Spelling suggestions: "subject:"oon linearity"" "subject:"soon linearity""
121 |
La dynamique du momentum psychologique en sport / The dynamics of psychological momentum in sportBriki, Walid 11 October 2012 (has links)
L'objet de la présente thèse était d'examiner les caractéristiques de complexité et de dynamique du momentum psychologique (MP) en sport. Une première série d'études a tenté d'explorer qualitativement (étude 1) et quantitativement (études 2, 3 et 4) ces caractéristiques en situations naturelles de compétitions sportives. L'étude 1 a mis en évidence la richesse des contenus du MP, la diversité de ses mécanismes de déclenchement (dissonance, consonance, perturbation du flux de pensées), ainsi que ses formes de développement au cours du temps (processus d'amplification). Ces résultats témoignent de l'enracinement du MP dans une histoire d'événements signifiante. Les études 2, 3 et 4 ont montré que certains contenus affectifs du MP, tels que l'anxiété compétitive et la confiance en soi, peuvent subir des changements abrupts au cours des phases de MP, ce qui suggère le caractère non linéaire du phénomène. Par conséquent, une seconde série d'études (études 5, 6, 7 et 8) a ensuite été réalisée afin de tester expérimentalement les propriétés potentielles de non linéarité et de dépendance à l'histoire du MP en adoptant l'approche des systèmes dynamiques. Ces études étaient basées sur des scénarios de performance de prise d'ascendant (momentum positif) ou de décrochage (momentum négatif) impliquant des situations d'acteur en position virtuelle (études 5 et 6) ou réelle (étude 7), ou encore des situations de spectateur (étude 8). Le MP est apparu évoluer sous la forme d'un patron d'hystérésis négative (études 5, 6 et 8) ou d'un patron de limite critique décalée (étude 7) dans le sens où le MP négatif se déclenchait plus rapidement que le MP positif. L'hystérésis négative observée chez les spectateurs (étude 8) présentait, quant à elle, une asymétrie évoquant un déclenchement plus rapide du MP positif. Ces résultats attestent des propriétés de non linéarité et de dépendance à l'histoire du MP, montrent l'influence du degré d'implication dans la situation sur sa dynamique et confirment l'hypothèse générale selon laquelle le MP est un phénomène complexe et dynamique. / The present thesis aimed to examine the characteristics of complexity and dynamics of psychological momentum (PM) in sport. A first series of studies attempted to explore qualitatively (Study 1) and quantitatively (Studies 2, 3, and 4) these characteristics in natural situations of sport competition. Study 1 evidenced the richness of PM contents, its mechanisms of emergence (dissonance, consonance, and thought flow disturbance), as well as its forms of development over time (amplification processes). These findings suggest that PM is rooted in a meaningful history of events. Studies 2, 3, and 4 showed that certain affective contents, such as competitive anxiety and self-confidence, can change abruptly during PM phases, which suggests the nonlinear character of PM. Consequently, a second series of studies (Studies 5, 6, 7, and 8) was then conducted in order to experimentally test the potential properties of non linearity and history-dependence of PM through the lens of the dynamical systems approach. These studies were based on ascending (positive momentum) versus descending (negative momentum) scenarios of performance that were virtually (Studies 5 and 6) or actually (Study 7) experienced by actors, or that were seen from the point of view of a spectator (Study 8). Variations of PM displayed patterns of negative hysteresis (Studies 5, 6, and 8) and critical boundary that was lagged so that negative PM was triggered faster than positive PM. The negative hysteresis that was found among spectators (Study 8) displayed an asymmetry that reflected a faster triggering for positive PM. These findings evidence the properties of non linearity and history-dependence of PM, show the influence of the degree of involvement in the situation on PM dynamics, and support the general hypothesis that PM is a complex and dynamical phenomenon.
