the realized volatilies measures, we attain the normality of the standardized returns, giving promise of improvements in Value at Risk statistics. We also describe the distributions of volatilities and correlations of the brazilian stocks, showing that the distributions of volatilities are nearly lognormal and the distribuitions of correlations are nearly Gaussian. All analysis is traced both in a univariate and a multivariate framework and provides background for improved high-dimensional volatility and correlation modelling in the brazilian stock market.

L'objectif de cette thèse est d’étudier à côté du risque défaut, le rôle spécifique des risques de volatilité et de co-volatilité dans la formation des taux longs dans la zone euro. On propose en particulier un modèle théorique de choix de portefeuille à deux pays permettant d’évaluer la contribution des primes de risque de volatilité aux processus de contagion et de fuite vers la qualité dans différents épisodes de la crise de la dette souveraine. Ce modèle permet également d’analyser le rôle des achats d’actifs (QE) de la BCE sur l’équilibre des marchés obligataires. Nos tests empiriques suggèrent que les programmes QE de la BCE à partir de mars 2015 n’ont fait qu’accélérer « une défragmentation » des marchés obligataires de la zone euro, apparue plus tôt dans la crise, dès la mise en place de l’OMT. / This thesis examines the specific role of volatility risks and co-volatility in the formation of long-term interest rates in the euro area. In particular, a two-country theoretical portfolio choice model is proposed to evaluate the volatility risk premia and their contribution to the contagion and flight to quality processes. This model also provides an opportunity to analyze the ECB's role of asset purchases (QE) on the equilibrium of bond markets. Our empirical tests suggest that the ECB's QE programs from March 2015 have accelerated the "defragmentation" of the euro zone bond markets.

Dans cette thèse, nous étudions des modèles de moyennes conditionnelles de séries temporelles à valeurs entières. Tout d’abord, nous proposons l’estimateur de quasi maximum de vraisemblance de Poisson (EQMVP) pour les paramètres de la moyenne conditionnelle. Nous montrons que, sous des conditions générales de régularité, cet estimateur est consistant et asymptotiquement normal pour une grande classe de modèles. Étant donné que les paramètres de la moyenne conditionnelle de certains modèles sont positivement contraints, comme par exemple dans les modèles INAR (INteger-valued AutoRegressive) et les modèles INGARCH (INteger-valued Generalized AutoRegressive Conditional Heteroscedastic), nous étudions la distribution asymptotique de l’EQMVP lorsque le paramètre est sur le bord de l’espace des paramètres. En tenant compte de cette dernière situation, nous déduisons deux versions modifiées du test de Wald pour la significativité des paramètres et pour la moyenne conditionnelle constante. Par la suite, nous accordons une attention particulière au problème de validation des modèles des séries temporelles à valeurs entières en proposant un test portmanteau pour l’adéquation de l’ajustement. Nous dérivons la distribution jointe de l’EQMVP et des autocovariances résiduelles empiriques. Puis, nous déduisons la distribution asymptotique des autocovariances résiduelles estimées, et aussi la statistique du test. Enfin, nous proposons l’EQMVP pour estimer équation-par-équation (EpE) les paramètres de la moyenne conditionnelle des séries temporelles multivariées à valeurs entières. Nous présentons les hypothèses de régularité sous lesquelles l’EQMVP-EpE est consistant et asymptotiquement normal, et appliquons les résultats obtenus à plusieurs modèles des séries temporelles multivariées à valeurs entières. / The framework of this PhD dissertation is the conditional mean count time seriesmodels. We propose the Poisson quasi-maximum likelihood estimator (PQMLE) for the conditional mean parameters. We show that, under quite general regularityconditions, this estimator is consistent and asymptotically normal for a wide classeof count time series models. Since the conditional mean parameters of some modelsare positively constrained, as, for example, in the integer-valued autoregressive (INAR) and in the integer-valued generalized autoregressive conditional heteroscedasticity (INGARCH), we study the asymptotic distribution of this estimator when the parameter lies at the boundary of the parameter space. We deduce a Waldtype test for the significance of the parameters and another Wald-type test for the constance of the conditional mean. Subsequently, we propose a robust and general goodness-of-fit test for the count time series models. We derive the joint distribution of the PQMLE and of the empirical residual autocovariances. Then, we deduce the asymptotic distribution of the estimated residual autocovariances and also of a portmanteau test. Finally, we propose the PQMLE for estimating, equation-by-equation (EbE), the conditional mean parameters of a multivariate time series of counts. By using slightly different assumptions from those given for PQMLE, we show the consistency and the asymptotic normality of this estimator for a considerable variety of multivariate count time series models.

