This thesis is composed of three chapters that propose some novel approaches on tail risk for financial market and forecasting in finance and macroeconomics. The first part of this dissertation focuses on financial market correlations and introduces a simple measure of tail correlation, TailCoR, while the second contribution addresses the issue of identification of non- normal structural shocks in Vector Autoregression which is common on finance. The third part belongs to the vast literature on predictions of economic growth; the problem is tackled using a Bayesian Dynamic Factor model to predict Norwegian GDP.Chapter I: TailCoRThe first chapter introduces a simple measure of tail correlation, TailCoR, which disentangles linear and non linear correlation. The aim is to capture all features of financial market co- movement when extreme events (i.e. financial crises) occur. Indeed, tail correlations may arise because asset prices are either linearly correlated (i.e. the Pearson correlations are different from zero) or non-linearly correlated, meaning that asset prices are dependent at the tail of the distribution.Since it is based on quantiles, TailCoR has three main advantages: i) it is not based on asymptotic arguments, ii) it is very general as it applies with no specific distributional assumption, and iii) it is simple to use. We show that TailCoR also disentangles easily between linear and non-linear correlations. The measure has been successfully tested on simulated data. Several extensions, useful for practitioners, are presented like downside and upside tail correlations.In our empirical analysis, we apply this measure to eight major US banks for the period 2003-2012. For comparison purposes, we compute the upper and lower exceedance correlations and the parametric and non-parametric tail dependence coefficients. On the overall sample, results show that both the linear and non-linear contributions are relevant. The results suggest that co-movement increases during the financial crisis because of both the linear and non- linear correlations. Furthermore, the increase of TailCoR at the end of 2012 is mostly driven by the non-linearity, reflecting the risks of tail events and their spillovers associated with the European sovereign debt crisis. Chapter II: On the identification of non-normal shocks in structural VARThe second chapter deals with the structural interpretation of the VAR using the statistical properties of the innovation terms. In general, financial markets are characterized by non- normal shocks. Under non-Gaussianity, we introduce a methodology based on the reduction of tail dependency to identify the non-normal structural shocks.Borrowing from statistics, the methodology can be summarized in two main steps: i) decor- relate the estimated residuals and ii) the uncorrelated residuals are rotated in order to get a vector of independent shocks using a tail dependency matrix. We do not label the shocks a priori, but post-estimate on the basis of economic judgement.Furthermore, we show how our approach allows to identify all the shocks using a Monte Carlo study. In some cases, the method can turn out to be more significant when the amount of tail events are relevant. Therefore, the frequency of the series and the degree of non-normality are relevant to achieve accurate identification.Finally, we apply our method to two different VAR, all estimated on US data: i) a monthly trivariate model which studies the effects of oil market shocks, and finally ii) a VAR that focuses on the interaction between monetary policy and the stock market. In the first case, we validate the results obtained in the economic literature. In the second case, we cannot confirm the validity of an identification scheme based on combination of short and long run restrictions which is used in part of the empirical literature.Chapter III :Nowcasting NorwayThe third chapter consists in predictions of Norwegian Mainland GDP. Policy institutions have to decide to set their policies without knowledge of the current economic conditions. We estimate a Bayesian dynamic factor model (BDFM) on a panel of macroeconomic variables (all followed by market operators) from 1990 until 2011.First, the BDFM is an extension to the Bayesian framework of the dynamic factor model (DFM). The difference is that, compared with a DFM, there is more dynamics in the BDFM introduced in order to accommodate the dynamic heterogeneity of different variables. How- ever, in order to introduce more dynamics, the BDFM requires to estimate a large number of parameters, which can easily lead to volatile predictions due to estimation uncertainty. This is why the model is estimated with Bayesian methods, which, by shrinking the factor model toward a simple naive prior model, are able to limit estimation uncertainty.The second aspect is the use of a small dataset. A common feature of the literature on DFM is the use of large datasets. However, there is a literature that has shown how, for the purpose of forecasting, DFMs can be estimated on a small number of appropriately selected variables.Finally, through a pseudo real-time exercise, we show that the BDFM performs well both in terms of point forecast, and in terms of density forecasts. Results indicate that our model outperforms standard univariate benchmark models, that it performs as well as the Bloomberg Survey, and that it outperforms the predictions published by the Norges Bank in its monetary policy report. / Doctorat en Sciences économiques et de gestion / info:eu-repo/semantics/nonPublished

