Functional magnetic resonance imaging (fMRI) has emerged as the method of choice to non-invasively investigate brain function in humans. Though brain is known to act as a nonlinear system, here has not been much effort to explore the applicability of nonlinear analysis techniques to fMRI data. Also, recent trends have suggested that functional localization as a model of brain function is incomplete and efforts are being made to develop models based on networks of regions to understand brain function. Therefore this thesis attempts to introduce the twin concepts of nonlinear dynamics and network analysis into a broad spectrum of fMRI data analysis techniques. First, we characterized the nonlinear univariate dynamics of fMRI noise using the concept of embedding to explain the origin of tissue-specific differences of baseline activity in the brain. The embedding concept was extended to the multivariate case to study nonlinear functional connectivity in the distributed motor network during resting state and continuous motor task. The results showed that the nonlinear method may be more sensitive to the desired gray matter signal. Subsequently, the scope of connectivity was extended to include directional interactions using Granger causality. An integrated approach was developed to alleviate the confounding effect of the spatial variability of the hemodynamic response and graph theory was employed to characterize the network topology. This methodology proved effective in characterizing the dynamics of cortical networks during motor fatigue. The nonlinear extension of Granger causality showed that it was more robust in the presence of confounds such as baseline drifts. Finally, we utilized the integration of the spatial correlation function to study connectivity in local brain networks. We showed that our method is robust and can reveal interesting information including the default mode network during resting state. Application of this technique to anesthesia data showed dose dependent suppression of local connectivity in the default mode network, particularly in the frontal areas. Given the body of evidence emerging from our studies, nonlinear and network characterization of fMRI data seems to provide novel insights into brain function.

A volatilidade é uma medida de incerteza quanto às variações dos preços de ativos. Este trabalho tem como objetivo analisar a volatilidade, através dos diversos modelos da família GARCH, de três índices de mercados financeiros: Dow Jones, IBovespa e S&P 500. Com este intuito, foram aqui utilizadas técnicas univariadas e multivariadas, bem como análises de Causalidade de Granger. Através das duas primeiras ferramentas, escolhemos o melhor modelo para cada um destes casos. Usando a terceira ferramenta, concluímos que o IBovespa é significativamente influenciado pela abertura do Dow Jones e do S&P500. Por outro lado, mostramos que a abertura do IBovespa não impacta, nem à 10% de significância, os índices Dow Jones e S&P 500. Também concluímos que a incorporação de um dos índices americanos ao modelo do IBovespa torna-o mais significativo, uma vez que o mercado acionário brasileiro é impactado pelos dois índices citados anteriormente. Desta forma, este trabalho mostra que os modelos GARCH multivariados aparentam ser mais eficazes na estimação da volatilidade de ativos financeiros do que os modelos GARCH univariados. / The volatility is a measure of the uncertainty of variations of asset prices. The main goal of this work is to analyze the volatility, by the use of several models of the GARCH family, of three financial market indexes: Dow Jones, IBovespa and S&P 500. With this purpose, we use univariate and multivariate techniques, as well as Granger Causality. Using these first two tools, we choose the best model for each one of these cases. Using the third tool, we conclude that the IBovespa is significatively influenced by the opening of the Dow Jones and the S&P 500 indexes. On the other hand, we show that the opening of the IBovespa does not impact, not even at 10% of significance, the Dow Jones and S&P 500 indexes. We also conclude that incorporation of one of these American indexes to the model involving IBovespa makes it more significant, once the Brazilian Stock Market is impacted by the two American indexes we mention before. This work shows that multivariate GARCH models seem to be more efficient in the volatility estimation of financial assets than univariate GARCH models.

