Tese (doutorado)—Universidade de Brasília, Universidade Federal da Paraíba, Universidade Federal do Rio Grande do Norte, Programa Multi-Institucional e Inter-Regional de Pós-Graduação em Ciências Contábeis, 2017. / Submitted by Raquel Almeida (raquel.df13@gmail.com) on 2018-02-27T16:30:48Z No. of bitstreams: 1 2017_AlineMouraCostadaSilva.pdf: 2061144 bytes, checksum: 7bbb473ff7ffbaef08720ac9941667bf (MD5) / Approved for entry into archive by Raquel Viana (raquelviana@bce.unb.br) on 2018-03-14T19:26:27Z (GMT) No. of bitstreams: 1 2017_AlineMouraCostadaSilva.pdf: 2061144 bytes, checksum: 7bbb473ff7ffbaef08720ac9941667bf (MD5) / Made available in DSpace on 2018-03-14T19:26:27Z (GMT). No. of bitstreams: 1 2017_AlineMouraCostadaSilva.pdf: 2061144 bytes, checksum: 7bbb473ff7ffbaef08720ac9941667bf (MD5) Previous issue date: 2018-03-14 / Esta tese teve por objetivo desenvolver um modelo econométrico estrutural para o mercado acionário brasileiro, de modo a explicar a determinação dos retornos de suas ações, por meio de uma modelagem denominada MIDAS. Para tal, foram utilizadas variáveis explanatórias que sintetizam as especificidades das empresas analisadas, assim como do ambiente econômico brasileiro. Com o propósito de realizar um teste de robustez do modelo MIDAS desenvolvido, um modelo de regressão convencional para dados em painel também foi estimado com as mesmas variáveis presentes naquele modelo. Posteriormente, buscou-se analisar as projeções dos retornos acionários desenvolvidas pelo modelo MIDAS, comparando-as com as projeções advindas do modelo convencional e da série histórica. Carteiras de ativos foram montadas com base no modelo MIDAS, ainda com o intuito de analisar as suas projeções. A amostra contemplou as instituições não financeiras listadas na BM&FBovespa (atual B3) e o período de análise compreendeu de 2010 a 2016. Os resultados indicaram que o modelo MIDAS desenvolvido nesta tese se mostrou robusto para a explicação e projeção dos retornos trimestrais das ações listadas no mercado acionário brasileiro, permitindo, inclusive, a construção de carteiras de ativos para investimento. Esse modelo superou o modelo convencional para dados em painel na explicação dos retornos acionários e, no que tange à projeção dos retornos das ações, o modelo MIDAS mostrou-se mais preciso estatisticamente do que a média histórica. Os resultados apresentados nesta tese reforçam a importância de estudos relacionados à modelagem dos retornos acionários em mercados emergentes, ao desenvolver um modelo robusto para a análise e a tomada de decisões de investimento no Brasil, o que corrobora para uma melhor compreensão e desenvolvimento de seu mercado acionário. / The purpose of this thesis was to develop a structural econometric model for the Brazilian stock market, in order to explain the determination of the returns of its shares, utilizing a model known as MIDAS. To accomplish that, explanatory variables that synthesize the fundamentals of the companies analyzed and other variables associated with the Brazilian economic environment were included. In order to perform a robustness test of the MIDAS model proposed, a conventional panel data regression model was also estimated with the same variables included in the first model. Subsequently, we sought to analyze stock return forecasts generated by the MIDAS model, by comparing them with forecasts generated by the conventional model and with the historical series as well. Asset portfolios were built based on the MIDAS model, also with the purpose of analyzing its forecasts. The sample includes the non-financial institutions listed on the BM&FBovespa (current B3) within the period comprised from 2010 to 2016. The results indicate that the MIDAS model developed in this thesis is robust for explaining and forecasting the quarterly returns of shares listed in the stock market including the construction of investment portfolios. This model overcomes the conventional panel data model in explaining stock returns and, regarding the forecasting of stock returns, the MIDAS model was also statistically more robust than the historical average. The results presented in this thesis strengthen the importance of studies related to the modeling of stock returns in emerging markets, by developing a robust model for investment analysis and decision-making in Brazil, which contributes to a better understanding and development of its stock market.