E’ stato estesamente appurato che i mercati dell'elettricità mostrano mean-reversion e elevata volatilità dei prezzi. Questo lavoro utilizza un modello VAR-MGARCH al fine di cogliere queste caratteristiche presenti sul mercato dell'energia elettrica italiana (IPEX) e analizzare le interrelazioni esistenti tra le diverse regioni in cui il mercato è suddiviso. L’analisi è condotta sui prezzi giornalieri dal 1 ° gennaio 2006 al 31 dicembre 2008. I coefficienti stimati dalle equazioni condizionali indicano che i mercati regionali sono abbastanza integrati e i prezzi regionali dell'energia elettrica possono essere adeguatamente previsti impiegando i prezzi passati di ciascun mercato zonale. La volatilità e la cross-volatility sono significative per tutti i mercati, indicando la presenza di forti componenti ARCH e GARCH e la sostanziale inefficienza dei mercati. E’ inoltre evidente un’elevata persistenza della volatilità e della cross-volatility in tutti i mercati. I risultati indicano inoltre che gli shock rilevati, sia nella volatilità, sia nei vari mercati, persistono nel tempo e che in ogni mercato la persistenza è più marcata quando è causata da innovazioni stimate sulle stesso mercato rispetto a shock stimati su altre aree. Questa persistenza descrive la tendenza delle variazioni dei prezzi a raggrupparsi nel tempo. / It is commonly known that spot electricity markets show mean-reversion and high price volatility. This work employs a VAR-MGARCH model to capture these features in the Italian electricity market (IPEX) and analyze the interrelation existing among the different regions in which the market is divided. Daily spot prices from 1 January 2006 to 31 December 2008 are employed. The estimated coefficients from the conditional mean equations indicate that the regional markets are quite integrated and regional electricity prices could be usefully forecasted using lagged prices from either the same market or from the other areal markets. Volatility and cross-volatility spill-overs are significant for all markets, indicating the presence of strong ARCH and GARCH effects and market inefficiency. Strong persistence of volatility and cross-volatility are also evident in all local markets. The results also indicate that volatility innovations or shocks in all markets persist over time and that in every market this persistence is more marked for own-innovations or shocks than cross-innovations or shocks. This persistence captures the propensity of price changes of similar magnitude to cluster in time.

This thesis consists of four self-contained essays on the various topics in finance.  The first essay, The Information Content of The Systematic Risk Structure of Corporate Yields for Future Real Activity: An Exploratory Empirical Investigation, constructs a proxy for the systematic component of the risk structure of corporate yields (or systematic risk structure), and tests how well it predicts real economic activity in the United States. It finds that the systematic risk structure predicts the growth rate of industrial production 3 to 18 months into the future even when other leading indicators are controlled for, outperforming other models. A regime-switching estimation also shows that the systematic risk structure is very successful in identifying and capturing different growth regimes of industrial production.  The second essay, How Much Leverage is Too Much, or Does Corporate Risk Determine the Severity of a Recession? investigates whether financial conditions of the U.S. corporate sector  can explain the probability and severity of recessions. It proposes a measure of corporate vulnerability, the Corporate Vulnerability Index (CVI) constructed as the default probability for the entire corporate sector. It finds that the CVI is a significant predictor of the probability of a recession 4 to 6 quarters ahead, even controlling for other leading indicators, and that an increase in the CVI is also associated with a rise in the probability of a more severe and lengthy recession 3 to 6 quarters ahead.  The third essay, Asian Flu or Wall Street Virus? Tech and Non-Tech Spillovers in the United States and Asia (with Jorge A. Chan-Lau), using TGARCH models, finds that U.S. stock markets have been the major source of price and volatility spillovers to stock markets in the Asia-Pacific region during three different periods: the pre-LTCM crisis period, the “tech bubble” period, and the “stock market correction” period. Hong Kong SAR, Japan, and Singapore were sources of spillovers within the region and affected the United States during the latter period. There is also evidence of structural breaks in the stock price and volatility dynamics induced during the “tech bubble” period.  The fourth essay, Coping with Financial Spillovers from the United States: The Effect of U. S. Corporate Scandals on Canadian Stock Prices, investigates the effect of U.S. corporate scandals on stock prices of Canadian firms interlisted  in the United States. It finds that firms interlisted during the pre-Enron period enjoyed increases in post-listing equilibrium prices, while firms interlisted during the post-Enron period experienced declines in post-listing equilibrium prices, relative to a model-based benchmark. Analyzing the entire universe of Canadian firms, it finds that interlisted firms, regardless of their listing time, were perceived as increasingly risky by Canadian investors after the Enron’s bankruptcy. / Diss. Stockholm : Handelshögskolan, 2003