[pt] A tese apresenta um estudo sobre as toxicomanias pelo viés psicanalítico. O ponto de vista que preside o trabalho é o de que o sujeito toxicômano dirige um apelo ao Outro através do uso da droga para que a função paterna se faça presente. Sob essa perspectiva, o uso da droga comporta uma mensagem dirigida ao Outro para que um corte seja operado na relação sem limites construída com a droga. Não trataremos dos efeitos orgânicos produzidos pelo uso da substância, mas da função sempre singular que a droga pode ocupar um sujeito. No primeiro capítulo, a introdução, será circunscrito o objeto de nosso trabalho: as toxicomanias. Já no segundo capítulo examinaremos o fenômeno das drogas na perversão, na neurose e na psicose. No terceiro capítulo, lançaremos um olhar sobre o uso da droga através dos conceitos de supereu, satisfação pulsional, ideal do eu e pulsão de morte. No quarto capítulo estudaremos o significante na dialética do desejo a fim de localizar o lugar da droga para o sujeito. Trabalharemos também a construção das relações de dependência que antecedem a dependência à droga em si e como o uso da mesma pode servir como um apelo ao pai. Em seguida, partindo da hipótese de que a fragilidade ou inoperância da função paterna propicia a compulsão ao objeto droga como um modo de dar conta da angústia provocada pelos efeitos da castração, investigaremos a problemática da droga a partir do significante Nome-do-Pai e da Metáfora paterna. / [en] The thesis presents a study of addictions through the psychoanalytic point of view. The view that presides the study is that the fellow addict runs an appeal to the Other through the use of the drug to make the paternal function present. From this perspective, the drug contains a message addressed to another so that a cut should be operated in the relationship without limits built with the drug. It will not treat the organic effects produced by the use of the substance, but the unique function that the drug might occupy a person. In the first chapter, the introduction, the object of the work will be circumscribed: the addictions. In the second chapter it will examine the phenomenon of drugs in perversion, in neurosis and psychosis. In the third chapter, it will launch a glimpse into the drug through the concepts of superego, drive satisfaction, ego ideal and the death drive. In the fourth chapter it will present the construction of dependence relations in addictions and how drug use can serve as a call to a father. We will also study the signifier in the dialectic of the desire in order to locate the place of the drug to the addict. Then, assuming that the weakness or ineffectiveness of the paternal function provides the compulsion to object drug as a way to solve the anguish caused by the effects of castration, it will investigate the drug problem from the significant Name of the Father and the paternal metaphor.

Dans cette thèse on s’est intéressé aux méthodes de génération de clés secrètes symétriques en utilisant la couche physique ultra large bande impulsionnelle (IR-UWB). Les travaux ont été réalisés selon trois axes, les deux premiers concernant la communication point-à-point et le dernier, les communications coopératives. Tout d’abord, la quantification des signaux typiques IR-UWB (soit directement échantillonnés, soit estimés) a été investiguée, principalement du point de vue du compromis entre la robustesse (ou réciprocité) des séquences binaires obtenues et leur caractère aléatoire. Différents algorithmes de quantification valorisant l’information temporelle offerte par les canaux IR-UWB pour améliorer ce compromis ont alors été proposés. Ensuite, des études concernant les échanges publics nécessaires à l’étape de réconciliation (visant la correction d’éventuels désaccords entre les séquences binaires générées de part et d’autre du lien) ont montré qu’il était possible d’être plus robuste face aux attaques passives en utilisant des informations de plus haut niveau, inhérentes à cette technologie et disponibles à moindre coût (ex. via une estimation précise du temps de vol aller-retour). Finalement, une nouvelle méthode a été développée afin d’étendre les schémas de génération de clé point-à-point à plusieurs nœuds (trois dans nos études) en utilisant directement la couche physique fournie par les liens radio entre les nœuds. / Emerging decentralized wireless systems, such as sensor or ad-hoc networks, will demand an adequate level of security in order to protect the private and often sensitive information that they carry. The main security mechanism for confidentiality in such networks is symmetric cryptography, which requires the sharing of a symmetric key between the two legitimate parties. According to the principles of physical layer security, wireless devices within the communication range can exploit the wireless channel in order to protect their communications. Due to the theoretical reciprocity of wireless channels, the spatial decorrelation property (e.g., in rich scattering environments), as well as the fine temporal resolution of the Impulse Radio - Ultra Wideband (IR-UWB) technology, directly sampled received signals or estimated channel impulse responses (CIRs) can be used for symmetric secret key extraction under the information-theoretic source model. Firstly, we are interested in the impact of quantization and channel estimation algorithms on the reciprocity and on the random aspect of the generated keys. Secondly, we investigate alternative ways of limiting public exchanges needed for the reconciliation phase. Finally, we develop a new signal-based method that extends the point-to-point source model to cooperative contexts with several nodes intending to establish a group key.

