No contexto dos modelos fatoriais existem diferentes metodologias para abordar a modelagem de séries temporais multivariadas que exibem uma estrutura não estacionária de segunda ordem, co- movimentos e transições no tempo. Modelos com mudanças estruturais abruptas e restrições rigorosas (muitas vezes irreais) nas cargas fatoriais, quando elas são funções determinísticas no tempo, foram propostos na literatura para lidar com séries multivariadas que possuem essas características. Neste trabalho, apresentamos um modelo fatorial com cargas variando continuamente no tempo para modelar séries temporais não estacionárias e um procedimento para sua estimação que consiste em dois estágios. No primeiro, os fatores latentes são estimados empregando os componentes principais das séries observadas. Em um segundo estágio, tratamos estes componentes principais como co-variáveis e as cargas funcionais são estimadas através de funções de ondaletas e mínimos quadrados generalizados. Propriedades assintóticas dos estimadores de componentes principais e de mínimos quadrados dos coeficientes de ondaletas são apresentados. O desempenho da metodologia é ilustrado através de estudos de simulação. Uma aplicação do modelo proposto no mercado spot de energia do Nord Pool é apresentado. / In the context of the factor models there are different methodologies to modeling multivariate time series that exhibit a second order non-stationary structure, co-movements and transitions over time. Models with abrupt structural changes and strict restrictions (often unrealistic) in factor loadings, when they are deterministic functions of time, have been proposed in the literature to deal with multivariate series that have these characteristics. In this work, we present a factor model with time-varying loadings continuously to modeling non-stationary time series and a procedure for its estimation that consists of two stages. First, latent factors are estimated using the principal components of the observed series. Second, we treat principal components obtained in first stage as covariate and the functional loadings are estimated by wavelet functions and generalized least squares. Asymptotic properties of the principal components estimators and least squares estimators of the wavelet coefficients are presented. The per- formance of the methodology is illustrated by simulations. An application to the model proposed in the energy spot market of the Nord Pool is presented.

Die vorliegende Arbeit beschaeftigt sich mit Gleichgewichtsproblemen unter Gleichgewichtsrestriktionen, sogenannten EPECs (Englisch: Equilibrium Problems with Equilibrium Constraints). Konkret handelt es sich um gekoppelte Zwei-Ebenen-Optimierungsprobleme, bei denen Nash- Gleichgewichte fuer die Entscheidungen der oberen Ebene gesucht sind. Ein Ziel der Arbeit besteht in der Formulierung dualer Stationaritaetsbedingungen zu solchen Problemen. Als Anwendung wird ein oligopolistisches Wettbewerbsmodell fuer Strommaerkte betrachtet. Zur Gewinnung qualitativer Hypothesen ueber die Struktur der betrachteten Modelle (z.B. Inaktivitaet bestimmter Marktteilnehmer) aber auch fuer moegliche numerische Zugaenge ist es wesentlich, EPEC-Loesungen explizit bezueglich der Eingangsdaten des Problems zu formulieren. Der Weg dorthin erfordert eine Strukturanalyse der involvierten Optimierungsprobleme (constraint qualifications, Regularitaet), die Herleitung von Stabilitaetsresultaten bestimmter mengenwertiger Abbildungen und die Nutzung von Transformationsformeln fuer die sogenannte Ko-Ableitung. Weitere Schwerpunkte befassen sich mit der Beziehung zwischen verschiedenen dualen Stationaritaetstypen (S- und M-Stationaritaet) sowie mit stochastischen Erweiterungen der betrachteten Problemklasse, sogenannten SEPECs. / This thesis is concerned with equilibrium problems with equilibrium constraints or EPECs. Concretely, we consider models composed by coupling together two-level optimization problems, the upper-level solutions to which are non-cooperative (Nash-Cournot) equilibria. One of the main goals of the thesis involves the formulation of dual stationarity conditions to EPECs. A model of oligopolistic competition for electricity markets is considered as an application. In order to profit from qualitative hypotheses concerning the structure of the considered models, e.g., inactivity of certain market participants at equilibrium, as well as to provide conditions useful for numerical procedures, the ablilty to formulate EPEC solutions in relation to the input data of the problem is of considerable importance. The way to do this requires a structural analysis of the involved optimization problems, e.g., constraints qualifications, regularity; the derivation of stability results for certain multivalued mappings, and the usage of transformation formulae for so-called coderivatives. Further important topics address the relationship between various dual stationarity types, e.g., S- and M-stationarity, as well as the extension of the considered problem classes to a stochastic setting, i.e., stochastic EPECs or SEPECs.