Los modelos de series de tiempo tradicionales asumen una misma frecuencia entre la variable dependiente y las variables explicativas. Sin embargo, en finanzas y en macroeconomía existen variables dependientes trimestrales que pueden ser explicadas o predichas por variables independientes diarias o mensuales, respectivamente. Para resolver este problema, la literatura ha desarrollado la metodología MIDAS (mixed-data sampling) que emplea un polinomio de rezagos distribuidos para relacionar variables de alta frecuencia con variables de baja frecuencia. Cuando la diferencia entre frecuencias es alta, típicamente se han empleado restricciones a los coeficientes para reducir la varianza de los estimadores y solucionar el problema de sobreparametrización (metodología MIDAS). Cuando la diferencia entre frecuencias es baja, existen relativamente pocos parámetros a estimar, por lo que un modelo sin restricciones (U-MIDAS) funciona mejor para nowcasting y backcasting. Esta investigación pretende darle un tratamiento bayesiano a la decisión de imponer o no restricciones al polinomio del modelo. Es decir, trata de ubicarse en el medio de los dos extremos (MIDAS y U-MIDAS) al imponer restricciones, determinadas empíricamente, de manera estocástica. El tratamiento consiste de un prior de “suavizamiento” sobre la distribución de rezagos del polinomio, y para encontrarlo, realiza tanto una calibración bayesiana empírica como un promedio ponderado de modelos bayesianos.

Cette thèse s’inscrit dans la ligne directrice des travaux cherchant à discuter/expliquer les déterminants des taux de change dans un contexte de régime flexible. En particulier, elle se focalise sur l’examen de la dynamique du taux de change Euro-Dollar Américain en se référant en particulier aux fondamentaux et aux flux d’ordre, en lien avec les approches monétaristes et microstructurelles. Deux aspects du comportement du taux de change sont explorés : sa dynamique et sa volatilité. A ces fins, cette étude accorde une importance particulière au fait que le nouveau concept à savoir le flux d’ordre est une approximation fiable de fondamentaux macroéconomiques inobservables et/ou non quantifiables. Les résultats mettent en évidence que la dépréciation initiale de l’Euro face au Dollar découle principalement d’une forte expansion monétaire en Europe et d’une sortie massive de capitaux vers les Etats-Unis. Par ailleurs, cette étude montre que les instabilités des modèles monétaires détectées empiriquement sont le résultat d’une spécification inappropriée des déterminants du taux de change et que le niveau de stabilité de la relation de long terme va de pair avec le degré de désagrégation des flux d’ordre. Quant à l’étude des déterminants macroéconomiques de la volatilité du taux de change, cette thèse a revisité, sur un plan théorique, l’approche GARCH-MIDAS de Engle, GhysEls et Sohn (2006,2013). Ensuite, sur un plan empirique, cette étude a comparé les estimations et les prévisions fournies par les deux approches (classique et renforcée) où il a mis en avant la supériorité, en termes de qualité explicative prévisionnelle, du GARCH-MIDAS augmenté par une marche aléatoire. / This thesis is part of the guideline of works seeking to discuss / explain the determinants of exchange rates in a flexible regime context. In particular, it focuses on examining the behavior of the Euro-US dollar exchange rate by referring in particular to fundamentals and order flows, in connection with monetarist and microstructural approaches. Two aspects of exchange rate behavior are explored: its dynamics and volatility. For these purposes, this study places particular emphasis on the fact that the new concept of order flow is a reliable approximation of unobservable and / or unquantifiable macroeconomic fundamentals. The results show that the initial depreciation of the Euro against the US Dollar stems mainly from a strong monetary expansion in Europe and a massive capital outflow to the United States. Moreover, this study shows that the instabilities of the empirically detected monetary models are the result of an inappropriate specification of the determinants of the exchange rate and that the level of stability of the long-term relationship goes hand in hand with the degree of disaggregation of the flows. order. As for the study of the macroeconomic determinants of exchange rate volatility, this thesis revisits, on a theoretical level, the GARCH-MIDAS approach of Engle, GhysEls and Sohn (2006,2013). Then, on an empirical level, this study compared the estimates and forecasts provided by the two approaches (classical and reinforced), where it highlighted the superiority, in terms of forecast quality, of GARCH-MIDAS augmented by a random walk.