The main aim of this thesis is to discover a suitable instant of time for the Czech Republic to join European Monetary Union. I am analyzing dependence between monetary policies of the Czech National Bank (CNB) and the European Central Bank (ECB) themselves as well as in relation to essential Czech macroeconomic indicators. My observation is focused on interest rate policies represented by operative interest rates, on monetary policies represented by indices of nominal effective exchange rates and on convergence monitoring. The analytical instruments I used in the thesis are correlation analyses, linear trends, the Granger causality test and the Impulse-Reaction test. Besides, my thesis examines fulfillment of the Convergence (Maastricht) criteria in the Czech Republic and other central European countries. This thesis also examines impact of the European monetary policy on some Eurozone member countries.

Thesis focus on derivation of macro-finance model for analysis of yield curve and its dynamics using macroeconomic factors. Underlying model is based on basic Dynamic Stochastic General Equilibrium DSGE approach that stems from Real Business Cycle theory and New Keynesian Macroeconomics. The model includes four main building blocks: households, firms, government and central bank. Log-linearized solution of the model serves as an input for derivation of yield curve and its main determinants -- pricing kernel, price of risk and affine term structure of interest rates -- based on no-arbitrage assumption. The Thesis shows a possible way of consistent derivation of structural macro-finance model, with reasonable computational burden that allows for time varying term premia. A simple VAR model, widely used in macro-finance literature, serves as a benchmark. The paper also presents a brief comparison and shows an ability of both models to fit an average yield curve observed from the data. Lastly, the importance of term structure analysis is demonstrated using case of Central Bank deciding about policy rate and Government conducting debt management.

Ce mémoire présente les efforts effectués pour réduire l'angle de perte de couches de pentoxyde de tantale amorphes telles qu'utilisées pour les miroirs de LIGO. Afin d'améliorer le niveau de relaxation des couches, celles-ci ont été déposées par pulvérisation cathodique magnétron à des températures allant de 50 °C à 480 °C, elles ont subi un recuit thermique rapide, elles ont été implantées par des ions d'oxygène, elles ont été déposées par pulvérisation cathodique magnétron en appliquant une tension de polarisation sur le substrat lors du dépôt allant de 0 V à -450 V et elles ont été déposées par pulvérisation cathodique magnétron pulsée à haute puissance dans le cadre de différentes expériences. L'angle de perte, l'épaisseur, la rugosité, l'indice de réfraction, la composition atomique, la contrainte, l'état de relaxation et le module de Young des couches ont par la suite été trouvés à l'aide de l'ellipsométrie spectralement résolue, la spectrométrie de rétrodiffusion de Rutherford, la détection des reculs élastiques, la spectroscopie Raman, la diffraction de rayons X et la nano-indentation. Il a été trouvé que la température de dépôt améliorait légèrement le degré de relaxation des couches jusqu'à 250 °C, mais qu'elle avait peu d'impact après recuit. Aussi, lors de dépôt à température de la pièce, une forte tension de polarisation réduit l'angle de perte, mais cet effet est encore une fois perdu suite au recuit. Les autres méthodes mentionnées ci-dessus n'ont pas influencé le degré de relaxation des couches selon l'angle de perte, la spectroscopie Raman et la diffraction de rayons X. Cette recherche a été réalisée avec le support financier du CRSNG et du FRQNT (numéro de dossier 206976). / This master's thesis presents the experiments made to reduce the loss angle of tantala coatings similar to those used in LIGO. To improve the relxation level of the coatings they were deposited by magnetron sputtering at temperatures varying from 50 °C to 480 °C. They were also subjected to rapid thermal annealing, and oxygen implantation. In another experiment, the coatings were deposited by magnetron sputtering with substrate biasing varying from 0 V to -450 V at room temperature and at 250 °C. Finally, the coatings of tantala were deposited by high power impulse magnetron sputtering. The loss angle, thickness, roughness, refractive index, atomic composition, stress, the relaxation state and Young's modulus of the coatings were characterized using spectroscopic ellipsometry, Rutherford backscattering, elastic recoil detection, Raman spectroscopy, X-ray diffraction and nanoindentation. It was found that the deposition temperature improved the loss angle until it reached 250 °C. However, annealing the coatings had a superior impact and the influence of the deposition temperature was not visible after annealing. When was applied a high bias to the susbtrate at room temperature, the obtained coating was slightly more relaxed than when a low bias was applied but this effect is, once again, insignificant after annealing. The other methods of deposition mentioned did not improve the loss angle or modify the relaxation state found by Raman spectroscopy and X-ray diffraction of the tantala coatings. This research was made with the financial support of the NSERC and of the FRQNT (file number 206976).