No contexto dos modelos fatoriais existem diferentes metodologias para abordar a modelagem de séries temporais multivariadas que exibem uma estrutura não estacionária de segunda ordem, co- movimentos e transições no tempo. Modelos com mudanças estruturais abruptas e restrições rigorosas (muitas vezes irreais) nas cargas fatoriais, quando elas são funções determinísticas no tempo, foram propostos na literatura para lidar com séries multivariadas que possuem essas características. Neste trabalho, apresentamos um modelo fatorial com cargas variando continuamente no tempo para modelar séries temporais não estacionárias e um procedimento para sua estimação que consiste em dois estágios. No primeiro, os fatores latentes são estimados empregando os componentes principais das séries observadas. Em um segundo estágio, tratamos estes componentes principais como co-variáveis e as cargas funcionais são estimadas através de funções de ondaletas e mínimos quadrados generalizados. Propriedades assintóticas dos estimadores de componentes principais e de mínimos quadrados dos coeficientes de ondaletas são apresentados. O desempenho da metodologia é ilustrado através de estudos de simulação. Uma aplicação do modelo proposto no mercado spot de energia do Nord Pool é apresentado. / In the context of the factor models there are different methodologies to modeling multivariate time series that exhibit a second order non-stationary structure, co-movements and transitions over time. Models with abrupt structural changes and strict restrictions (often unrealistic) in factor loadings, when they are deterministic functions of time, have been proposed in the literature to deal with multivariate series that have these characteristics. In this work, we present a factor model with time-varying loadings continuously to modeling non-stationary time series and a procedure for its estimation that consists of two stages. First, latent factors are estimated using the principal components of the observed series. Second, we treat principal components obtained in first stage as covariate and the functional loadings are estimated by wavelet functions and generalized least squares. Asymptotic properties of the principal components estimators and least squares estimators of the wavelet coefficients are presented. The per- formance of the methodology is illustrated by simulations. An application to the model proposed in the energy spot market of the Nord Pool is presented.

nÃo hà / Ao se investigar o equilÃbrio financeiro dos Regimes PrÃprios de PrevidÃncia Social (RPPS) dos servidores pÃblicos, espera-se que os resultados deste estudo contribuam com a literatura empÃrica ainda escassa no Brasil. Seguindo uma modelagem economÃtrica de dados em painel, considerando-se os 22 estados brasileiros no perÃodo 2005â2011, busca-se analisar a solvÃncia dos RPPS atravÃs da metodologia tradicional em sustentabilidade fiscal com restriÃÃo orÃamentÃria intertemporal, ao se testar a estacionaridade da sÃrie representativa do dÃficit previdenciÃrio e da despesa sobre o saldo de servidores ativos, fazendo-se uso de quatro testes alternativos: Levin-Lin-Chu (2002); Im-Pesaram-Shin (2003); Dickey- Fuller (1979) e Phillips-Perron (1988). Os resultados dos testes mostraram que o dÃficit previdenciÃrio nÃo possui raiz unitÃria, sendo assim estacionÃrio tanto no sistema como um todo, como individualmente. A sÃrie despesa sobre saldo de ativos, por seu turno, mostrou-se estacionaria apenas no todo. Conclui-se que o equilÃbrio financeiro, entre as duas abordagens, à mais viÃvel atravÃs do acrÃscimo nas receitas, cuja polÃtica de curto prazo poderia ser direcionada, por exemplo, para o aumento das alÃquotas de contribuiÃÃo previdenciÃria dos entes patrocinadores e dos segurados. AlÃm disso, hà a necessidade de se implementar novas reformas previdenciÃrias no sentido de viabilizar o equilÃbrio financeiro dos RPPS no longo prazo. / At aiming to investigate the financial balance in the Social Security System of public employees (RPPS), it is expected that the results here found contribute to the scarce empirical literature in Brazil. Following a panel data econometric modeling, by taking the 22 brazilian states in the period 2005â2011, it was approached the solvency of RPPS through a traditional methodology in fiscal sustainability under intertemporal budget constraint. In order to verify the stationarity of the series representative of the pension deficit and expenditure on the balance of active workers four alternative tests procedures were considered: Levin-Lin-Chu (2002); Im-Pesaram-Shin (2003); Dickey-Fuller (1979) e Phillips-Perron (1988). The results from the tests showed that the pension deficit present no unit root, which implies stationary series in the social security in both aggregate and individual basis. The expense series on balance of assets, in turn, was stationary only in the aggregate. Besides, It was found that that the financial balance between the two approaches is more feasible through the increase in revenue. This can give the increase in social security contribution rates of sponsors and insured. This does not exclude the need for pension reforms to bring advances to the financial balance of RPPS.