Submitted by João Cardoso Ramos (joao.cardoso@neoenergia.com) on 2016-10-18T17:54:17Z No. of bitstreams: 1 Choques precos Minerio de Ferro e Oleo Combustivel_Ramos_EPGE_2016.pdf: 16472320 bytes, checksum: 23f5ab6cc05689772c15ce6d62f48270 (MD5) / Approved for entry into archive by GILSON ROCHA MIRANDA (gilson.miranda@fgv.br) on 2016-10-24T18:35:40Z (GMT) No. of bitstreams: 1 Choques precos Minerio de Ferro e Oleo Combustivel_Ramos_EPGE_2016.pdf: 16472320 bytes, checksum: 23f5ab6cc05689772c15ce6d62f48270 (MD5) / Approved for entry into archive by GILSON ROCHA MIRANDA (gilson.miranda@fgv.br) on 2016-11-08T12:45:12Z (GMT) No. of bitstreams: 1 Choques precos Minerio de Ferro e Oleo Combustivel_Ramos_EPGE_2016.pdf: 16472320 bytes, checksum: 23f5ab6cc05689772c15ce6d62f48270 (MD5) / Made available in DSpace on 2016-11-08T13:21:48Z (GMT). No. of bitstreams: 1 Choques precos Minerio de Ferro e Oleo Combustivel_Ramos_EPGE_2016.pdf: 16472320 bytes, checksum: 23f5ab6cc05689772c15ce6d62f48270 (MD5) Previous issue date: 2016-05-27 / This paper analyzes the relation between iron ore and bunker oil prices` returns for the period from June, 2008 to March, 2016. For this purpose, econometric models were estimated separately (through OLS technique) as well as jointly (through SURE approach) to capture contemporaneous correlations of the shocks of both prices. The result indicates the existence of a contemporaneously monthly correlation of about 20% between the shocks. Additionally, it indicates the absence of correlation and causality when prices are compared with lags. Therefore, one can assume that mining companies with revenues linked to iron ore prices and costs linked to bunker oil prices do partially benefit from natural hedge against shocks in those two markets. / Este trabalho analisa a relação entre os choques de preços nos mercados de minério de ferro e de óleo combustível para navegação (bunker oil) no período entre junho de 2008 e março de 2016. Para isso, foram estimados modelos de forma independente (via OLS) e de forma conjunta (via SURE) para capturar o efeito de correlações contemporâneas nos choques entre os preços. Os resultados apontam para a existência de correlação mensal contemporânea da ordem de 20% entre os choques de preços. Adicionalmente, mostra-se a ausência de correlação e de causalidade quando se compara os preços de mercados com defasagens. Assim, conclui-se que mineradoras com receitas atreladas a minério de ferro e custos indexados ao óleo se beneficiam parcialmente de hedge natural contra choques de preços nesses dois mercados.

This dissertation explored the efficacy of the new Basel III banking standards in SACU, grounded on the conjecture that they are not reflective of economies of SACU, but are merely an intensification of Basel II, rather than a substantial break with it. Firstly, loans and assets were tested for causality, since Basel III believes growth in these variables led to securitization. The leverage ratio has been introduced in Basel III as an anti-cyclical buffer. The OLS technique was employed to test for its significance in determining growth in bank assets. SACU feels the impact of debt, with credit is marginally treated in Basel III and is not introspective of the realities of its economies. ANOVA tests using debt, credit and GDP were done to determine a better method of addressing cyclicality. The leverage ratio was insignificant in Namibia, with debt and credit having momentous impacts on GDP in SACU. / Economics / M. Com. (Economics)