Stromrichtertransformatoren der Hochspannungsgleichstromübertragung bilden das Bindeglied zwischen Gleichspannungs- und Drehstromsystem. Um den ausfallsicheren Betrieb über die gesamte Lebensdauer zu gewährleisten, muss deren Öl-Papier-Isoliersystem entsprechend dimensioniert werden. Eine optimale Dimensionierung setzt ein detailliertes Verständnis über die Beanspruchung des Isoliersystems sowie deren zuverlässige Modellierung sowohl unter Betriebsspannung als auch bei den überlagerten, transienten Überspannungen voraus. Im Rahmen dieser Arbeit wird daher das dielektrische Verhalten des Öl-Papier-Isoliersystems in Anlehnung an dielektrische Prüfungen sowohl unter Gleichspannungsbelastung als auch einer zusammengesetzten Spannungsbelastung aus einer Gleich- und einer Blitzstoßspannung (einer sog. Mischspannungsbelastung) untersucht. Der Vergleich von numerischen Berechnungen auf Grundlage eines ladungsträgerbasierten Ansatzes nach Poisson-Nernst-Planck (PNP) mit Durchschlagexperimenten gibt dabei Aufschluss über die Beanspruchung des Öl-Papier-Isoliersystems. Weiterhin wird gezeigt, dass der in den etablierten, resistiv-kapazitiven Berechnungsmodellen vernachlässigte Ladungsträgereinfluss in Bezug auf die Beanspruchung des Isoliersystems unzureichende Ergebnisse zur Folge hat und demnach zwingend zu berücksichtigen ist. Die an realitätsnahen, Öl-Papier-isolierten Anordnungen erzielten Ergebnisse zeigen nicht nur den Einfluss der an Grenzflächen oder im Papier akkumulierten Ladungsträger auf die Beanspruchung des Isoliersystems. Ebenso werden die Annahmen des ladungsträgerbasierten Ansatzes und die Berechnungsergebnisse des PNP-Modells qualitativ bestätigt. Infolge der Ladungsakkumulation im Papier tritt die höchste Beanspruchung im Ölspalt und nicht im Papier auf. Öl-Papier-isolierte Anordnungen werden somit geringer beansprucht, als eine Strömungsfeldberechnung vermuten lässt. Dies widerspricht den Annahmen der etablierten Berechnungsmodelle und wird im Weiteren durch Polaritätseffekte an homogenen, aber unsymmetrischen, papierisolierten Elektrodenanordnungen oder durch den nachweisbaren Einfluss des Ölvolumens im Prüfgefäß auf die Beanspruchung einer Anordnung verdeutlicht. Unter Mischspannungsbelastung wird weiterhin gezeigt, dass eine Überlagerung der Gleichspannung und damit auch der Polaritätswechsel keine höhere Beanspruchung des Isoliersystems im Vergleich zur reinen Gleichspannungsbelastung zur Folge hat. Die etablierten, resistiv-kapazitiven Modelle ließen jedoch den Polaritätswechsel als kritischste Beanspruchung vermuten. Somit wird nicht nur die Anwendbarkeit der ladungsträgerbasierten PNP-Modellierung an Öl-Papier-Isolieranordnungen qualitativ verifiziert. Ebenso wird demonstriert, dass die stark vereinfachten Annahmen der etablierten Berechnungsmodelle die Beanspruchungen unter Gleich- und der untersuchten Mischspannungsbelastung nicht abbilden können. Der Einsatz klassischer Strömungsfeldberechnungen zur Nachbildung der Beanspruchung des Öl-Papier-Isoliersystems unter Gleichspannungsbelastung entspricht damit nicht mehr dem Stand der Forschung. / Converter transformers of HVDC transmission systems connect HVDC and HVAC systems. To ensure a reliable operation during the entire lifetime, their oil-paper-insulation system must be designed appropriately. An optimized dielectric design demands a fundamental understanding of the dielectric stresses as well as a reliable modeling of the insulation system both under operating voltages and under superimposed, transient overvoltages. Hence, in this work the dielectric behavior of the oil-paper-insulation system is investigated. Based on dielectric tests the investigations are performed under DC voltage stress and a composite voltage stress of a DC voltage in stationary conditions superimposed by a lightning impulse voltage. The comparison of numerical calculations using a charge-carrier-based approach according to Poisson-Nernst-Planck (PNP) with breakdown experiments clarifies the dielectric stress of the oil-paper-insulation system. Furthermore, the comparison with results determined by the established, resistive-capacitive calculation models shows that it is mandatory to take the influence of the charge carrier accumulation into account. The presented results, which were obtained at oil-paper-insulated arrangements which represent the dielectic stress of real arrangements, show the influence of the charge carriers accumulating at interfaces or in the paper insulationon on the dielectric stress. The results confirm the calculations and the assumptions according to the charge-carrier-based model as well. Due to the charge carrier accumulation, the highest dielectric stress occurs in the mineral oil and not in the paper insulation. In contrast, the findings obtained assuming an ohmic conductivity would results in a higher dielectric stress of the oil-paperinsulated arrangements. Furthermore, polarity effects in homogeneous but asymmetrical, paper-insulated electrode arrangements or the influence of the surrounding oil in the test vessel demonstrate the effects of the charge carriers. Under composite voltage stresses it is also shown, that the applied superimposed voltage as well as the fast polarity reversal does not lead to a higher dielectric stress of the arrangements compared to the pure DC voltage stress. Commonly used calculation models would determine higher stresses due to the fast polarity reversal instead. Consequently, the applicability of the charge-carrier-based PNP calculation model is verified qualitatively in the presented investigations. Furthermore, it is demonstrated that the simplified assumptions of the commonly used calculation models cannot simulate the dielectric stresses under DC voltage stress and under the investigated superimposed voltage stresses. Hence, the determination of the dielectric stresses of oil-paper-insulation systems under DC voltage stress according to the commonly used calculation models assuming an ohmic conductivity does not correspond to the current state of research.

