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  • About
  • The Global ETD Search service is a free service for researchers to find electronic theses and dissertations. This service is provided by the Networked Digital Library of Theses and Dissertations.
    Our metadata is collected from universities around the world. If you manage a university/consortium/country archive and want to be added, details can be found on the NDLTD website.
121

A novel method for the Approximation of risk of Blackout in operational conditions / Une nouvelle méthode pour le rapprochement des risques de "Blackout" dans des conditions opérationnelles

Urrego Agudelo, Lilliam 04 November 2016 (has links)
L'industrie de l'électricité peut être caractérisée par plusieurs risques: la réglementation, la capacité, l'erreur humaine, etc. L'un des aspects les plus remarquables, en raison de leur impact, est lié à ne pas répondre à la demande (DNS).Pour éviter les défaillances en cascade, des critères déterministes comme la N-1 ont été appliquées, ce qui permet d'éviter la défaillance initial. Après une défaillance en cascade, des efforts considérables doivent être faits pour analyser les défauts afin de minimiser la possibilité d'un événement similaire.En dépit de tous ces efforts, des blackouts peuvent encore se produire. En effet, il est un défi, en raison du grand nombre d'interactions possibles et de leur diversité et complexité, pour obtenir une bonne prédiction d'une situation.Dans notre travail, une nouvelle méthodologie est proposée pour estimer le risque de blackout en utilisant des modèles de systèmes complexes. Cette approche est basée sur l'utilisation de variables qui peuvent être des précurseurs d'un événement DNS. Il est basé sur l'étude de la dépendance ou de corrélation entre les variables impliquées dans le risque de blackout, et la caractéristique d’auto-organisation critique (SOC) des systèmes complexes.La VaR est calculé en utilisant les données du système colombien et le coût du rationnement, y compris les variables économiques dans les variables techniques. Traditionnellement le risque augmente avec la racine carrée du temps, mais avec des séries de données que présente un comportement complexe, le taux de croissance est plus élevé.Une fois que les conditions de SOC sont déterminées, un Model de Flux de Puissance Statistique SPFM a été exécuté pour simuler le comportement du système et de ses variables pour les performances du système électrique. Les simulations ont été comparées aux résultats du comportement de fonctionnement réel du système de puissance électrique.Le flux de puissance DC est un modèle simplifié, ce qui représente le phénomène complexe de façon simple, néglige cependant certains aspects des événements de fonctionnement du système qui peut se produire dans les blackouts. La représentation des défaillances en cascade et de l'évolution du réseau électrique dans un modèle simple, permet l'analyse des relations temporaires dans l'exploitation des réseaux électriques, en plus de l'interaction entre la fiabilité à court terme et à long terme (avec un réseau d'amélioration). Cette méthodologie est axée sur la planification opérationnelle du lendemain (jour d'avance sur le marché), mais il peut être appliqué à d'autres échelles de temps.Les résultats montrent que le comportement complexe avec une loi de puissance et l'indice de Hurst est supérieur à 0,5. Les simulations basées sur notre modèle ont le même comportement que le comportement réel du système.En utilisant la théorie de la complexité, les conditions SOC doivent être mis en place pour le marché analysé du lendemain. Ensuite, une simulation inverse est exécutée, où le point final de la simulation est la situation actuelle du système, et permet au système d'évoluer et de répondre aux conditions requises par la caractéristique d’auto-organisation critique en un point de fonctionnement souhaité.Après avoir simulé le critère de fiabilité utilisé dans l’exploitation du système électrique pour les défaillances en cascade, ils sont validés par des défaillances historiques obtenues à partir du système électrique. Ces résultats, permettent l'identification des lignes avec la plus grande probabilité de défaillance, la séquence des événements associés, et quelles simulations d'actions d’exploitation ou d'expansion, peuvent réduire le risque de défaillance du réseau de transmission.Les possibles avantages attendus pour le réseau électrique sont l'évaluation appropriée du risque du réseau, l'augmentation de la fiabilité du système, et un progrès de la planification du risque du lendemain et connaissance de la situation / The electricity industry can be characterized by several risks: regulatory, adequacy, human error, etc. One of the most outstanding aspects, because of their impact, is related to not supply demand (DNS).To prevent cascading failures, particularly in reliability studies, determinist criteria were applied, such as N-1, which allows to avoid the initial event of failure in the planning and operation of the system. In general, analysis tools for these preventive actions are applied separately for the planning and for the system operation of an electric power. After a cascading failure, considerable efforts must be done to analyze faults to minimize the possibility of a similar event.In spite of all these efforts, blackouts or large cascading failures still happen, although events are considered to be rare due to the efforts of the industry. Indeed, it is a challenge from the point of view of analysis and simulation, due to the large number of possible interactions and their diversity and complexity, to obtain a good prediction of a situation.In our work, a new methodology is proposed to estimate the blackout risk using complex systems models. This approach is based on the use of variables that can be precursors of a DNS event. In other terms, it is based on the study of the dependence or correlation between the variables involved in the blackout risk, and the self organized critically (SOC) property of complex systems.VaR is calculate using the data from the Colombian system and the cost of rationing, for estimate the cost of blackout including economic variables into the technical variables. In addition, traditionally the risk grows with the root square of the time, but with data series than has complex behavior, the rate of growing is higher.Once the SOC conditions are determined, a Statistical Power Flow Model SPFM was executed to simulate the behavior of the system and its variables for the performance of the electrical system. Simulations results were compared to the real operation behavior of the electrical power system.The DC power flow is a simplified model, which represents the complex phenomenon in a simple way, however neglects some aspects of the events of operation of the system that can happen in blackouts. The representation of cascading failures and evolution of the network in a simple model allows the analysis of the temporary relations in the operation of electrical networks, besides the interaction between reliability of short-term and long-term (with improvements network).. This methodology is focused on the operational planning of the following day (day ahead market), but it can be applied to other time scales.The results show that the complex behavior with a power law and the Hurst index is greater than 0.5. The simulations based on our model have the same behavior as the real behavior of the system.For using the complexity theory, the SOC conditions must be established for the day ahead analyzed market. Then an inverse simulation is executed, where the endpoint of the simulation is the current situation of the system, and allows the system to evolve and meet the requisites of criticality auto-organized in a desired point of operation.After simulating the criterion of reliability used in the operation of the electrical system for cascading failures, they are validated by historical failures obtained from the electrical system. These results, allow the identification of lines with the biggest probability to fail, the sequence of associate events, and what simulations of actions of operation or expansion, can reduce the risk of failures of the transmission network.The possible advantage expected for the electrical network are the appropriate evaluation of the risk of the network, the increase the reliability of the system (probabilistic analysis), and a progress of the planning of the risk of the day ahead (holistic analysis) and situational awareness
122