Cette thèse analyse les enjeux du développement économique liés aux dynamiques des cours des matières premières en général et ceux du coton en particulier. Traditionnellement, les travaux s’inscrivant dans une optique de long terme questionnent la pertinence des spécialisations primaires des PMA. À moyen terme l’intérêt porte davantage sur l’instabilité dont les conséquences sont d’autant plus importantes que la dépendance des pays à l’exportation de tels produits est forte. Les enjeux s’articulent alors autour des modalités de régulation des marchés, du choix d'outils (publics ou marchands) pour la gestion des incertitudes, le tout dépendant de l’appréhension de l’instabilité comme un phénomène endogène ou exogène. Dans un contexte nouveau marqué par l’affirmation d’oligopoles de firmes, la segmentation du processus productif mondial, et la financiarisation des marchés de matières premières, nous proposons un cadre analytique permettant d’aborder différemment ces problématiques. Nos travaux montrent d’abord comment les approches du type chaînes globales de valeur peuvent être mobilisées pour mieux orienter les stratégies commerciales / industrielles des PMA. S’appuyant sur la notion de rationalité limitée dans le cadre de modèles de comportements hétérogènes, ils prouvent ensuite l’existence d’une forte composante endogène dans l’instabilité et par là même, l'inefficacité des seuls outils marchands. Au final, pour les pays africains producteurs de coton, il apparait qu’il reste possible de mettre ce produit au service d’une stratégie globale de développement. Cela passe par le recours à des mécanismes hybrides de gestion de l’instabilité, combiné au renforcement des dynamiques de coopération transfrontalières en vue d’une structuration de chaînes régionales de valeur. / This thesis analyzes the economic development issues related to the medium and long-term dynamics of commodities prices in general and cotton prices in particular. Studies on the long-term perspective traditionally question the relevance of primary specializations of LDCs. In the medium term, the interest is relates to price instability for which the consequences are all the more important as countries’ dependency on the exports of such products becomes stronger. The stakes then revolve around market regulation modalities, and the choice of risk management tools (e.g. public or private interventions). These depend on the apprehension of price fluctuations as a phenomenon arising from endogenous or exogenous market factors. In a new economical context influenced by the growing importance of oligopolistic firms, a segmentation of the productive process and the financialization of commodity markets, we address differently these issues through a new analytical framework. The proposed analysis first shows how approaches such as the ones related to global value chains are more adapted to tackle industrial/commercial policies in commodity dependent LDCs. Second, in a context of heterogeneous behavioral models, we rely on the concept of bounded rationality to show the presence of a strong endogenous component in instability. Thus, it proves the inefficiency of private interventions to counter instability. Considering these findings in the case of African cotton producers, we conclude that it remains possible to incorporate the commodity in a global development strategy. But this involves the use of hybrid-type mechanisms (public-private) for managing uncertainty, combined with a reinforcement of cross-border cooperation dynamics in order to structure regional value chains.