|
122 |
[en] NONLINEAR ERROR CORRECTION MODELS: ESTIMATION AND TESTING / [pt] MODELOS DE CORREÇÃO DE ERRO NÃO-LINEARES: ESTIMAÇÃO E TESTERAFAEL RIBEIRO MAGRI 30 August 2018 (has links)
[pt] Testes existentes para não-linearidade em Modelos de Correção de Erros são altamente intensivos computacionalmente e apresentam parâmetros de estorvo na distribuição assintótica, que precisam ser levantadas através de simulações por bootstrap. É proposto um teste consistente, implementável em qualquer pacote estatístico e que apresenta distribuição assintótica Qui-Quadrado. Além disso, experimentos de Monte Carlo mostram que em pequena amostra o teste tem boas propriedades de tamanho e poder, muitas vezes melhores do que os testes existentes. Também é apresentada uma condição sob a qual um estimador em dois estágios para os parâmetros do modelo é assintoticamente normal. A aplicação do modelo a preços
internacionais de commodities agrícolas mostra evidência de ajuste não-linear nos preços de trigo. / [en] Existing tests for nonlinearity in vector error correction models are highly intensive computationally and have nuisance parameters in the asymptotic distribution, what calls for cumbersome bootstrap calculations in order
to assess the distribution. Our work proposes a consistent test which is implementable in any statistical package and has Chi-Squared asymptotics. Moreover, Monte Carlo experiments show that in small samples our test has nice size and power properties, often better than the preexisting tests. We also provide a condition under which a consistent two step estimator for the model parameters is asymptotically normal. Application to international agricultural commodities prices show evidence of nonlinear adjustment to the long run equilibrium on the wheat prices.
|
123 |
Uma formulação geometricamente não linear da teoria paramétrica de volumes finitos / A geometrically nonlinear model based on the finite-volume theory for structures of heterogeneous materialsAquino, Clayton Tavares 11 May 2010 (has links)
This work presents a model based on the known Parametric Finite-Volume Theory to analyze the geometrically nonlinear behavior of two-dimensional elastic structures made of heterogeneous materials. The formulation employed by the model is purely incremental and based on a kinematic Total Lagrangian description. The Second Piola-Kirchhoff tensor and Green-Lagrange tensor are used as stress and strain measurements, respectively. Based on this formulation a computer code is developed in C++ language. To verify the efficiency of the model, examples of structures with large displacements and involving heterogeneous materials, as well as homogeneous materials, were analyzed. The results for these examples are shown and compared with others published in the literature. / Coordenação de Aperfeiçoamento de Pessoal de Nível Superior / Neste trabalho apresenta-se o desenvolvimento de uma nova formulação baseada na teoria paramétrica de volumes finitos, para a análise do comportamento geometricamente não linear de sólidos elásticos bidimensionais heterogêneos. A formulação é do tipo incremental e fundamentada em uma descrição cinemática Lagrangeana Total. Como medidas de tensão e de deformação são empregados o segundo tensor tensão de Piola-Kirchhoff e o tensor de Green-Lagrange, respectivamente. Com base na referida formulação, desenvolve-se um código computacional em linguagem de programação C++. Para verificar e validar o modelo proposto analisam-se diferentes problemas submetidos a grandes deslocamentos envolvendo materiais homogêneos e heterogêneos. Comparam-se os resultados obtidos com outros encontrados na literatura científica.
|
124 |
Klein-Gordon models with non-effective time-dependent potentialNascimento, Wanderley Nunes do 19 February 2016 (has links)
Submitted by Livia Mello (liviacmello@yahoo.com.br) on 2016-09-23T20:38:51Z
No. of bitstreams: 1
TeseWNN.pdf: 1247691 bytes, checksum: 63f743255181169a9bb4ca1dfd2312c2 (MD5) / Approved for entry into archive by Marina Freitas (marinapf@ufscar.br) on 2016-09-26T20:35:27Z (GMT) No. of bitstreams: 1
TeseWNN.pdf: 1247691 bytes, checksum: 63f743255181169a9bb4ca1dfd2312c2 (MD5) / Approved for entry into archive by Marina Freitas (marinapf@ufscar.br) on 2016-09-26T20:35:33Z (GMT) No. of bitstreams: 1
TeseWNN.pdf: 1247691 bytes, checksum: 63f743255181169a9bb4ca1dfd2312c2 (MD5) / Made available in DSpace on 2016-09-26T20:35:40Z (GMT). No. of bitstreams: 1
TeseWNN.pdf: 1247691 bytes, checksum: 63f743255181169a9bb4ca1dfd2312c2 (MD5)
Previous issue date: 2016-02-19 / Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES) / In this thesis we study the asymptotic properties for the solution of the Cauchy
problem for the Klein-Gordon equation with non-effective time-dependent potential.