La spiruline : essai anthropologique sur le processus de conversion éthique des agriculteurs varois en quête de sens / Spirulina : anthropological essay on the ethical conversion process of Var's farmers in quest of sense

Stefanini, Philippe 27 April 2012 (has links)
Aujourd'hui dans le Var, certains agriculteurs produisent dans des eaux saumâtres une bactérie alimentaire appelée : spiruline. En se formant à cette culture atypique, ces agriculteurs ne visent pas uniquement une production d'avenir, car leur identité est en jeu. Dès lors, leur vision du monde a commencé à changer. Le but de ce travail est d'étudier comment la culture de la spiruline et sa consommation peuvent déclencher notamment par ses représentations et ses pratiques un processus de « conversion éthique » sur ces agriculteurs en quête de sens. Afin de restituer au mieux, une étude anthropologique, nous avons choisi d'investir deux groupes cibles : des agriculteurs qui suivent une formation professionnelle afin de devenir des producteurs de spiruline et des producteurs formés à cette culture. Le protocole ethnographique employé s'attache à récolter les données par des entretiens libres inscrits dans une méthode compréhensive et une observation participante. Cette approche novatrice, mettant en œuvre l'étude de producteurs/consommateurs de spiruline s'avère pertinente. Elle a permis de mettre en évidence une véritable conversion de mes groupes cibles qui ont basculé progressivement d'une singularité biologique à une singularité sociale ancrée dans l'éthique. L'échec professionnel et la crise identitaire qu'ils vivaient, ont été le démarrage de leur démarche introspective et la préparation consciente ou inconsciente à leur rencontre avec la spiruline. / Today in the Var some farmers produce in brackish waters a food bacterium called spirulina. By training in this atypical cultivation, these farmers do not only aim at a future turned production: their identity is at stake. From then on, their vision of the world has begun to change. The purpose of this work is to study how spirulina cultivation and its consumption can activate, in particular by its representations and its practices, a process of "ethical conversion" on these farmers in search of meaning sense. To restore at best, an anthropological study, we chose to induct two target groups: Farmers attending a professional training course to become spirulina producers and producers trained in this cultuvation. The applied ethnographical protocol attempts to collect data during free discussions fitting a comprehensive method and a participating observation. This innovative approach, involving spirulina producers /consumers in a study turns out to be relevant. It allowed to bring to light a real conversion of my target groups which gradually swinged from a biological peculiarity to a social peculiarity fixed in the ethics. Their professional failure and the identity crisis they endured turned to be the starting point of their introspective processes, preparing consciously or not their minds for their encounter with spirulina. Then, by learning about the culture of this food and about its consumption, these farmers changed steadily their representations, their behavior and their practices, to finally restructure their life and identity.
123

