Financial time series studies indicate that the lognormal assumption for the return of an underlying security is often violated in practice. This is due to the presence of time-varying volatility in the return series. The most common departures are due to a fat left-tail of the return distribution, volatility clustering or persistence, and asymmetry of the volatility. To account for these characteristics of time-varying volatility, many volatility models have been proposed and studied in the financial time series literature. Two main conditional-variance model specifications are the autoregressive conditional heteroscedasticity (ARCH) and the stochastic volatility (SV) models. The SV model, proposed by Taylor (1986), is a useful alternative to the ARCH family (Engle (1982)). It incorporates time-dependency of the volatility through a latent process, which is an autoregressive model of order 1 (AR(1)), and successfully accounts for the stylized facts of the return series implied by the characteristics of time-varying volatility. In this thesis, we review both ARCH and SV models but focus on the SV model and its variations. We consider two modified SV models. One is an autoregressive process with stochastic volatility errors (AR--SV) and the other is the Markov regime switching stochastic volatility (MSSV) model. The AR--SV model consists of two AR processes. The conditional mean process is an AR(p) model , and the conditional variance process is an AR(1) model. One notable advantage of the AR--SV model is that it better captures volatility persistence by considering the AR structure in the conditional mean process. The MSSV model consists of the SV model and a discrete Markov process. In this model, the volatility can switch from a low level to a high level at random points in time, and this feature better captures the volatility movement. We study the moment properties and the likelihood functions associated with these models. In spite of the simple structure of the SV models, it is not easy to estimate parameters by conventional estimation methods such as maximum likelihood estimation (MLE) or the Bayesian method because of the presence of the latent log-variance process. Of the various estimation methods proposed in the SV model literature, we consider the simulated maximum likelihood (SML) method with the efficient importance sampling (EIS) technique, one of the most efficient estimation methods for SV models. In particular, the EIS technique is applied in the SML to reduce the MC sampling error. It increases the accuracy of the estimates by determining an importance function with a conditional density function of the latent log variance at time t given the latent log variance and the return at time t-1. Initially we perform an empirical study to compare the estimation of the SV model using the SML method with EIS and the Markov chain Monte Carlo (MCMC) method with Gibbs sampling. We conclude that SML has a slight edge over MCMC. We then introduce the SML approach in the AR--SV models and study the performance of the estimation method through simulation studies and real-data analysis. In the analysis, we use the AIC and BIC criteria to determine the order of the AR process and perform model diagnostics for the goodness of fit. In addition, we introduce the MSSV models and extend the SML approach with EIS to estimate this new model. Simulation studies and empirical studies with several return series indicate that this model is reasonable when there is a possibility of volatility switching at random time points. Based on our analysis, the modified SV, AR--SV, and MSSV models capture the stylized facts of financial return series reasonably well, and the SML estimation method with the EIS technique works very well in the models and the cases considered.

This thesis considers the filtering and prediction problems of nonlinear noisy econometric systems. As a filter/predictor, the standard tool Extended Kalman Filter and new approaches Discrete Quantization Filter and Sequential Importance Resampling Filter are used. The algorithms are compared by using Monte Carlo Simulation technique. The advantages of the new algorithms over Extended Kalman Filter are shown.