A volatilidade é uma medida de incerteza quanto às variações dos preços de ativos. Este trabalho tem como objetivo analisar a volatilidade, através dos diversos modelos da família GARCH, de três índices de mercados financeiros: Dow Jones, IBovespa e S&P 500. Com este intuito, foram aqui utilizadas técnicas univariadas e multivariadas, bem como análises de Causalidade de Granger. Através das duas primeiras ferramentas, escolhemos o melhor modelo para cada um destes casos. Usando a terceira ferramenta, concluímos que o IBovespa é significativamente influenciado pela abertura do Dow Jones e do S&P500. Por outro lado, mostramos que a abertura do IBovespa não impacta, nem à 10% de significância, os índices Dow Jones e S&P 500. Também concluímos que a incorporação de um dos índices americanos ao modelo do IBovespa torna-o mais significativo, uma vez que o mercado acionário brasileiro é impactado pelos dois índices citados anteriormente. Desta forma, este trabalho mostra que os modelos GARCH multivariados aparentam ser mais eficazes na estimação da volatilidade de ativos financeiros do que os modelos GARCH univariados. / The volatility is a measure of the uncertainty of variations of asset prices. The main goal of this work is to analyze the volatility, by the use of several models of the GARCH family, of three financial market indexes: Dow Jones, IBovespa and S&P 500. With this purpose, we use univariate and multivariate techniques, as well as Granger Causality. Using these first two tools, we choose the best model for each one of these cases. Using the third tool, we conclude that the IBovespa is significatively influenced by the opening of the Dow Jones and the S&P 500 indexes. On the other hand, we show that the opening of the IBovespa does not impact, not even at 10% of significance, the Dow Jones and S&P 500 indexes. We also conclude that incorporation of one of these American indexes to the model involving IBovespa makes it more significant, once the Brazilian Stock Market is impacted by the two American indexes we mention before. This work shows that multivariate GARCH models seem to be more efficient in the volatility estimation of financial assets than univariate GARCH models.

Hermione Granger is the most prominent female character in the Harry Potter series. She is also the only one in the trio of herself, Harry Potter, and Ron Weasley who is muggle-born. She is, therefore, most likely to be discriminated against in two aspects – on the basis of her sex and race. This essay examines Hermione with the help of Simone de Beauvoir’s The Second Sex and Edward W. Said’s Orientalism to show how she is represented and portrayed as “the Other” in these two aspects. In which aspect is she more likely to suffer from discrimination, or is it the combination of the two that is essential? As discrimination on the basis of sex, race, ethnicity, religion, and other aspects continues to grow in Western societies, it is important to look at how this widely popular literary series handles these issues.

A volatilidade é uma medida de incerteza quanto às variações dos preços de ativos. Este trabalho tem como objetivo analisar a volatilidade, através dos diversos modelos da família GARCH, de três índices de mercados financeiros: Dow Jones, IBovespa e S&P 500. Com este intuito, foram aqui utilizadas técnicas univariadas e multivariadas, bem como análises de Causalidade de Granger. Através das duas primeiras ferramentas, escolhemos o melhor modelo para cada um destes casos. Usando a terceira ferramenta, concluímos que o IBovespa é significativamente influenciado pela abertura do Dow Jones e do S&P500. Por outro lado, mostramos que a abertura do IBovespa não impacta, nem à 10% de significância, os índices Dow Jones e S&P 500. Também concluímos que a incorporação de um dos índices americanos ao modelo do IBovespa torna-o mais significativo, uma vez que o mercado acionário brasileiro é impactado pelos dois índices citados anteriormente. Desta forma, este trabalho mostra que os modelos GARCH multivariados aparentam ser mais eficazes na estimação da volatilidade de ativos financeiros do que os modelos GARCH univariados. / The volatility is a measure of the uncertainty of variations of asset prices. The main goal of this work is to analyze the volatility, by the use of several models of the GARCH family, of three financial market indexes: Dow Jones, IBovespa and S&P 500. With this purpose, we use univariate and multivariate techniques, as well as Granger Causality. Using these first two tools, we choose the best model for each one of these cases. Using the third tool, we conclude that the IBovespa is significatively influenced by the opening of the Dow Jones and the S&P 500 indexes. On the other hand, we show that the opening of the IBovespa does not impact, not even at 10% of significance, the Dow Jones and S&P 500 indexes. We also conclude that incorporation of one of these American indexes to the model involving IBovespa makes it more significant, once the Brazilian Stock Market is impacted by the two American indexes we mention before. This work shows that multivariate GARCH models seem to be more efficient in the volatility estimation of financial assets than univariate GARCH models.