Dynamické modely poptávky po penězích. Aplikace na ČR. / Dynamic models of the demand for money. Application to the Czech Republic.

Křemen, Jaroslav January 2008 (has links)
This work deals with the demand for money theories and applications of error correction Models and VAR models for the demand for money in the Czech Republic. In the theoretical part of the work are discussed theory of demand for money, with an emphasis on Patinkins theory of demand for money and the wording of VAR models and error correction models. In the application part are applied VAR (1), VAR (2) models and error correction models on the demand for money in the Czech Republic. Data used in the work come from the information system CNB and the CZSO.
124

Análise da questão ambiental no âmbito do comércio internacional brasileiro / Analysis of the environmental issue in the scope of the Brazilian international trade

Nathália Sbarai 10 July 2017 (has links)
Nas últimas décadas, identificou-se uma crescente preocupação com a sustentabilidade e com a qualidade ambiental, ao mesmo tempo em que se observou uma expansão do comércio internacional e uma procura por um maior grau de liberalização comercial. Nesse contexto, surgiram órgãos destinados a defender cada uma das questões, ambiental e comercial, e questionamentos e conflitos sobre os impactos que cada um deles estava causando ao outro. Diante desses questionamentos identificou-se, então, a importância da inter-relação entre as duas áreas, de forma que passou a buscar-se uma maior interação entre as discussões englobando comércio e meio ambiente. Contudo, muitas pesquisas ainda tendem a avaliar as questões ambientais e comerciais separadamente. Em virtude disso, este trabalho tem como objetivo analisar conjuntamente as duas questões, a fim de ampliar a discussão acerca de sua inter-relação; ao mesmo tempo, propõe-se um modelo para analisar a relação entre a liberalização comercial e a qualidade ambiental (representada aqui pelas emissões de CO2 equivalente) para o Brasil, estimado por meio de um Modelo de Autorregressão Vetorial estrutural com correção de erro (VAR-VEC). A análise abrangeu o período de 2003 a 2015, período que já incorpora a entrada da China no mercado internacional, ocorrida no ano de 2002, fato que usualmente tem bastante impacto sobre os fluxos comerciais e sua modelagem. As variáveis utilizadas no modelo foram o índice de abertura comercial, importações mundiais, como proxy de renda mundial, preços totais de commodities e emissões brasileiras de CO2 Equivalente. O modelo identificou que um aumento da abertura comercial brasileira contribui para a ampliação das emissões de CO2 do país, seguindo o esperado de acordo com a literatura. / In the last decades, a concern about sustainability and environmental quality has grown, simultaneously to the process of the international trade expansion, pursuing also for greater degree of trade liberalization. In this context, international bodies were created to defend each of these issues, environmental and commercial, raising questions and conflicts about the impacts that each one was causing to the other. Thus, the importance of the interrelation between the two themes became evident, in a way to highlight the necessity to promote a greater interaction between debates encompassing trade and environment. However, many surveys still tend to analyze environmental and trade issues separately. As a result, this work aims to examine the two issues together, in order to broaden the discussion about their interrelationship. At the same time, a model has been proposed to quantify the relationship between trade liberalization and environmental quality (here represented by CO2 equivalent emissions) for Brazil, estimated by a VAR- VEC model. The analysis covered the period from 2003 to 2015, comprising the tie of China\'s entry into the international market in 2002, which is important once this event usually has a significant impact on international trade flows and their modelling. The variables used in the model are the index of trade liberalization for Brazil, the world imports as a proxy for the world income, total commodity prices and the Brazilian emissions of equivalent CO2. The model identified that an increase in Brazilian trade liberalization contributes to an increase in the country\'s CO2 emissions, following expectations from the reviewed literature.
125