The main objective of this thesis is to develop novel Monte Carlo techniques with emphasis on various applications in finance and economics, particularly in the fields of risk management and asset returns modeling. New stochastic algorithms are developed for rare-event probability estimation, combinatorial optimization, parameter estimation and model selection. The contributions of this thesis are fourfold. Firstly, we study an NP-hard combinatorial optimization problem, the Winner Determination Problem (WDP) in combinatorial auctions, where buyers can bid on bundles of items rather than bidding on them sequentially. We present two randomized algorithms, namely, the cross-entropy (CE) method and the ADAptive Mulitilevel splitting (ADAM) algorithm, to solve two versions of the WDP. Although an efficient deterministic algorithm has been developed for one version of the WDP, it is not applicable for the other version considered. In addition, the proposed algorithms are straightforward and easy to program, and do not require specialized software. Secondly, two major applications of conditional Monte Carlo for estimating rare-event probabilities are presented: a complex bridge network reliability model and several generalizations of the widely popular normal copula model used in managing portfolio credit risk. We show how certain efficient conditional Monte Carlo estimators developed for simple settings can be extended to handle complex models involving hundreds or thousands of random variables. In particular, by utilizing an asymptotic description on how the rare event occurs, we derive algorithms that are not only easy to implement, but also compare favorably to existing estimators. Thirdly, we make a contribution at the methodological front by proposing an improvement of the standard CE method for estimation. The improved method is relevant, as recent research has shown that in some high-dimensional settings the likelihood ratio degeneracy problem becomes severe and the importance sampling estimator obtained from the CE algorithm becomes unreliable. In contrast, the performance of the improved variant does not deteriorate as the dimension of the problem increases. Its utility is demonstrated via a high-dimensional estimation problem in risk management, namely, a recently proposed t-copula model for credit risk. We show that even in this high-dimensional model that involves hundreds of random variables, the proposed method performs remarkably well, and compares favorably to existing importance sampling estimators. Furthermore, the improved CE algorithm is then applied to estimating the marginal likelihood, a quantity that is fundamental in Bayesian model comparison and Bayesian model averaging. We present two empirical examples to demonstrate the proposed approach. The first example involves women's labor market participation and we compare three different binary response models in order to find the one best fits the data. The second example utilizes two vector autoregressive (VAR) models to analyze the interdependence and structural stability of four U.S. macroeconomic time series: GDP growth, unemployment rate, interest rate, and inflation. Lastly, we contribute to the growing literature of asset returns modeling by proposing several novel models that explicitly take into account various recent findings in the empirical finance literature. Specifically, two classes of stylized facts are particularly important. The first set is concerned with the marginal distributions of asset returns. One prominent feature of asset returns is that the tails of their distributions are heavier than those of the normal---large returns (in absolute value) occur much more frequently than one might expect from a normally distributed random variable. Another robust empirical feature of asset returns is skewness, where the tails of the distributions are not symmetric---losses are observed more frequently than large gains. The second set of stylized facts is concerned with the dependence structure among asset returns. Recent empirical studies have cast doubts on the adequacy of the linear dependence structure implied by the multivariate normal specification. For example, data from various asset markets, including equities, currencies and commodities markets, indicate the presence of extreme co-movement in asset returns, and this observation is again incompatible with the usual assumption that asset returns are jointly normally distributed. In light of the aforementioned empirical findings, we consider various novel models that generalize the usual normal specification. We develop efficient Markov chain Monte Carlo (MCMC) algorithms to estimate the proposed models. Moreover, since the number of plausible models is large, we perform a formal Bayesian model comparison to determine the model that best fits the data. In this way, we can directly compare the two approaches of modeling asset returns: copula models and the joint modeling of returns.

This thesis is divided into two parts. In the first part we describe a new Monte Carlo algorithm for the consistent and unbiased estimation of multidimensional integrals and the efficient sampling from multidimensional densities. The algorithm is inspired by the classical splitting method and can be applied to general static simulation models. We provide examples from rare-event probability estimation, counting, optimization, and sampling, demonstrating that the proposed method can outperform existing Markov chain sampling methods in terms of convergence speed and accuracy. In the second part we present a new adaptive kernel density estimator based on linear diffusion processes. The proposed estimator builds on existing ideas for adaptive smoothing by incorporating information from a pilot density estimate. In addition, we propose a new plug-in bandwidth selection method that is free from the arbitrary normal reference rules used by existing methods. We present simulation examples in which the proposed approach outperforms existing methods in terms of accuracy and reliability.