The main subject of the final thesis is to find a suitable method for measuring the partial discharge (PD) in the dielectric of high-voltage capacitor. In the theoretical part of my thesis contains from the mechanisms of origin and the harmful effects of partial discharge at high voltage insulation of capacitor. It describes the global galvanic method of partial discharge measurement, the principle of cascade voltage multiplier, its main components are high-voltage capacitor and diode, facilities quality measurement of capacitors for voltage multipliers, advantages and disadvantages and principles of HIPOTRONICS DDX-8003 with the pulse discrimination system. In the experimental part of the diploma thesis is familiar with the diagnostics of high – voltage capacitors by means of laboratory measurements on the electronic bridge and with the help of partial discharge measurement system. Design of suitable electrode arrangement is described which eliminates the influence of corona which makes it impossible to measure partial discharges and the dissipation factor (tg ). Analysis data from measurement and determination of quality level, eventual degradation of measured capacitors. The result of this project should be designed the methodology for finding of poor – quality capacitors in order to increase the reliability of the voltage multiplier.

The main subject of the final thesis is to find a suitable method for measuring the partial discharge (PD) in the dielectric of high-voltage capacitor. In the theoretical part of thesis contains from the mechanisms of origin and the harmful effects of partial discharge at high voltage insulation of capacitor. It describes the global galvanic method of partial discharge measurement, the principle of cascade voltage multiplier, its main components (high-voltage capacitor and diode). Nowadays are presented the possibilities of measuring the quality of capacitors for voltage multipliers. In the experimental part of the diploma thesis is familiar with the diagnostics of high – voltage capacitors by means of laboratory measurements on the electronic bridge and with the help of partial discharge measurement system. It describes the design of a suitable electrode arrangement that eliminates the influence of the corona, which makes it impossible to measure partial discharges and the dissipation factor tg . The thesis analyzes the obtained data from measurements and determines the quality level or the degradation of the measured capacitors. The result of the project should be designed the methodology for finding poor quality capacitors in order to increase the reliability of the voltage multiplier.

The aim of master's thesis is to get familiarized with the problems of measurement and analysis of seismic waves. Theoretical part deals with the description of seismic waves, especially their types, sources and properties. Attention was afterwards focused on the measurement systems of these waves, emphasis was placed on their principles and advantages. The practical part discusses methods of noise reduction and highlighting of significant events in measured data. At the end, individual methods are implemented into user-friendly graphical interface.