Avaliação da biomassa e qualidade da madeira do híbrido Pinus tecunumannii x Pinus caribaea var.hondurensis pela técnica de atenuação da radiação gama do 'INTPOT. 241 Am' /

Aroni, Antônio Sérgio. January 2005 (has links)
Orientador: Marcos Antonio de Rezende / Banca: Marcelo Agenor Pavan / Banca: Angelo Cataneo / Banca: Isabel Cristina Buttignon / Banca: João Alberto Borges de Araujo / Resumo: Os principais objetivos são: a) Estudar as variações das densidades da madeira no sentido radial e longitudinal, utilizando a técnica de Atenuação da Radiação Gama do Amerício-241 e a técnica de Imersão; b) Avaliar a densidade média ponderada por árvore e por tratamento e, para isso, utilizará as espécies Seminal de Pinus caribaea var.hondurensise espécie híbrida de Pinus caribaea var.hondurensis x Pinus tecunumannii; c) Avaliar os índices de produtividade pelos Incrementos Médios Anuais de Volume (IMAV), Incrementos Médios Anuais de Massa (IMAM) e Incrementos Médios Anuais de Energia (IMAE) de cada tratamento, correlacionando-os com seus respectivos valores de densidade; d) Determinar o poder calorífico superior de cada tratamento pelo método da Bomba calorimétrica; e) Comparar os métodos Atenuação da radiação Gama do Amerício-241 e o de Imersão. Para o estudo foram selecionadas 45 árvores da empresa DURATEX S/A., na região de Agudos-SP., entre as espécies Seminal Pinus caribaea var.hondurensis e ahíbrida Pinus caribaea var.hondurensis x Pinus tecunumannii. Foram selecionados cinco tratamentos do híbrido de Pinus caribaea var.hondurensis x Pinus tecunumannii que mais se destacaram dentre os 12 híbridos existentes no povoamento, sendo denominados como 'H IND. 1', 'H IND. 2', 'H IND. 3', 'H IND. 4', 'H IND. 5' e um tratatamento de material Seminal do Pinus caribaea var.hondurensis, sendo denominado como S, espécie tropical de gênero Pinus proveniente de um ensaio vizinho equiâneo submetido às mesmas condições edafo-climáticas e submetido aos mesmo tratos culturais na implantação. A técnica de atenuação permite observar esses detalhes, o que não poderia ser feito com as técnicas tradicionais. Algumas árvores tiveram um comportamento mais uniforme para a densidade, demonstrando uma menor sensibilidade aos fatores climáticos... (Resumo completo, clicar acesso eletrônico abaixo) / Abstract: The main objectives are: a) To study wood desity variations inthe radial and longidutinal directions, using the Americium-241 Gamma Radiation Attenuation technique and the immersion technique; b) To evaluate the average density mesaured per tree and per treatment and, for this, the Seminal species of Pinus caribaea var.hondurensis and the hybrid species of Pinus caribaea var.hondurensis x Pinus tecunumannii will be used; c) To evaluate the yield rates based on the Annual Average Volume Increments (AAVI), the Annual Average Mass Increments (AAMI) and the Annual Average Energy Increment (AAEI) of each treatment, correlating them to their respective density values; d) To determine the superior calorific power of each treatment by means of the calorimetric Bomb; e) To compare the Americium-241 Gamma Radiation Attenuation method and the Immersion method. For such study, 54 trees from the company DURATEX S/A were selected, in the region of Agudos-SP, among Seminal species of Pinus caribaea var.hondurensis and the hybird Pinus caribaea var.hondurensis x Pinus tecunumannii. Five treatments of the hybrid of Pinus caribaea var.hondurensis x Pinus tecunumannii were selected, which were the most important among the 12 ones which existed in the population, being named as 'H IND. 1', 'H IND. 2', 'H IND. 3', 'H IND. 4', 'H IND. 5' and a Seminal material treatment of Pinus caribaea var.hondurensis, beinh named as S, tropical species of the family Pinus coming from an equineous neighbor study which underwent the same edaphic-climatic conditions and which underwent the same cultural traits in their implantation. The attenuation technique allows the observation of such details, which could not be made with traditional techniques. Some trees had a more uniform behavior concerning density, demonstrating a lower sensitivity to climatic factors. The used methods for the basic wood density collection... (Complete abstract click electronic access below) / Doutor
126