As a resource based economy international engagement plays a critical role for the growth and development of New Zealand. One of the most notable trends over the past 15 years has been the rise of some of the largest markets around the world, that have led to a rapid and substantial increase in international trade and investment flows. The liberalisation and consequently the rise of emerging markets has today changed the economic geography for the business world, with companies entering these markets with the hope of getting superior returns arising from rapid economic growth and related market opportunities. Amongst other emerging markets, the economic resurgence of the Indian market in the recent years has been widely noticed and in many senses has influenced and changed the structure and operations of businesses around the world. The prospects offered by India have allowed firms to substantially expand their activities beyond their domestic borders and access new growth opportunities generating significant productive growth. The benefits that markets like India today generate are likely to be particularly significance for New Zealand, given the small size of the domestic market. Indeed, increasing New Zealand’s exporting and international investing activity is vital to raising New Zealand’s growth rate. The rapid rise and deregulation of the Indian market has seen a rise in the number of New Zealand businesses keen to tap into the vast prospects across different sectors over the recent years. Nevertheless, New Zealand businesses have not been participating to nearly the same extent as most businesses from other small developed countries currently operating in the Indian market. Reasons for this limited interaction are unclear and not well documented in the current literature that examines the economic activities amongst the two markets. Given the importance of international engagement New Zealand businesses cannot afford to isolate themselves from the opportunities provided by the Indian market. Considering this, the main aim of this research is to focus on the opportunities that India provides and the benefits that New Zealand businesses stand to gain from those. On identifying, this may help devise actions that might lead to substantially increased levels of international investments by New Zealand firms, given the challenges of entering the Indian base from a small remote country. Drawing on insights gained from existing literature and case studies of companies operating in India, the research will identify appropriate strategies and policies that might help New Zealand businesses to succeed and better direct operations in India.

<p> </p><p>Denna studie redogör för utbildningens betydelse i fråga om nyexaminerade lärares pedagogiska och vetenskapliga förhållningssätt. För att studera nyexaminerade lärares beskrivningar av sin yrkesverksamhet samt sin syn på utbildningen, har kvalitativa intervjuer genomförts med tre lärare under former som säkerställt etisk riktighet, reliabilitet och validitet. De kvalitativa intervjuerna har, i studien, en låg grad av standardisering och fokus på ett visst tema, trots en relativt hög grad av strukturering. Vidare har intervjuerna analyserats utifrån den nuvarande lärarutbildningens intentioner och tidigare forskning där lärarutbildningens betydelse, det vetenskapliga och pedagogiska förhållningssättet samt tiden som ny lärare berörs. Tre tydliga infallsvinklar på utbildningens betydelse har följaktligen urskiljts, vilka sedan användes för att presentera resultatet. Infallsvinklarna var kunskapssynen, det vetenskapliga förhållningssättet samt förhållandet mellan teori och praktik. Dessa infallsvinklar användes även vid resultatdiskussionen. Uppsatsens författare anser även att nyexaminerade lärares pedagogiska och vetenskapliga förhållningssätt är påverkade av utbildningen liksom av tidigare erfarenheter i flertalet avseenden. Författarna är även av åsikten att studenterna tidigt bör erhålla en medvetenhet om sitt eget lärande och utbildningens syfte samt utformning för att utbildningens betydelse ska optimeras. Denna åsikt baseras på de positiva erfarenheterna som erhållits av uppsatsförfattarna.