The main goal was define a suitable energy related to the Cauchy problem and derive
decay estimates for such energy. Strichartz’ estimates and results of scattering and
modified scattering was established. The C m theory and the stabilization condition
was applied to treat the case where the coefficient of the potential term has very fast
oscillations. Moreover, we consider a semi-linear wave model scale-invariant time-
dependent with mass and dissipation, in this step we used linear estimates related
with the semi-linear model to prove global existence (in time) of energy solutions for
small data and we show a blow-up result for a suitable choice of the coefficients. / Nesta tese estudamos as propriedades assintóticas para a solução do problema
de Cauchy para a equação de Klein-Gordon com potencial não efetivo dependente
do tempo. O principal objetivo foi definir uma energia adequada relacionada ao
problema de Cauchy e derivar estimativas para tal energia. Estimativas de Strichartz
e resultados de scatering e scatering modificados também foram estabelecidos. A
teoria C m e a condição de estabilização foram aplicados para tratar o caso em que
o coeficiente da massa oscila muito rápido. Além disso, consideramos um mod-
elo de onda semi-linear scale-invariante com massa e dissipação dependentes do
tempo, nesta etapa usamos as estimativas lineares de tal modelo para provar ex-
istência global (no tempo) de solução de energia para dados iniciais suficientemente
pequenos e demonstramos um resultado de blow-up para uma escolha adequada
dos coeficientes.
|
125 |
AnÃlise e otimizaÃÃo de cascas laminadas considerando nÃo linearidade geomÃtrica e falha progressiva. / Analysis and optimization of composite shells considering geometric non-linearity and progressive failure.Iuri Barcelos Carneiro Montenegro da Rocha 29 May 2013 (has links)
CoordenaÃÃo de AperfeiÃoamento de Pessoal de NÃvel Superior / Materiais compÃsitos vÃm sendo extensamente estudados, pois seu uso permite a obtenÃÃo de estruturas leves e resistentes, com bom isolamento tÃrmico e boa resistÃncia a fadiga. CompÃsitos laminados, foco do presente trabalho, sÃo compostos pelo empilhamento de um conjunto de lÃminas, cada uma composta de fibras unidirecionais imersas em uma matriz polimÃrica. Cascas laminadas sÃo utilizadas em muitas situaÃÃes prÃticas de interesse, como fuselagens de aeronaves, estruturas marÃtimas, dentre outras. Devido ao elevado nÃmero de variÃveis envolvidas no projeto de cascas laminadas, mÃtodos de otimizaÃÃo devem ser utilizados em seu projeto. Na anÃlise estrutural de tais cascas, devido ao seu complexo comportamento mecÃnico, mÃtodos numÃricos, como o MÃtodo dos Elementos Finitos (MEF), sÃo utilizados. De modo a determinar a capacidade Ãltima de carga em cascas laminadas, à necessÃrio considerar tanto a presenÃa de grandes deslocamentos (nÃo-linearidade geomÃtrica) quanto o comportamento nÃo- linear do material (nÃo-linearidade fÃsica). No presente trabalho, a nÃo-linearidade geomÃtrica foi introduzida utilizando a formulaÃÃo Lagrangiana Total aplicada a um elemento de casca abatida baseado na Teoria de Marguerre. O elemento foi implementado em um programa de cÃdigo-aberto e vÃrios exemplos com resposta analÃtica e numÃrica presentes na literatura foram tratados. Os resultados obtidos indicaram que o elemento à muito eficiente no tratamento de cascas com pequenas curvaturas iniciais sujeitas a deslocamentos moderadamente grandes. Jà a nÃo-linearidade fÃsica foi considerada por meio de modelos de falha progressiva, com a diminuiÃÃo instantÃnea das propriedades mecÃnicas das lÃminas que falham ao longo da anÃlise. TrÃs mÃtodos de falha progressiva distintos foram formulados e implementados em conjunto com a formulaÃÃo de anÃlise pelo MEF. Os resultados se mostraram promissores, com a correta obtenÃÃo das cargas de falha em laminados tanto submetidos a esforÃos axiais como de flexÃo, mostrando concordÃncia tanto com resultados numÃricos da literatura quanto com resultados experimentais. O desempenho mecÃnico da estrutura foi entÃo utilizado em um modelo de otimizaÃÃo com o objetivo de encontrar um