The thesis investigates the behavior of Spain’s persistently high unemployment rate. Rigid labor laws, unemployment insurance generosity, and the demographics of the unemployed are part of the cause, but they are only underlying factors driving the hysteresis that has been present for nearly four decades. The thesis attempts to extract explanations for this persistence by comparing Spain to other countries, such as its next-door neighbor, Portugal. Special attention is placed on the role that recessions and subsequent changes in real GDP growth play in sustaining a high rate of unemployment.

This thesis investigates the effect of scale on themorphology, mechanics and transmissivity of single rockfractures using both laboratory and in-situ experiments, aswell as numerical simulations. Using a laboratory 3D laserscanner, the surface topography of a large silicon-rubberfracture replica of size 1m x 1m, as well as the topography ofboth surfaces of several high-strength concrete fracturereplicas varying in size from 50mmx50mm to 200mm x 200mm, werescanned. A geodetic Total Station and an in-situ 3D laser radarwere also utilized to scan the surface topography of a largenatural road-cut rock face of size 20m x 15m in the field. Thisdigital characterization of the fracture samples was then usedto investigate the scale dependency of the three dimensionalmorphology of the fractures using a fractal approach. Thefractal parameters of the surface roughness of all fracturesamples, including the geometrical aperture of the concretefracture samples, were obtained using the Roughness-Lengthmethod. The results obtained from the fractal characterization ofthe surface roughness of the fracture samples show that bothfractal dimension, D, and amplitude parameter, A, for aself-affine surface are scale-dependent, heterogeneous andanisotropic, and their values generally decrease withincreasing size of the sample. However, this scale-dependencyis limited to a certain size—defined as the stationaritythreshold, where the surface roughness parameters of thefracture samples remain essentially constant beyond thisstationarity threshold. The surface roughness and thegeometrical aperture of the tested concrete fracture replicasin this study did not reach stationarity due to the structuralnon-stationarity of their surface at small scales. Although theaperture histogram of the fractures was almost independent ofthe sample size, below their stationarity threshold both theHurst exponent, Hb, and aperture proportionality constant, Gb,decrease on increasing the sample sizes. To investigate the scale effect on the mechanical propertiesof single rock fractures, several normal loading and directshear tests were performed on the concrete fracture replicassubjected to different normal stresses under Constant NormalLoad (CNL) conditions. The results showed that both normal andshear stiffnesses, as well as the shear strength parameters ofthe fracture samples, decrease on increasing the sample size.It was observed that the structural non-stationarity of surfaceroughness largely controls the contact areas and damage zoneson the fracture surfaces as related to the direction of theshearing. The aperture maps of the concrete fracture replicas ofvarying size and at different shear displacements, obtainedfrom numerical simulation of the aperture evolution duringshearing using their digitized surfaces, were used toinvestigate the effect of scale on the transmissivity of thesingle rock fractures. A FEM code was utilized to numericallysimulate the fluid flow though the single rock fractures ofvarying size. The results showed that flow rate not onlyincreases on increasing the sample size, but also significantlyincreases in the direction perpendicular to the shearing, dueto the anisotropic roughness of the fractures. <b>Key words:</b>Anisotropy, Aperture, Asperity degradation,Contact area, Finite Element Method (FEM), Flow analysis,Fractals, Fracture morphology, Heterogeneity,Stress-deformation, Surface roughness, Roughness-Length method,Scale dependency, Stationarity, Transmissivity, 3D laserscanner.