</p><p> </p> / <p> </p><p>This study describes the importance of the teacher education concerning newly graduated teacher.s pedagogical and scientific approach. Qualitative interviews have been conducted with the purpose of studying newly graduated teacher.s descriptions of their profession as well as their views on the education. The reliability and ethics have been taken into consideration. The qualitative interviews, in this study, have a low grade of standardization and focus on a certain subject, in spite of the relative high grade of structuring. The interviews have been analysed with regard to both the intentions of the current teacher education and prior research on the subject. From the interview data three distinct views on the importance of the education have been revealed, which has been used to present the result. The different views have been organized into three separate categories which have been named: Epistemological Beliefs, A Scientific Approach and finally Theory and Practice. These same categories are also used in the discussion. The authors of the essay conclude that the new graduated teacher.s pedagogical and scientific approaches are affected by the education as well as by their earlier experiences in many different aspects. The authors are also by the opinion that the students need to be aware of their own learning and of the purpose of the education at an early stage, so that the importance of the education is optimized. This opinion is based on the positive experiences that the authors have gained during the compilation of this study.</p><p> </p>

Made available in DSpace on 2015-03-26T13:32:08Z (GMT). No. of bitstreams: 1 texto completo.pdf: 801719 bytes, checksum: 87934fb7e8c6635218cccfd6cf57b830 (MD5) Previous issue date: 2010-02-11 / Coordenação de Aperfeiçoamento de Pessoal de Nível Superior / Conjoint Analysis (CA) and the Constant Sum (CS) approach were both applied in a consumer preference study in order to estimate Relative Importance (RI%) of attributes. The main goal of this study was to verify if the CS approach can be used to evaluate estimates of RI% obtained from CA. A sample of 192 consumers, residents of Viçosa city, Minas Gerais State, evaluated 8 alternative packages of a milk based drink, formed by the combination of 3 factors with two levels each: Size (200mL and 1000mL), name (coffee and chocolate flavor and chocolate and coffee flavor) and information decaffeinated (with and without). We applied Descriptive (Box and Whisker plots, descriptive measures and dispersion plots) and inferential (paired and independent two sample t tests, general linear hypothesis tests) statistical analysis were applied using estimates of RI obtained from both methods and we concluded that CS does not provide a good evaluation for estimates obtained from CA, although this method can be used as a prior study in order to select factors for a CA study, specially when there exists many candidate factors. / A proposta deste trabalho foi comparar os métodos Soma Constante (SC) e Análise Conjunta de Fatores (ANCF) para estimar a importância relativa ((IR%)) dos fatores em estudos da preferência do consumidor. O objetivo principal foi verificar se o método SC pode ser utilizado para avaliar as estimativas de IR (%) obtidas pela ANCF. Foi realizado um estudo para avaliar a intenção de compra de uma bebida láctea sabor café com base na embalagem. Utilizou-se uma amostra de 192 julgadores residentes na cidade de Viçosa. Os fatores e respectivos níveis avaliados foram: tamanho da embalagem (200 mL e 1000 mL), nome do produto (café e chocolate e chocolate e café) e informação descafeinado (com e sem). Com as estimativas de IR (%) fornecidas pelos julgadores obtidas pelos dois métodos foram realizadas análises descritivas: gráficos Box e Whisker, histogramas e tabelas com medidas descritivas; e também análises inferenciais: teste t para dados pareados e para amostras independentes e testes de hipóteses lineares gerais. Optou-se por realizar as análises com e sem a exclusão de julgadores que não se adequaram ao modelo da ANCF, com base na não significância (valor p > 0,20) da Análise de Variância (ANOVA) realizada para os três fatores com os dados fornecidos por cada julgador. Após a realização das análises estatísticas concluiu-se que o método SC não se mostrou apropriado para avaliar os valores de importância relativa dos fatores estimados na ANCF. Devido à facilidade de aplicação, o método SC pode ser utilizado como um pré-estudo na seleção fatores para serem submetidos à ANCF, principalmente quando existem muitos fatores avaliados no estudo.