esquema de laminaÃÃo Ãtimo. Neste trabalho, propÃe-se um Algoritmo GenÃtico com um esquema hÃbrido de computaÃÃo paralela para a otimizaÃÃo de laminados. Tal algoritmo utiliza uma configuraÃÃo em ilhas e pode ser executado tanto em clusters quanto em computadores pessoais. AlÃm disso, o algoritmo possui operadores especÃficos para a troca, adiÃÃo e eliminaÃÃo de camadas em laminados. As metodologias implementadas foram combinadas na otimizaÃÃo de placas e cascas laminadas tanto utilizando anÃlise linear quanto nÃo-linear. Nos exemplos lineares, o algoritmo foi verificado e os ganhos em eficiÃncia e tempo de execuÃÃo devidos à paralelizaÃÃo do algoritmo foram estudados. Mostrou-se que o algoritmo paralelo nÃo à somente mais rÃpido que o sequencial, mas tambÃm produz melhores resultados. Jà nos exemplos nÃo-lineares, foram obtidos projetos significativamente mais eficientes que aqueles obtidos utilizando anÃlise linear. / Composite materials are being extensively studied, as their use allows the design of structures that are lighter and stronger than their metal counterparts and feature good thermal insulation and fatigue resistance. Fiber Reinforced Composites (FRC), the focus of the present work, consist in stacking multiple laminae, each one consisting of unidirectional fibers embedded in a polymeric matrix. Laminated shells are used in many industrial applications, such as modern aircraft fuselages and wing systems, offshore structures, among others. Due to the many variables involved in the design of such structures, such as the number of layers (plies) and the mate- rial, thickness and fiber orientation of each layer, the traditional trial-and-error design procedure becomes arduous, which leads to the use of optimization techniques. In the structural analysis of laminated shells, numerical methods are commonly used, particularly the Finite Element Method (FEM), which is capable of modeling complex geometries, loads and boundary conditions. In order to determine the final load-carrying capacity of such shells, it is necessary to take into account not only the presence of large displacements (geometric non-linearity) but also its failure behavior (material non-linearity). In the present work, the geometric non-linearity was introduced by using the Total Lagrangian approach in a shallow shell finite element based on Marguerreâs Shell Theory. The element was implemented in an academic finite element software and multiple benchmark numerical examples were treated. The obtained results showed that the element is efficient when dealing with shells with small initial curvatures and moderately large displacements and rotations. The material non-linearity was considered by using progressive failure models, with the instantaneous degradation of the mechanical properties of layers that fail during the analysis. Three distinct progressive failure methods were formulated and implemented and the numerical examples yielded promissing results, with the correct determination of the ultimate failure load of laminates subjected to in-plane and bending loads, which were in good agreement with experimental and numerical results from the literature. The structural performance evaluated through the analysis procedure was then used in an optimization model in order to find the optimum stacking sequence for a given applied load. Here, a novel Genetic Algorithm with a hybrid computational parallelization scheme was proposed. The algorithm is based on the island model and can be executed in both clusters and personal computers alike. The algorithm was implemented and combined with the analysis procedures in the optimization of laminated shells considering both linear and non-linear analysis. In the linear examples, the algorithm was verified and the efficiency and execution time gains due to the parallel implementation were measured. The results show that the parallel algorithm not only runs faster than a sequential one, but also provides better results. In the non-linear examples, significant lighter and more efficient designs were obtained due to the consideration of the two types of non-linearities.