<p>This thesis investigates the effect of scale on themorphology, mechanics and transmissivity of single rockfractures using both laboratory and in-situ experiments, aswell as numerical simulations. Using a laboratory 3D laserscanner, the surface topography of a large silicon-rubberfracture replica of size 1m x 1m, as well as the topography ofboth surfaces of several high-strength concrete fracturereplicas varying in size from 50mmx50mm to 200mm x 200mm, werescanned. A geodetic Total Station and an in-situ 3D laser radarwere also utilized to scan the surface topography of a largenatural road-cut rock face of size 20m x 15m in the field. Thisdigital characterization of the fracture samples was then usedto investigate the scale dependency of the three dimensionalmorphology of the fractures using a fractal approach. Thefractal parameters of the surface roughness of all fracturesamples, including the geometrical aperture of the concretefracture samples, were obtained using the Roughness-Lengthmethod.</p><p>The results obtained from the fractal characterization ofthe surface roughness of the fracture samples show that bothfractal dimension, D, and amplitude parameter, A, for aself-affine surface are scale-dependent, heterogeneous andanisotropic, and their values generally decrease withincreasing size of the sample. However, this scale-dependencyis limited to a certain size—defined as the stationaritythreshold, where the surface roughness parameters of thefracture samples remain essentially constant beyond thisstationarity threshold. The surface roughness and thegeometrical aperture of the tested concrete fracture replicasin this study did not reach stationarity due to the structuralnon-stationarity of their surface at small scales. Although theaperture histogram of the fractures was almost independent ofthe sample size, below their stationarity threshold both theHurst exponent, Hb, and aperture proportionality constant, Gb,decrease on increasing the sample sizes.</p><p>To investigate the scale effect on the mechanical propertiesof single rock fractures, several normal loading and directshear tests were performed on the concrete fracture replicassubjected to different normal stresses under Constant NormalLoad (CNL) conditions. The results showed that both normal andshear stiffnesses, as well as the shear strength parameters ofthe fracture samples, decrease on increasing the sample size.It was observed that the structural non-stationarity of surfaceroughness largely controls the contact areas and damage zoneson the fracture surfaces as related to the direction of theshearing.</p><p>The aperture maps of the concrete fracture replicas ofvarying size and at different shear displacements, obtainedfrom numerical simulation of the aperture evolution duringshearing using their digitized surfaces, were used toinvestigate the effect of scale on the transmissivity of thesingle rock fractures. A FEM code was utilized to numericallysimulate the fluid flow though the single rock fractures ofvarying size. The results showed that flow rate not onlyincreases on increasing the sample size, but also significantlyincreases in the direction perpendicular to the shearing, dueto the anisotropic roughness of the fractures.</p><p><b>Key words:</b>Anisotropy, Aperture, Asperity degradation,Contact area, Finite Element Method (FEM), Flow analysis,Fractals, Fracture morphology, Heterogeneity,Stress-deformation, Surface roughness, Roughness-Length method,Scale dependency, Stationarity, Transmissivity, 3D laserscanner.</p>

Ce mémoire a pour objectif de déterminer si les précipitations convectives estivales simulées par le modèle régional canadien du climat (MRCC) sont stationnaires ou non à travers le temps. Pour répondre à cette question, nous proposons une méthodologie statistique de type fréquentiste et une de type bayésien. Pour l'approche fréquentiste, nous avons utilisé le contrôle de qualité standard ainsi que le CUSUM afin de déterminer si la moyenne a augmenté à travers les années. Pour l'approche bayésienne, nous avons comparé la distribution a posteriori des précipitations dans le temps. Pour ce faire, nous avons modélisé la densité \emph{a posteriori} d'une période donnée et nous l'avons comparée à la densité a posteriori d'une autre période plus éloignée dans le temps. Pour faire la comparaison, nous avons utilisé une statistique basée sur la distance d'Hellinger, la J-divergence ainsi que la norme L2. Au cours de ce mémoire, nous avons utilisé l'ARL (longueur moyenne de la séquence) pour calibrer et pour comparer chacun de nos outils. Une grande partie de ce mémoire sera donc dédiée à l'étude de l'ARL. Une fois nos outils bien calibrés, nous avons utilisé les simulations pour les comparer. Finalement, nous avons analysé les données du MRCC pour déterminer si elles sont stationnaires ou non. / The main goal of this master's thesis is to find whether the summer convective precipitations simulated by the Canadian Regional Climate Model (CRCM) are stationary over time or not. In order to answer that question, we propose both a frequentist and Bayesian statistical methodology. For the frequentist approach, we used standard quality control and the CUSUM to determine if the mean has increased over the years. For the Bayesian approach, we compared the posterior distributions of the precipitations over time. In order to do the comparison, we used a statistic based on the Hellinger's distance, the J-divergence and the L2 norm. In this master's thesis, we used the ARL (average run length) to calibrate each of our methods. Therefore, a big part of this thesis is about studying the actual property of the ARL. Once our tools are well calibrated, we used the simulation to compare them together. Finally, we studied the data from the CRCM to decide, whether or not, the data are stationary.