Submitted by Valdemir Aparecido Da Silva (valdemir.silva@unesp.br) on 2018-10-13T02:58:20Z No. of bitstreams: 1 Dissertação_Valdemir Ap da Silva_versão final.pdf: 28984860 bytes, checksum: f0e224f984b1633cd02aa82e9684f22f (MD5) / Approved for entry into archive by Laura Mariane de Andrade null (laura.andrade@ia.unesp.br) on 2018-10-15T18:32:10Z (GMT) No. of bitstreams: 1 silva_va_me_ia.pdf: 25091234 bytes, checksum: 483c1719d560c7e7fb69da13f2433ae1 (MD5) / Made available in DSpace on 2018-10-15T18:32:10Z (GMT). No. of bitstreams: 1 silva_va_me_ia.pdf: 25091234 bytes, checksum: 483c1719d560c7e7fb69da13f2433ae1 (MD5) Previous issue date: 2018-07-30 / Esta dissertação de mestrado teve como objetivo principal editar 31 obras ainda não publicadas da compositora Adelaide Pereira da Silva e produzir um catálogo comentado dessas obras. Tal trabalho justifica-se considerando se tratar de uma compositora do sexo feminino, em plena atividade, defensora e incentivadora do folclore musical brasileiro e de nossas raízes, que ao longo da sua vida assumiu cargos relevantes nesta área e possui larga experiência como professora de música em escolas e universidades de São Paulo. Para cumprir o objetivo, além da edição das obras, foi realizado um levantamento bibliográfico para conceituar e apresentar as funções direcionadas à edição de obras musicais e referendar o trabalho das mulheres nas diversas subáreas da música. Também foram efetuadas algumas entrevistas e colhidos depoimentos orais da compositora para serem incluídos no catálogo comentado das obras, além da coleta de documentos que descrevem parte da sua trajetória musical (fotos, programas de concerto, premiações, entre outros), reunidos como anexo a este trabalho. As partituras foram editadas através do software FINALE 2012 e registradas na Fundação Biblioteca Nacional (Biblioteca Nacional do Brasil). O trabalho consiste em um capítulo com um sucinto relato do trabalho musical realizado pelas mulheres brasileiras, outro descrevendo parte da trajetória da compositora e um terceiro voltado à edição de partituras. Segue-se a eles o catálogo comentado contendo, além das partituras organizadas segundo critério de instrumentação, um resumo que descreve parte deste arquivo de forma sistemática e cuja função é orientar a consulta e determinar quais são os documentos pertencentes a este instrumento de pesquisa. / The main objective of this dissertation was to edit 31 still unpublished works of the composer Adelaide Pereira da Silva, and to produce a commented catalog of these works. This work is relevant because she is a female composer in full activity, a defender and promoter of Brazilian musical folklore and its roots and who, throughout her life, has taken important positions in this area, with wide experience as a music teacher in schools and universities in São Paulo. To accomplish such objective, besides the editing of the sheet music, a bibliographical research was performed in order to conceptualize and present the functions related to the edition of musical works and to document women's work in the several subareas of music. Some interviews and oral testimonies by the composer are to be included in the commented catalog of the works, as well as the collected documents that describe part of her musical trajectory (photos, concert programs, awards, among others), which appear as annexes to this work. Sheet music was edited through FINALE 2012 software and registered at National Library Foundation (National Library of Brazil). The paper includes a chapter presenting a concise history of the musical work of Brazilian women composers, followed by a chapter partially describing the trajectory of Adelaide Pereira da Silva, and a third one, dedicated to the edition of sheet music. The commented catalog contains the sheet music, organized according to the criteria of instrumentation; a summary, intended to describe part of this file in a systematic way and whose function is to guide the consultation and determine which are the documents belonging to this research instrument.

This thesis presents the interdisciplinary look at the phenomenon of the game and its importance in people's life. The first chapter is at beginning devoted to the problem of the general definition of the game. It deals with the psychological theories of origin game. The central part presents in detail three most important authors of the theory of games {--} J. Huizinga, E. Fink, R. Caillois and their piece. Thesis in the second part pursues the development of games in different periods of human history to the present. In the last charter, at the introduction, is a brief mention about animal's game and there is described the importance of a sense of the game in various periods of life.