|
126 |
Aprimoramento de formulação de identificação e solução do impacto bidimensional entre estrutura e anteparo rígido / Improvement of formulation of identification and solution of the bidimensional impact between structure and rigid wallRobenson Luiz Minski 14 April 2008 (has links)
Esta dissertação tem como objetivo principal o desenvolvimento de uma formulação, via método dos elementos finitos (MEF), para a identificação e solução do impacto não linear bidimensional entre estruturas anelares reticuladas e anteparo rígido fixo. O comportamento dinâmico não linear geométrico é feito por meio de uma formulação posicional classificada como Lagrangiana total com cinemática exata. Utiliza-se o integrador temporal de Newmark modificado para descrever o comportamento dinâmico, de forma a garantir a estabilidade na análise do impacto. Desenvolveu-se um algoritmo de identificação da ocorrência do impacto, utilizando-se segmentos auxiliares que definem uma região formada por pontos passíveis de impacto. A solução do impacto é feita com um algoritmo de retorno geométrico segundo superfície curva com aproximação qualquer para o anteparo rígido, considerando situações com e sem atrito. Faz-se uma comparação entre a técnica adotada e a técnica dos multiplicadores de Lagrange e das penalidades, mostrando a equivalência entre as mesmas. Por fim, são apresentados exemplos numéricos gerais utilizando a técnica desenvolvida, onde se fez um estudo de convergência para discretização geométrica e temporal. / This work has as main goal the development of a formulation, based on the finite element method (FEM), for the identification and solution of the bidimensional nonlinear impact between reticulated cyclics structures and fixed rigid wall. The dynamic geometrically nonlinear behavior is treated with a positional formulation classified as total Lagrangean with exact kinematics. The time integrator of modified Newmark is used, to describe the dynamic behavior, to assure the stability in the analysis of the impact. An algorithm of identification of the occurrence of the impact was developed, using auxiliary segments that define a region formed for feasible points of impact. The solution of the impact is made with an algorithm of geometric return as curve surface with any approach for the rigid wall, considering situations with and without friction. A comparison between the technique adopted and Lagrange multipliers and penalty is made. Finally, general numerical examples are presented, where a study of convergence was made.
|
127 |
[en] ANALYSIS OF OPTICAL WAVEGUIDES CONTAINING ARBITRARILY NANLINEAR MATERIALS / [pt] ANÁLISE DE GUIAS DE ONDA ÓTICOS CONTENDO MATERIAIS ARBITRARIAMENTE NÃO LINEARESANA CECILIA PEIXOTO ZABEU 09 November 2006 (has links)
[pt] O objetivo deste trabalho é o estudo das características
de propagação de ondas eletromagnéticas em guias de onda
dielétricos contendo materiais arbitrariamente não
lineares representados por uma distribuição de índice de
refração que depende da intensidade local do sinal.
Os guias de onda considerados neste trabalho podem
ser analisados por meio de uma equação de onda
unidimensional. Devido à presença de materiais não
lineares, esta equação admite solução analítica apenas
para certos tipos de não linearidade. De modo a permitir
um estudo mais abrangente, uma solução numérica é
desenvolvida para a equação de onda não linear.
Esta solução numérica é então utilizada no estudo
das características de propagação de guias de onda
dielétricos em diversas configurações e diferentes tipos
de onda dielétricos em diversas configurações e diferentes
tipos de distribuição de índice de refração não linear,
tanto em polarização TE como TM. O estudo mostra que estes
guias de onda apresentam propriedades de propagação de
potencial aplicação em dispositivos para um processador
ótico de sinais ou para um computador ótico, como por
exemplo histerese e bi-estabilidade óticas.
É feito ainda um estudo da estabilidade das
soluções da equação de onda não linear, sendo verificado
que certas porções das soluções são instáveis, isto é,
sofrem alteração à medida em que se deslocam ao longo do
guia de onda. Além disso, foi observado a possibilidade de
ocorrência, nas soluções instáveis, de rotas para o caos
quando a potência do sinal é aumentada gradativamente.
Em todos as etapas deste trabalho, os resultados
foram comparados com outros métodos existentes na
literatura. / [en] In this work, the propagation characteristics of
electromagnetics waves in dieletric waveguides with
arbitarily non-linear materiais, represented by a
distribution of refractive index that depends on the local
intensity of the signal, is presented.