As últimas quatro décadas foram importantes para o desenvolvimento da malha rodoviária brasileira. O sistema de rodovias do país recebeu incentivos financeiros à sua expansão e diversas soluções estruturais para pontes e viadutos foram criadas a fim de atender à demanda de infraestrutura. Em contrapartida, a carência de programas de manutenção preventiva tem causado um crescimento significativo no número de estruturas desse tipo que se encontra em estágio avançado de deterioração. Dessa maneira, esta dissertação propõe um plano de monitoramento de curta duração para monitorar o comportamento estrutural de uma ponte rodoviária curva de concreto armado já em serviço. A partir da revisão do estado-da-arte no assunto, são apresentados os tipos de monitoramento, as possíveis grandezas a serem monitoradas e as ferramentas para medi-las, assim como suas vantagens e desvantagens. A fim de avaliar estruturalmente o comportamento da ponte e auxiliar no plano de monitoramento, uma hierarquia de seis modelos numéricos é desenvolvida. Então, o plano de monitoramento proposto é aplicado na ponte sob estudo para aquisição de dados, que são posteriormente tratados e confrontados com os dois modelos numéricos mais complexos da hierarquia em um processo de análise e calibração desses modelos. Dessa análise, é possível mostrar a representatividade dos modelos desenvolvidos e a relação entre complexidade do modelo, número de parâmetros adotados para a representatividade da estrutura e convergência de resposta. / The last four decades were important for the development of the Brazilian highway system. Investments were made on the expansion of highways and many structural solutions for bridges and viaducts were developed in order to attend the countrys demand. In contrast, the lack of preventive maintenance programmes has caused a significant increase in the number of those structures found in advanced deterioration stage. Thus, this thesis aims to suggest a short-term monitoring plan to monitor the structural behaviour of a curved highway concrete bridge in service. From studies on state-of-the-art in monitoring, it is presented its types, magnitudes and tools to measure them structures, as well as their advantages and disadvantages. In order to assess the structural behaviour of the bridge and support the monitoring plan, a hierarchy of six numerical models is developed. Then, the proposed monitoring plan is applied to the bridge under study for data acquisition. Afterwards, this data is processed and compared with the two more complex numerical models of the hierarchy in a process of analysis and calibration of these models. From this analysis, it is possible to show the representativeness of the developed models and the relationship between model complexity, number of parameters and convergence.

As últimas quatro décadas foram importantes para o desenvolvimento da malha rodoviária brasileira. O sistema de rodovias do país recebeu incentivos financeiros à sua expansão e diversas soluções estruturais para pontes e viadutos foram criadas a fim de atender à demanda de infraestrutura. Em contrapartida, a carência de programas de manutenção preventiva tem causado um crescimento significativo no número de estruturas desse tipo que se encontra em estágio avançado de deterioração. Dessa maneira, esta dissertação propõe um plano de monitoramento de curta duração para monitorar o comportamento estrutural de uma ponte rodoviária curva de concreto armado já em serviço. A partir da revisão do estado-da-arte no assunto, são apresentados os tipos de monitoramento, as possíveis grandezas a serem monitoradas e as ferramentas para medi-las, assim como suas vantagens e desvantagens. A fim de avaliar estruturalmente o comportamento da ponte e auxiliar no plano de monitoramento, uma hierarquia de seis modelos numéricos é desenvolvida. Então, o plano de monitoramento proposto é aplicado na ponte sob estudo para aquisição de dados, que são posteriormente tratados e confrontados com os dois modelos numéricos mais complexos da hierarquia em um processo de análise e calibração desses modelos. Dessa análise, é possível mostrar a representatividade dos modelos desenvolvidos e a relação entre complexidade do modelo, número de parâmetros adotados para a representatividade da estrutura e convergência de resposta. / The last four decades were important for the development of the Brazilian highway system. Investments were made on the expansion of highways and many structural solutions for bridges and viaducts were developed in order to attend the countrys demand. In contrast, the lack of preventive maintenance programmes has caused a significant increase in the number of those structures found in advanced deterioration stage. Thus, this thesis aims to suggest a short-term monitoring plan to monitor the structural behaviour of a curved highway concrete bridge in service. From studies on state-of-the-art in monitoring, it is presented its types, magnitudes and tools to measure them structures, as well as their advantages and disadvantages. In order to assess the structural behaviour of the bridge and support the monitoring plan, a hierarchy of six numerical models is developed. Then, the proposed monitoring plan is applied to the bridge under study for data acquisition. Afterwards, this data is processed and compared with the two more complex numerical models of the hierarchy in a process of analysis and calibration of these models. From this analysis, it is possible to show the representativeness of the developed models and the relationship between model complexity, number of parameters and convergence.