Non-parametric inference of risk measures

Ahn, Jae Youn 01 May 2012 (has links)
Responding to the changes in the insurance environment of the past decade, insurance regulators globally have been revamping the valuation and capital regulations. This thesis is concerned with the design and analysis of statistical inference procedures that are used to implement these new and upcoming insurance regulations, and their analysis in a more general setting toward lending further insights into their performance in practical situations. The quantitative measure of risk that is used in these new and upcoming regulations is the risk measure known as the Tail Value-at-Risk (T-VaR). In implementing these regulations, insurance companies often have to estimate the T-VaR of product portfolios from the output of a simulation of its cash flows. The distributions for the underlying economic variables are either estimated or prescribed by regulations. In this situation the computational complexity of estimating the T-VaR arises due to the complexity in determining the portfolio cash flows for a given realization of economic variables. A technique that has proved promising in such settings is that of importance sampling. While the asymptotic behavior of the natural non-parametric estimator of T-VaR under importance sampling has been conjectured, the literature has lacked an honest result. The main goal of the first part of the thesis is to give a precise weak convergence result describing the asymptotic behavior of this estimator under importance sampling. Our method also establishes such a result for the natural non-parametric estimator for the Value-at-Risk, another popular risk measure, under weaker assumptions than those used in the literature. We also report on a simulation study conducted to examine the quality of these asymptotic approximations in small samples. The Haezendonck-Goovaerts class of risk measures corresponds to a premium principle that is a multiplicative analog of the zero utility principle, and is thus of significant academic interest. From a practical point of view our interest in this class of risk measures arose primarily from the fact that the T-VaR is, in a sense, a minimal member of the class. Hence, a study of the natural non-parametric estimator for these risk measures will lend further insights into the statistical inference for the T-VaR. Analysis of the asymptotic behavior of the generalized estimator has proved elusive, largely due to the fact that, unlike the T-VaR, it lacks a closed form expression. Our main goal in the second part of this thesis is to study the asymptotic behavior of this estimator. In order to conduct a simulation study, we needed an efficient algorithm to compute the Haezendonck-Goovaerts risk measure with precise error bounds. The lack of such an algorithm has clearly been noticed in the literature, and has impeded the quality of simulation results. In this part we also design and analyze an algorithm for computing these risk measures. In the process of doing we also derive some fundamental bounds on the solutions to the optimization problem underlying these risk measures. We also have implemented our algorithm on the R software environment, and included its source code in the Appendix.
127

Précipitation des inclusions de nitrure de titane (TiN) dans un acier maraging au cours de sa refusion à l'arc électrique sous vide (VAR) / Precipitation of Titanium Nitride (TiN) inclusions in a Maraging Steel during the Electric Vacuum Arc Remelting (VAR)