The waveguides here considered are analysed by
means of an unidimensional equation. Due to the non-
linearity of the materials this equation has analytical
solution only for few types of non-linearities. To permit
a more abrangent study, a numerical solution for the non-
linear wave equation was developed.
This solution is applied to the study of
propagation characteristics of dielectric waveguides with
different distributions of refractive index, either for TE
and TM polarization. It is shown that these waveguides
have propagation properties, like hysteresis and optical
bi-stability, that fine applications in optical devices
and optical computers.
It´s also made a study of the stability of the
solution of non-linear wave equation, showing that some
portions of the solutions are usntable that is, they are a
function of the observation point in the waveguide. The
possibility of CAOS for unstable solutions, when the power
is gradually increased, was also observed.
At each step of this work, all results are
compared with those of other methods of the literature.
|
128 |
Contributions to the Design of RF Power AmplifiersAcimovic, Igor 19 August 2013 (has links)
In this thesis we introduce a two-way Doherty amplifier architecture with multiple feedbacks for digital predistortion based on impedance-inverting directional coupler (transcoupler). The tunable two-way Doherty amplifier with a tuned circulator-based impedance inverter is presented. Compact N-way Doherty architectures that subsume impedance inverter and offset line functionality into output matching networks are derived. Comprehensive N-way Doherty amplifier design and analysis techniques based on load-pull characterization of active devices and impedance modulation effects are developed. These techniques were then applied to the design of a two-way Doherty amplifier and a three-way Doherty amplifier which were manufactured and their performance measured and compared to the amplifier performance specifications and simulated results.
|
129 |
Cavitation par excitation acoustique bifréquentielle : application à la thrombolyse ultrasonore / Cavitation using bifrequency acoustic excitation : application to ultrasound thrombolysisSaletes, Izella 07 December 2009 (has links)
Dans nombre d’applications thérapeutiques des ultrasons, il peut être intéressant d’augmenter l’activité de cavitation inertielle tout en limitant au maximum les intensités utilisées : ceci permet de maximiser les effets mécaniques des ultrasons au niveau des tissus visés tout en minimisant les échauffements des tissus environnants. L’étude expérimentale présentée ici ² porte sur la modification des seuils de cavitation inertielle et de l’activité de cavitation au-delà du seuil lorsqu’un signal bifréquentiel comportant deux composantes fréquentielles proches est utilisé. Le caractère non linéaire de la modification du seuil est démontré. Ainsi, des réductions significatives de l’intensité nécessaire à l’obtention de cavitation inertielle peuvent être obtenues dans des milieux où les seuils sont élevés. De plus, l’évolution de l’activité de cavitation lorsque l’intensité ultrasonore est augmentée au-delà du seuil montre qu’avec une excitation bifréquentielle, de fortes activités de cavitation peuvent être atteintes pour des intensités plus proches du seuil. Ce point présente un double intérêt sur le plan de l’application pratique, puisque cela signifie une meilleure séparation des régimes cavitant et non cavitant et permet de réduire encore, par rapport à une excitation monofréquentielle, les intensités requises pour atteindre une activité de cavitation donnée. Des essais sur modèle de caillots sanguins ont permis de valider in vitro l’efficacité de cette excitation bifréquentielle pour la thrombolyse purement ultrasonore. / Enhancing cavitation activity using lower acoustic intensities is interesting to a variety of therapeutic applications, where the mechanical effects of cavitation are required with minimal heating of surrounding tissues. The present experimental work is focused on the modification of the inertial cavitation threshold and on the cavitation activity beyond the threshold where an excitation signal made of two neighbouring frequency components is used. A significant reduction of the acoustic intensity required to trigger cavitation can be obtained in a medium with a strong cavitation threshold. Moreover, comparing the evolution of the cavitation activity beyond the threshold where mono- and bi-frequency excitations are used, it is shown, in the latter case, that strong activities can be reached with intensities closer to the threshold value. This fact would offer a dual-benefit in terms of therapeutic applications, as it enables a better separation between the cavitating and non-cavitating regime and allows lower intensities to be used to attain a given cavitation activity. The evolution of the bifrequency threshold as function of the external parameters shows that the mechanisms involved are nonlinear. Experiments on in vitro blood clot models have validated the efficiency of this bifrequency excitation for purely ultrasound thrombolysis
