自從90年代以來，許多機構因為金融商品的操縱不當或是金融風暴的衝擊數度造成全球金融市場的動盪，使得風險管理的重要性與日俱增，而量化風險模型的準確性也益受重視，基於財務資料的相關性質如異質變異、厚尾現象等，本文主要結合AR(1)-GARCH(1,1)模型、極值理論、copula函數三種模型應用在風險值的估算，且將報酬分配的假設區分為三類，一是無母數模型的歷史模擬法，二是基於常態分配假設下考量隨機波動度的有母數模型，三是利用歷史資料配適尾端分配的極值理論法來對聯電、鴻海、國泰金、中鋼四檔個股和台幣兌美元、日圓兌美元、英鎊兌美元三種外匯資料作一日風險值、十日風險值、組合風險值的測試。 實證結果發現，在一日風險值方面，95%信賴水準下以動態風險值方法表現相對較好，99%信賴水準下動態極值理論法和動態歷史模擬法皆有不錯的估計效果；就十日風險值而言，因為未來十日資產的報酬可能受到特定事件影響，所以估計上較為困難，整體看來在99%信賴水準下以條件GPD＋蒙地卡羅模擬的表現相對較理想；以組合風險值來說， copula、Clayton copula+GPD marginals模擬股票或外匯組合的聯合分配不論在95%或99%信賴水準下對其風險值的估計都獲得最好的結果；雖然台灣個股股價受到上下漲跌幅7%的限制，台幣兌美元的匯率也受到央行的干涉，但以極值理論來描述資產尾端的分配情形相較於假設其他兩種分配仍有較好的估計效果。

abstract: Learners' attitudes and beliefs during the initial stages of learning have a profound impact on their future decisions, practice habits, and persistence. In music education, however, surprisingly little research has explored how physical equipment design might influence novices' attitudes and beliefs. The current study addresses this gap by examining how novices' motivation and perception differ based on the physical design of the musical instrument they interact with while learning. Fifty-two adult participants completed an online survey measuring their expectancies (e.g., confidence), value beliefs (e.g., enjoyment, interest, and social merit), and anticipated persistence while attempting to learn the electric guitar. Afterward, participants attempted to learn and perform several beginner-level tasks while using a conventionally designed or ergonomically designed guitar. The conventionally designed guitar was a commercially available model marketed toward beginner and intermediate-level guitarists. In contrast, the ergonomic guitar was a custom model based on expert design recommendations to improve ease of use, comfort, and user experience. Participant learning expectations and values were assessed before and after a one-hour practice session. Results revealed that novices who used the ergonomic guitar reported significant gains in anticipated learning enjoyment. Alternatively, novices who used the conventional guitar exhibited no such change. Beyond this relationship however, the ergonomic guitar was not found to meaningfully affect participants' confidence, interest, physical discomfort, and task difficulty perceptions. Additionally, the ergonomic guitar did not have a statistically significant influence on learning persistence ratings. One important implication extracted from this study is that a single practice session may not provide enough time or experience to affect a novices' attitudes and beliefs toward learning. Future studies may seek to remedy this study limitation by using a longitudinal design or longer practice task trials. Despite this limitation however, this exploratory study highlights the need for researchers, music educators, and instrument manufacturers to carefully consider how the physical design of a musical instrument may impact learning attitudes, choices, and persistence over time. Additionally, this study offers the first attempt at extending the equipment design literature to music education and Expectancy-Value Theory. / Dissertation/Thesis / Masters Thesis Applied Psychology 2016

abstract: As the world embraces a sustainable energy future, alternative energy resources, such as wind power, are increasingly being seen as an integral part of the future electric energy grid. Ultimately, integrating such a dynamic and variable mix of generation requires a better understanding of renewable generation output, in addition to power grid systems that improve power system operational performance in the presence of anticipated events such as wind power ramps. Because of the stochastic, uncontrollable nature of renewable resources, a thorough and accurate characterization of wind activity is necessary to maintain grid stability and reliability. Wind power ramps from an existing wind farm are studied to characterize persistence forecasting errors using extreme value analysis techniques. In addition, a novel metric that quantifies the amount of non-stationarity in time series wind power data was proposed and used in a real-time algorithm to provide a rigorous method that adaptively determines training data for forecasts. Lastly, large swings in generation or load can cause system frequency and tie-line flows to deviate from nominal, so an anticipatory MPC-based secondary control scheme was designed and integrated into an automatic generation control loop to improve the ability of an interconnection to respond to anticipated large events and fluctuations in the power system. / Dissertation/Thesis / Doctoral Dissertation Electrical Engineering 2016