La prévision macroéconomique à court terme est un exercice aussi complexe qu’essentiel pour la définition de la politique économique et monétaire. Les crises financières récentes ainsi que les récessions qu’ont endurées et qu’endurent aujourd’hui encore, en ce début d’année 2014, nombre de pays parmi les plus riches, témoignent de la difficulté d’anticiper les fluctuations économiques, même à des horizons proches. Les recherches effectuées dans le cadre de la thèse de doctorat qui est présentée dans ce manuscrit se sont attachées à étudier, analyser et développer des modélisations pour la prévision de croissance économique. L’ensemble d’informations à partir duquel construire une méthodologie prédictive est vaste mais également hétérogène. Celle-ci doit en effet concilier le mélange des fréquences d’échantillonnage des données et la parcimonie nécessaire à son estimation. Nous évoquons à cet effet dans un premier chapitre les éléments économétriques fondamentaux de la modélisation multi-fréquentielle. Le deuxième chapitre illustre l’apport prédictif macroéconomique que constitue l’utilisation de la volatilité des variables financières en période de retournement conjoncturel. Le troisième chapitre s’étend ensuite sur l’inférence bayésienne et nous présentons par ce biais un travail empirique issu de l’adjonction d’une volatilité stochastique à notre modèle. Enfin, le quatrième chapitre propose une étude des techniques de sélection de variables à fréquence multiple dans l’optique d’améliorer la capacité prédictive de nos modélisations. Diverses méthodologies sont à cet égard développées, leurs aptitudes empiriques sont comparées, et certains faits stylisés sont esquissés. / Economic downturn and recession that many countries experienced in the wake of the global financial crisis demonstrate how important but difficult it is to forecast macroeconomic fluctuations, especially within a short time horizon. The doctoral dissertation studies, analyses and develops models for economic growth forecasting. The set of information coming from economic activity is vast and disparate. In fact, time series coming from real and financial economy do not have the same characteristics, both in terms of sampling frequency and predictive power. Therefore short-term forecasting models should both allow the use of mixed-frequency data and parsimony. The first chapter is dedicated to time series econometrics within a mixed-frequency framework. The second chapter contains two empirical works that sheds light on macro-financial linkages by assessing the leading role of the daily financial volatility in macroeconomic prediction during the Great Recession. The third chapter extends mixed-frequency model into a Bayesian framework and presents an empirical study using a stochastic volatility augmented mixed data sampling model. The fourth chapter focuses on variable selection techniques in mixed-frequency models for short-term forecasting. We address the selection issue by developing mixed-frequency-based dimension reduction techniques in a cross-validation procedure that allows automatic in-sample selection based on recent forecasting performances. Our model succeeds in constructing an objective variable selection with broad applicability.

Background: Sensitization to sensory stimuli is an essential feature of migraine attacks. The relationship between the clinical course of migraine and increased sensitivity to olfactory stimuli has been little studied so far. - Methods: We analyzed the frequency and quality of osmophobia depending on the phase of migraine in patients with episodic and chronic migraine treated in an tertiary headache center with regard to gender, age, medical history and migraine disability assessment score (MIDAS). Standardized diagnostic questions were used for the assessment of osmophobia. - Results: In our cross-sectional investigation (n = 113), 38.1% of the patients showed an increased preictal hypersensitivity to odors, whereas 61.9% described ictal and 31.9% interictal hypersensitivity to odors, odor-triggered migraine was described in 30.1%. Median migraine disease duration has been statistically significantly longer in patients who suffered from interictal hypersensitivity to odors (28.5 years vs. 20 years; p = 0.012). There was a significant correlation between interictal hypersensitivity and higher age (54.50 vs. 45; p = 0.015). Patients with higher migraine disability in MIDAS experienced more frequently preictal and interictal olfactory sensitization and odor triggered migraine attacks. - Conclusions: In patients with longer migraine disease duration and higher migraine-related impairment, osmophobia was more frequently observed. These results might support the hypothesis of increasing sensitization with increasing burden of migraine.