Descotes, Vincent 09 December 2014 (has links)
Le titane contenu dans un acier maraging se combine avec l'azote résiduel pour former des inclusions de nitrure de titane (TiN), néfastes du point de vue des propriétés en fatigue de l'alliage. La compréhension de leur origine doit permettre de trouver les moyens de réduire leur taille. Des expériences de Sieverts ont été réalisées pour étudier d'un point de vue thermodynamique et cinétique les réactions de dénitruration de l'alliage et de précipitation des TiN. Au regard de ces expériences et des données thermodynamiques disponibles dans la littérature et compte-tenu des teneurs en azote résiduel, la formation des TiN est supposée avoir lieu lors de la solidification sous l’effet de la ségrégation interdendritique. Un certain nombre d'inclusions de TiN sont associées à un germe de type oxyde ou sulfure. L'observation au MET d'une de ces inclusions mixte révèle l'existence d’une relation d'orientation entre le nitrure TiN, un sulfure CaS et un spinelle MgAl2O4, ce qui suggère une croissance par épitaxie du TiN sur ces deux germes. L’étude a été complétée par des calculs ab initio d’énergies de surface et d’énergies d’adsorption. Ces travaux appuient l'hypothèse d'une germination hétérogène des nitrures de titane sur des particules préexistantes et stables dans l'acier liquide. Un modèle numérique de précipitation couplée à la ségrégation interdendritique a été développé puis intégré au logiciel SOLAR simulant la solidification du lingot VAR. Ces calculs quantifient l'influence déterminante sur la taille des plus grands nitrures de la teneur initiale en azote, de la densité de germes, et du temps local de solidification / The titanium contained in maraging steels combines itself with residual Nitrogen to form Titanium nitride precipitates (TiN), which are detrimental to fatigue properties. Understanding their formation may give some ways to reduce their sizes. A Sieverts apparatus was used to study denitriding reactions and precipitation reactions from a thermodynamic and kinetic point of view. According to these experiments, to thermodynamical data from literature, and to the Nitrogen content in the steel, the TiN inclusions are supposed to form during the solidification of the steel thanks to interdendritic segregation. A certain number of the TiN inclusions are found under SEM observations to be located next to another oxide or sulfur particle. A TEM observation reveals the existence of an orientation relationship between a nitride, a sulfur CaS and a spinel MgAl2O4. It suggests an epitaxial growth of the TiN on these two germs. This study was completed with ab initio calculations of surface energies and adsorption energies. This work supports the hypothesis of a heterogeneous nucleation of the Titanium nitrides on preexisting, stable particles in the liquid steel. A numerical model of the precipitation coupled to the interdendritic segregation of solutes is developed and introduced in the SOLAR software modelling the VAR ingot solidification. It evaluates the determinant influence of the initial Nitrogen mass fraction, germ number density and local solidification time on the TiN sizes
128

Anomaly Detection on Embedded Sensor Processing Platform

Cao, Yichen January 2021 (has links)
Embedded platforms are often used as a sensor data processing node to collect data and transmit the data to the remote server. Due to the poor performance and power limitation, data processing was often left to the remote server. With the improvement of the computation ability, it is becoming possible to do some partial data processing on the embedded platforms, which would reduce the power and time consumption on the data transmission. Moreover, processing the data locally on the embedded platforms could reduce the dependence on the network. The platform could even do some tasks offline. This project aims to explore effective data analysis methods, especially for anomaly detection, which could be implemented on the embedded platform to be analyzed and detected locally. In this project, we select four methods: Seasonal and Trend Decomposition Using Loess (STL), Autoregressive Integrated Moving Average Model (ARIMA), Vector Autoregression (VAR), Long ShortTerm Memory (LSTM), to implement on the embedded platform ESP32. To test which methods could better fit the platform, we evaluate and compare the result from two aspects: the time overhead and the accuracy. The results show that the STL has the highest detection accuracy, but its time overhead is significantly higher than all other methods. ARIMA has the smallest time overhead and higher accuracy than LSTM and VAR. For LSTM, the method performs better with univariable input than multivariable input. Finally, we discuss the factors that may influence the result and future works. / Inbäddade plattformar används ofta som en sensor databehandlingsnod för att samla in och sedan överföra data till fjärrservern. Databehandling lämnades ofta till fjärrservern på grund av den dåliga prestandan och effektbegränsningen. Med förbättrad beräkningsförmåga blir det framkomligt att göra en del databehandling på de inbäddade plattformarna, vilket skulle minska ström och tidsförbrukningen för dataöverföringen. För övrigt kan lokal behandling av data på de inbäddade plattformarna minska beroendet av nätverket. Plattformen kan till och med utföra vissa uppgifter I nedkopplat läge. Detta projekt avser att utforska effektiva dataanalysmetoder särskilt för avvikelsedetektering, som kan verkställas på den inbäddade plattformen för att analyseras och upptäckas lokalt. I det här projektet väljer vi fyra metoder för att införa på den inbäddade plattformen ESP32: Seasonal and Trend Decomposition Using Loess (STL), Autoregressive Integrated Moving Average Model (ARIMA), Vector Autoregression (VAR), Long Short-Term Memory (LSTM). För att testa vilka metoder som bättre passar plattformen utvärderar och jämför vi resultatet med hänsyn till två aspekter: tidsomkostnaderna och noggrannheten. Resultaten visar att STL har den högsta detektionsnoggrannheten, men dess tidsomkostning är betydligt högre än alla andra metoder. ARIMA har den minsta tidsomkostningen och högre noggrannhet än LSTM och VAR. För LSTM fungerar metoden bättre med univariable input än multivariable input. Slutligen diskuterar vi faktorerna som möjligtvis påverkar resultatet och framtida arbeten.
129