Made available in DSpace on 2010-04-20T21:00:18Z (GMT). No. of bitstreams: 3 ernestokabashimaturma2003.pdf.jpg: 14228 bytes, checksum: dee04567d9b7d510262698cc8b1aac7a (MD5) ernestokabashimaturma2003.pdf: 322209 bytes, checksum: 07320e4df8ce4733adad8f20e464b5f9 (MD5) ernestokabashimaturma2003.pdf.txt: 96815 bytes, checksum: 7704291ee38c7a6004795b3faa07da1f (MD5) Previous issue date: 2006-02-01T00:00:00Z / Esta dissertação estuda a aplicação da estratégia Pairs Trading no mercado acionário brasileiro. Envolve basicamente a identificação de pares de ações que tenham movimentos de preço semelhantes e posteriormente a operação do diferencial entre seus preços. É possível observar no mercado a existência de um valor de equilíbrio de longo prazo para alguns pares de ações e quando o diferencial divergir de certa quantidade pré-definida opera-se o diferencial no intuito de que o mesmo retorne ao seu valor de equilíbrio de longo prazo, ou seja, espera-se que ocorra uma reversão à média do diferencial. A metodologia para a identificação desses pares de ações que descrevem movimentos semelhantes vem do conceito de cointegração. Essa metodologia é aplicada sobre as ações do índice Bovespa de 04-Jan-1993 a 30-Jun-2005. Inicialmente é feita uma pré-seleção dos pares de ações via correlação, ou medida de distância. Para a seleção final é feito o teste de cointegração, onde é utilizado o método de Dickey-Fuller aumentado (Augmented Dickey-Fuller test – ADF) para verificar a existência de raiz unitária da série de resíduo da combinação linear do logaritmo dos preços. Após a seleção, os pares são simulados historicamente (backtesting) para se analisar a performance dos retornos dos pares de ações, incluindo também os custos operacionais. / This dissertation addresses the application of Pairs Trading strategy in the Brazilian equity market. Basically it consists in the identification of the stock pairs, that have similar price movements, which can be subsequently traded based on their prices spread. It can be observed in the market that a long-term equilibrium value can be determined between some pairs of stocks and when this spread diverges to a certain predetermined value from the mean, it is traded in the expectation that it will return to the long term equilibrium value, i.e., the spread mean reversion. The methodology used to identify the pairs of stocks, which have similar movements, is derived from the concept of cointegration. This methodology was applied to all of the stocks that compose the Bovespa index from 04-Jan-1993 to 30-Jun-2005. Initially pairs of stocks were pre-selected using correlation, or distance measure. The Augmented Dickey-Fuller test (ADF) was also used in order to determine the cointegrated pairs. ADF is used to verify the existence of the unit root in the residual time series of the logarithm of prices. After the selection was completed the chosen pairs were backtested in order to analyze the performance of their returns, with the addition of the operational costs.

Submitted by Marcia Bacha (marcia.bacha@fgv.br) on 2011-04-12T19:42:27Z No. of bitstreams: 1 000406591.pdf: 5825955 bytes, checksum: a09d43a0b53cba39f568bd3b137cef16 (MD5) / Approved for entry into archive by Marcia Bacha(marcia.bacha@fgv.br) on 2011-04-12T19:44:07Z (GMT) No. of bitstreams: 1 000406591.pdf: 5825955 bytes, checksum: a09d43a0b53cba39f568bd3b137cef16 (MD5) / Made available in DSpace on 2011-04-12T19:44:32Z (GMT). No. of bitstreams: 1 000406591.pdf: 5825955 bytes, checksum: a09d43a0b53cba39f568bd3b137cef16 (MD5) Previous issue date: 2008-05-01 / Com a entrada do regime cambial flutuante no Brasil a partir de 1999, o mercado de derivativos cambiais se desenvolveu muito. A crescente demanda das empresas e instituições financeiras pelos produtos de hedge cambial junto a um novo panorama econômico mundial foram as causas desse desenvolvimento. Esse trabalho procura encontrar tendências para o mercado de derivativos cambiais brasileiro estimando parâmetros através de regressões entre séries não-estacionárias, porém cointegradas. E utilizado o modelo de correção de erros para fazer as previsões. Os resultados mostram que o crescimento do mercado ocorre em função da corrente de comércio exterior e PIB, que os produtos mais utilizados para operações de curto e longo prazos tendem a ser o dólar futuro e as opções cambiais e que, no futuro, algumas outras moedas terão participação significativa no mercado brasileiro.