Submitted by Adriana Maria Reimberg da Silva (drireimberg@gmail.com) on 2013-03-04T20:11:07Z No. of bitstreams: 1 Adriana R. Silva - Dissertação MPFE_final.pdf: 1469724 bytes, checksum: 37bd75018334dd71c5fd998bf6e63a3b (MD5) / Approved for entry into archive by Suzinei Teles Garcia Garcia (suzinei.garcia@fgv.br) on 2013-03-04T20:45:44Z (GMT) No. of bitstreams: 1 Adriana R. Silva - Dissertação MPFE_final.pdf: 1469724 bytes, checksum: 37bd75018334dd71c5fd998bf6e63a3b (MD5) / Made available in DSpace on 2013-03-04T20:47:08Z (GMT). No. of bitstreams: 1 Adriana R. Silva - Dissertação MPFE_final.pdf: 1469724 bytes, checksum: 37bd75018334dd71c5fd998bf6e63a3b (MD5) Previous issue date: 2013-02-05 / This study examines whether there are impacts of trading activity in commodity futures markets on the volatility of spot prices for crystal sugar and hydrous ethanol traded in Brazil. For this analysis are used Granger Causality and Forecast Error Variance Decomposition. The results show a causal relationship between trading volumes and volatility of spot prices, except for the volume of futures traded in the London exchange. There were no causal relationship between the amount of open interest and price volatility in the spot market for any of the commodities studied. / O presente trabalho analisa a existência de possíveis impactos da atividade de negociação nos mercados futuros de commodities sobre a volatilidade dos preços físicos dos mercados de açúcar cristal e etanol hidratado comercializados no Brasil. Para isso, são utilizadas as análises de Causalidade de Granger e da Decomposição da Variância do Erro de Previsão. Os resultados obtidos mostraram que realmente existem relações de causalidade entre volumes negociados e volatilidade dos preços no mercado físico, com exceção do volume negociado de futuros na bolsa de Londres. Não foram encontradas relações causais entre a quantidade de contratos em aberto e a volatilidade dos preços no mercado físico para nenhuma commodity estudada.

Magister Commercii - MCom / The objective of this study is to investigate the empirical relationship between exports and economic growth in order to ascertain whether the hypothesis of export-led growth is valid in the case of South Africa. This study has not only focused on sectoral exports for the period 1990-2011; but it has also examined total exports for the period extending from 1970 to 2011. Using quarterly data and time series econometric techniques of co-integration and Granger-causality tests over the two set of periods, the key findings of the study are as follows: (i) At the aggregate level (using total exports): the technique of co-integration suggests that total exports and GDP moved together in the long-run, though deviations from the steady state might happen in the short-run. Furthermore, Granger causality tests inferred from the Vector Error Correction model reveal that the direction of causality between export and GDP growth is bidirectional. (ii) At the sectoral level (using the main component of exports): export-growth link emerges as a long-run behavioural relationship since a co-integrating relation was found among output and agricultural, manufactured and mining exports. This relationship demonstrates that manufactured exports have the greatest positive impact on output growth. (iii) Sectoral level Granger-causality tests based on ECM reveal the existence of a long run causality running from manufactured exports to GDP; whereas the short-run causality runs from manufactured and mining exports to GDP. However, the Toda-Yamamoto Granger test confirms only short-run causality from manufactured exports to GDP. In both cases, there is evidence of a uni-directional causality from exports to GDP.The above results show that the hypothesis of export-led growth is valid for South Africa. This implies that exports, particularly manufactured and mining exports play a key role in driving economic growth. Hence, the key policy implication of these results is that, measures which aim at stimulating production for exports and shifting the content of exports will meaningfully contribute to the improvement of GDP growth and employment prospects in South Africa.

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