Submitted by Noeme Timbo (noeme.timbo@metodista.br) on 2018-01-04T18:48:22Z No. of bitstreams: 1 VictorZaia.pdf: 2047527 bytes, checksum: 7858d54d0ef6a892713e11b89f935efc (MD5) / Made available in DSpace on 2018-01-04T18:48:23Z (GMT). No. of bitstreams: 1 VictorZaia.pdf: 2047527 bytes, checksum: 7858d54d0ef6a892713e11b89f935efc (MD5) Previous issue date: 2017-11-07 / Coordenação de Aperfeiçoamento de Pessoal de Nível Superior - CAPES / This study investigated whether and how Infertility Stress, Importance of Parenthood and resilience impacted on assisted reproductive treatment (ART) in infertile couples. 423 people participated in the research: 189 women, 183 men, mean age of 37 years, 72.1% first treatment of ART, 69.3% primary infertility, 64% sedentary life, 21.9% had aborted anteriorly, 71% had to make use of the in vitro fertilization technique. 49.3% of the participants believed they had over 60% chance of success in their treatment. To measure the variables, the instruments chosen were: Infertility Related-Stress Scale (IRSS); Importance of Parenthood in the Infertility Scale (IPIS) and Connor-Davidson Resilience Scale (CD-RISC 10) and treatment outcome measures in ART were verified. The main statistical analyzes indicated that the participants with the increased stress levels were: women, had more time of treatment in ART, lower monthly income, believed excessively in the success of the treatment; higher levels of importance of parenting were found in people who followed a religion and with a female’s infertility. Resilience has been positively associated with older people. Infertility Stress and Importance of Parenthood are positively correlated, and both are reverse with resilience. Furthermore, the importance of parenthood has been correlated to higher levels of displayed oocytes. The infertility stress, in intrapersonal domain, explains 6.5% of the variance of pregnancy, classifying 65% of cases correctly. The results indicate that women suffer more with infertility than men. When the cause of infertility is in both partners, adequate levels of importance of parenthood and scholastic level are protective factors for infertility stress. To believe excessively in the success of ART treatment and to follow a religion is not in itself negative. The ART outcome measures are altered by stress levels, which in turn is influenced by the resilience, which should be developed in individuals undergoing treatment for infertility. It is therefore necessary, a continuous focus on the emotional aspects of infertile patients, thus promoting the resilience, the reduction of stress levels, and the autonomy in the path chosen to have their children. Establishing protocols that measure levels of infertility stress, the importance of parenthood and resilience in patients receiving ART, would allow specific interventions that would lead to better adaptation to infertility and better outcomes measures in ART. / Este estudo investigou como e se o estresse, a importância da parentalidade e a resiliência impactaram no tratamento de infertilidade de casais. Participaram do estudo 423 pessoas, 189 mulheres e 183 homens, de média de idade de 37 anos, no primeiro tratamento em reprodução humana (72,1%), com infertilidade primária (69,3%), vida sedentária (64%) e histórico de aborto (21,9%) que iriam fazer fertilização in vitro (71%). Quase a metade deles (49,3%) acreditava possuir mais de 60% de chance de sucesso no tratamento que se iniciaria. Para avaliação das variáveis fez-se uso dos seguintes instrumentos: Infertility Related-Stress Scale (IRSS); Importance of Parenthood in Infertility Scale (IPIS) e Connor-Davidson Resilience Scale (CD-RISC 10), além de repostas ao tratamento de Reprodução Humana Assistida. Os principais resultados de análises estatísticas descritivas, correlacionais e de regressões logísticas indicaram que os participantes com maior estresse eram mulheres, tinham mais tempo de tratamento, menor renda e crença no sucesso do tratamento; maior importância da parentalidade em pessoas com alguma religião, causa feminina de infertilidade. A resiliência foi encontrada em maiores níveis em pessoas mais velhas. Estresse da infertilidade e importância da parentalidade se correlacionaram e ambas são inversas à resiliência. A importância da parentalidade também foi correlacionada a maiores níveis de oócitos visualizados. O estresse relatado da infertilidade, no domínio intrapessoal explica 6,5% da variância da gravidez, classificando 65% dos casos corretamente. Os resultados permitiram identificar que a mulher sofre maior impacto pela situação de infertilidade do que o homem. A causa de infertilidade em ambos os parceiros indica que melhor nível da importância da parentalidade e a escolaridade são fatores protetivos ao estresse. A crença no tratamento, apesar de supervalorizada, não é por si negativa, bem como o possuir alguma religião. Os resultados do tratamento podem ser modificados pelos níveis de estresse, que por sua vez são influenciados pela resiliência, a qual deveria ser trabalhada e ampliada nas pessoas em tratamento de infertilidade. É necessário, portanto, um olhar contínuo sobre os aspectos emocionais dos pacientes inférteis, de modo a favorecer a resiliência e a redução de estresse, de modo a possibilitar uma vivência de autonomia dessas pessoas na busca de terem o próprio filho. Para tanto, estabelecer protocolos de averiguação dos níveis de estresse, importância da parentalidade e resiliência, nos pacientes que iniciam o trajeto de reprodução humana, auxiliaria em intervenções mais específicas que favoreceriam melhor adaptação e melhores resultados no tratamento.