|
130 |
Les approches chaos-stochastiques du risque de marché / Chaos-stochastics approaches of market riskHennani, Rachida 10 December 2015 (has links)
La complexité des marchés financiers et la recrudescence des crises particulièrement sévères contribuent à l'évolution et à la remise en cause de modèles économétriques dits standards dans l'explication et la prévision des dynamiques financières. L'alerte donnée conjointement par les responsables prudentiels et les chercheurs vise à encourager le développement de modèles plus complexes, non linéaires et largement inspirés d'autres disciplines. Nous soutenons dans cette thèse l'idée qu'une approche chaos-stochastique des chroniques financières est susceptible de conduire à de meilleurs résultats. La pertinence de cette association est évaluée pour le risque de marché dans deux cadres d'analyse distincts. Nous montrons tout l'intérêt d'une synthèse des modèles chaotiques et des spécifications GARCH avec ou sans changements de régimes markoviens (MRS) pour la modélisation et la prévision de la Value-at-Risk des indices boursiers de la zone euro. Il ressort de cette étude de meilleurs résultats des modèles chaos-stochastiques et dans le cas des spécifications MRS-GARCH, une meilleure adéquation du modèle chaotique de Lasota(1977) pour les indices de l'Europe du Sud, particulièrement plus volatiles que ceux de l'Europe du Nord pour lesquels nous recommandons le modèle de Mackey-Glass(1977). Cette combinaison permet, dans un cadre bivarié, de mieux appréhender les liens qui existent entre les différentes places boursières de la zone euro. Nous introduisons deux nouvelles spécifications qui intègrent les problématiques liées aux ruptures de corrélations : la première permet de distinguer, par une analyse en sous-périodes, les relations d'interdépendance par rapport aux phénomènes de contagion et la seconde propose, dans un cadre unifié, d'intégrer les ruptures de corrélations. Cette double analyse met en évidence le rôle moteur du couple d'indices franco-allemand, l'existence de deux sphères distinctes constituées d'une part par les indices de l'Europe du Nord et d'autre part par les pays de l'Europe du Sud et l'intensification de certaines relations entre indices suite à la crise des dettes souveraines. Nous constatons et insistons sur la pertinence d'un modèle chaotique en moyenne pour rendre compte d'une part de la volatilité attribuée, à tort, aux effets GARCH. / The complexity of financial markets and the resurgence of severe crises contribute to the skepticism and evolution of standard econometric models in the explanation and prediction of financial time series. The warning given jointly by prudential authorities and researchers aims to encourage the development of nonlinear and more complex models inspired by other disciplines. I argue in this thesis that a chaos-stochastic approach of financial dynamics is likely to lead to better results. The relevance of this association is evaluated for market risk in two distinct analytical frameworks. I show the improvements given by a synthesis of chaotic models and GARCH specifications with or without Markov Regime Switching (MRS) for modelling and predicting the Value-at-Risk of 7 mains index of Monetary and Economic Union. It appears, from this study, better results from chaos-stochastic models. In the case of the MRS-GARCH specifications, I find more adequacy of the chaotic model of Lasota (1977) for the indices of Southern Europe, which are especially more volatile than those of Northern Europe for which I recommend the model of Mackey-Glass (1977). This combination allows, in a bivariate framework, to provide information on the relationship between these different indices. I introduce two new specifications that integrate issues related to correlation breakdowns. The first distinguishes, by a sub-periods analysis, the relations of interdependence of contagious relationships. Meanwhile, the second provides, in a unified framework, an integration of correlations breakdowns. These two analyses imply It appears from this double analysis the leading role of the Franco-German duo, the existence of two distinct spheres formed in a part by the Northern European indices and in another part by countries of the Southern Europe, and the intensification of relations between some indices following the sovereign debt crisis. Finally, these results support the relevance of a chaotic model which may account for some volatilities that are, wrongly, attributed to GARCH effects.
|
Page generated in 0.0656 seconds