[pt] GESTÃO DA DÍVIDA PÚBLICA DOMÉSTICA SOB DETERIORAÇÃO FISCAL: O CASO BRASILEIRO / [en] SOVEREIGN DOMESTIC DEBT MANAGEMENT UNDER FISCAL DETERIORATION: THE BRAZILIAN CASE

THALES GUIMARAES BASTOS 18 August 2022 (has links)
[pt] Essa dissertação estuda os efeitos da posição fiscal na composição da dívida pública no curto prazo. Nós utilizamos dados da emissão de dívida pública do Brasil e avaliamos o impacto de déficits fiscais e risco país na participação da dívida de curto prazo através de métodos em forma reduzida e VARs. Nossos resultados sugerem que uma deterioração fiscal está associada a uma maior participação da dívida de curto prazo. Ao mesmo tempo, um choque fiscal aumenta a dependência da dívida de curto prazo e dívida flutuante. Em seguida, visando segregar fatores de oferta e demanda na emissão de dívida pública, nós estimamos a elasticidade juros em leilões para dívida pública de curto e médio prazo . Usando um método de identificação por heterocedasticidade, nós encontramos que ambos os fatores estão presentes. Entretanto, a demanda do mercado é consideravelmente mais elástica do que a oferta do Tesouro. / [en] This dissertation studies the effects of the fiscal stance on the composition of public debt in the short run. We use data on Brazilian public debt issuance and assess the impact of fiscal deficits and sovereign risk on the share of shortterm debt through reduced-form and VAR methods. Our results suggest that a fiscal deterioration is associated with a higher share of short-term debt. At the same time, a sovereign risk shock increases the reliance on short-term and floating-rate debt. Then, in order to disentangle supply and demand factors in public debt issuance, we estimate the interest-rate elasticity in auctions for short- and medium-term public debt. Using a method of identification through heteroskedasticity, we find that both factors are present. However, market demand is considerably more interest-rate elastic than Treasury supply.
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[en] FX INTERVENTIONS IN BRAZIL: REVISITING IMPACTS WITH A TWOFOLD APPROACH / [pt] INTERVENÇÕES CAMBIAIS NO BRASIL: REVISITANDO IMPACTOS COM UMA ABORDAGEM DUPLA

CAIO DE PAIVA GARZERI 18 June 2024 (has links)
[pt] Usando uma recém publicada base de dados pelo Banco Central do Brazil (BCB), estimamos os efeitos de intervenções cambiais realizadas entre 1999 e 2023. Em primeiro lugar, utilizamos um VAR estrutural em frequência diárias, identificado por meio de um instrumento baseado nos horários de anúncio das interveções. Estima-se que as intervenções são capazes de afetar o nível do Real por um período de 20 dias úteis, em 0.24 p.p. a cada bilhão de dólares empregados. / [en] Benefiting from a novel dataset published by the Central Bank of Brazil (BCB) we estimate the effects of FX Interventions from 1999 to 2023. We first employ a structural VAR with daily frequency identified with an instrument based on the timing of BCB announcements. Interventions are found to be effective in changing the USDBRL level over a period of 20 working days by 0.24 p.p. for each 1USD billion employed. We then implement an Artificial Counterfactual (ArCo) approach to each intervention episode separating them by side and instrument. Compared to SVAR interventions are found to be more effective although with smaller statistical significance. Spot Interventions are more effective than Swaps. We find no effects of interventions over the shortterm volatility of the USDBRL.

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