A previsão do PIB é um dos principais balizadores para as decisões produtivas de agentes econômicos. Com o objetivo de realizar previsões para o crescimento do PIB trimestral brasileiro, são utilizadas 16 séries mensais financeiras e econômicas como potenciais preditores, abrangendo o período do segundo trimestre de 1996 ao quarto trimestre de 2012. Para isso, aplicou-se as abordagens MIDAS (Mixed Data Sampling) e UMIDAS (Unrestricted Mixed Data Sampling), confrontando seus resultados de previsão fora da amostra com o benchmark ARMA. Foram encontrados erros de previsão menores nessas abordagens, principalmente quando utilizadas informações dentro do trimestre de previsão. Os resultados foram ainda melhores quando empregados múltiplos regressores. / The GDP forecast is an important indicator for production decisions taken by economic agents. In order to make forecasts for the Brazilian quarterly GDP growth, we used 16 monthly financial and economic series as potential predictors, covering the period from the second quarter of 1996 to the fourth quarter of 2012. For this purpose, we applied MIDAS (Mixed Data Sampling) and UMIDAS (Unrestricted Mixed Data Sampling) approaches and compared the out of sample forecasts with the benchmark ones provided by ARMA. MI- DAS and UMIDAS showed smaller prediction errors, especially when information inside the quarter forecast is used. The results were even better when multiple regressors were employed.

The present study gathered both general and specific information about the behavior of a captive family group of Saguinus midas midas [red-handed tamarins] housed at the Washington Park Zoo, Portland, Oregon, USA. Saquinus midas midas is a rarely studied species, and detailed information about the behavior of this species is virtually nonexistent. For this reason, this study collected information about both activity budgets and social grouping within this family group. The primary focus of this study was, however, the socialization of captive juvenile tamarins with respect to several behaviors relevant to reproductive success among the Callitrichidae. The behaviors assessed were: scent marking [reproductive suppression]; mounting, thrusting, allogrooming, huddling [pair-bonding]; food transferring, and infant carrying [infant caretaking]. Socialization was defined as the process of social learning that guides young primates in the day to day life of a species and was assumed to occur via two potential processes: active participation and passive observation. It was supposed that juveniles may learn behaviors relevant to pair-bonding and infant caretaking by participating in interactions with other group members. It was also supposed that juveniles may further learn about these behaviors by observing a pair-bonded male and female. Recognizing the potential importance of both socialization processes, this study attempted to answer several questions with respect to the aforementioned behaviors: do juveniles and adults engage in these behaviors, and, if the behavior is a social interaction, with whom?

Most macroeconomic activity series such as Swedish GDP growth are collected quarterly while an important proportion of time series are recorded at a higher frequency. Thus, policy and business decision makers are often confront with the problems of forecasting and assessing current business and economy state via incomplete statistical data due to publication lags. In this paper, we survey a few general methods and examine different models for mixed frequency issues. We mainly compare mixed data sampling regression (MIDAS) and state space dynamic factor model (SS-DFM) by the comparison experiments forecasting Swedish GDP growth with various economic indicators. We find that single-indicator MIDAS is a wise choice when the explanatory variable is coincident with the target series; that an AR term enables MIDAS more promising since it considers autoregressive behaviour of the target series and makes the dynamic construction more flexible; that SS-DFM and M-MIDAS are the most outstanding models and M-MIDAS dominates undoubtedly at short horizons up to 6 months, whereas SS-DFM is more reliable at long predictive horizons. And finally we conclude that there is no perfect winner because each model can dominate in a special situation.