Orientador: Laura Leticia Ramos Rifo / Dissertação (mestrado) - Universidade Estadual de Campinas, Instituto de Matematica, Estatistica e Computação Cientifica / Made available in DSpace on 2018-08-15T01:44:09Z (GMT). No. of bitstreams: 1 Bernardini_DiegoFernandode_M.pdf: 1483229 bytes, checksum: ea77acd21778728138eea2f27e59235b (MD5) Previous issue date: 2010 / Resumo: Iniciamos o presente trabalho apresentando uma breve introdução a teoria de valores extremos, estudando especialmente o comportamento da variável aleatória que representa o máximo de uma sequência de variáveis aleatórias independentes e identicamente distribuídas. Vemos que o Teorema dos Tipos Extremos (ou Teorema de Fisher-Tippett) constitui uma ferramenta fundamental no que diz respeito ao estudo do comportamento assintóticos destes máximos, permitindo a modelagem de dados que representem uma sequência de observações de máximos de um determinado fenômeno ou processo aleatório, através de uma classe de distribuições conhecida como família de distribuições de Valor Extremo Generalizada (Generalized Extreme Value - GEV). A distribuição Gumbel, associada ao máximo de distribuições como a Normal ou Gama entre outras, é um caso particular desta família. Torna-se interessante, assim, realizar inferência para os parâmetros desta família. Especificamente, a comparação entre os modelos Gumbel e GEV constitui o foco principal deste trabalho. No Capítulo 1 estudamos, no contexto da inferência clássica, o método de estimação por máxima verossimilhança para estes parâmetros e um procedimento de teste de razão de verossimilhanças adequado para testar a hipótese nula que representa o modelo Gumbel contra a hipótese que representa o modelo completo GEV. Prosseguimos, no Capítulo 2, com uma breve revisão em teoria de inferência Bayesiana obtendo inferências para o parâmetro de interesse em termos de sua distribuição a posteriori. Estudamos também a distribuição preditiva para valores futuros. No que diz respeito à comparação de modelos, estudamos inicialmente, neste contexto bayesiano, o fator de Bayes e o fator de Bayes a posteriori. Em seguida estudamos o Full Bayesian Significance Test (FBST), um teste de significância particularmente adequado para testar hipóteses precisas, como a hipótese que caracteriza o modelo Gumbel. Além disso, estudamos outros dois critérios para comparação de modelos, o BIC (Bayesian Information Criterion) e o DIC (Deviance Information Criterion). Estudamos as medidas de evidência especificamente no contexto da comparação entre os modelos Gumbel e GEV, bem como a distribuição preditiva, além dos intervalos de credibilidade e inferência a posteriori para os níveis de retorno associados a tempos de retorno fixos. O Capítulo 1 e parte do Capítulo 2 fornecem os fundamentos teóricos básicos deste trabalho, e estão fortemente baseados em Coles (2001) e O'Hagan (1994). No Capítulo 3 apresentamos o conhecido algoritmo de Metropolis-Hastings para simulação de distribuições de probabilidade e o algoritmo particular utilizado neste trabalho para a obtenção de amostras simuladas da distribuição a posteriori dos parâmetros de interesse. No capítulo seguinte formulamos a modelagem dos dados observados de máximos, apresentando a função de verossimilhança e estabelecendo a distribuição a priori para os parâmetros. Duas aplicações são apresentadas no Capítulo 5. A primeira delas trata das observações dos máximos trimestrais das taxas de desemprego nos Estados Unidos da América, entre o primeiro trimestre de 1994 e o primeiro trimestre de 2009. Na segunda aplicação estudamos os máximos semestrais dos níveis de maré em Newlyn, no sudoeste da Inglaterra, entre 1990 e 2007. Finalmente, uma breve discussão é apresentada no Capítulo 6. / Abstract: We begin this work presenting a brief introduction to the extreme value theory, specifically studying the behavior of the random variable which represents the maximum of a sequence of independent and identically distributed random variables. We see that the Extremal Types Theorem (or Fisher-Tippett Theorem) is a fundamental tool in the study of the asymptotic behavior of those maxima, allowing the modeling of data which represent a sequence of maxima observations of a given phenomenon or random process, through a class of distributions known as Generalized Extreme Value (GEV) family. We are interested in making inference about the parameters of this family. Specifically, the comparison between the Gumbel and GEV models constitute the main focus of this work. In Chapter 1 we study, in the context of classical inference, the method of maximum likelihood estimation for these parameters and likelihood ratio test procedure suitable for testing the null hypothesis associated to the Gumbel model against the hypothesis that represents the complete GEV model. We proceed, in Chapter 2, with a brief review on Bayesian inference theory. We also studied the predictive distribution for future values. With respect to the comparison of models, we initially study the Bayes factor and the posterior Bayes factor, in the Bayesian context. Next we study the Full Bayesian Significance Test (FBST), a significance test particularly suitable to test precise hypotheses, such as the hypothesis characterizing the Gumbel model. Furthermore, we study two other criteria for comparing models, the BIC (Bayesian Information Criterion) and the DIC (Deviance Information Criterion). We study the evidence measures specifically in the context of the comparison between the Gumbel and GEV models, as well as the predictive distribution, beyond the credible intervals and posterior inference to the return levels associated with fixed return periods. Chapter 1 and part of Chapter 2 provide the basic theoretical foundations of this work, and are strongly based on Coles (2001) and O'Hagan (1994). In Chapter 3 we present the well-known Metropolis-Hastings algorithm for simulation of probability distributions, and the particular algorithm used in this work to obtain simulated samples from the posterior distribution for the parameters of interest. In the next chapter we formulate the modeling of the observed data of maximum, presenting the likelihood function and setting the prior distribution for the parameters. Two applications are presented in Chapter 5. The first one deals with observations of the quarterly maximum for unemployment rates in the United States of America, between the first quarter of 1994 and first quarter of 2009. In the second application we studied the semiannual maximum of sea levels at Newlyn, in southwest of England, between 1990 and 2007. Finally, a brief discussion is presented in Chapter 6. / Mestrado / Estatistica / Mestre em Estatística

Submitted by Estagiário SPT BMHS (spt@fgv.br) on 2013-07-30T12:35:47Z No. of bitstreams: 1 Dissertation Felipe Buchbinder.pdf: 1585162 bytes, checksum: b566d391b5cfffdea11553af4c3fcd3e (MD5) / Approved for entry into archive by Estagiário SPT BMHS (spt@fgv.br) on 2013-07-30T12:36:04Z (GMT) No. of bitstreams: 1 Dissertation Felipe Buchbinder.pdf: 1585162 bytes, checksum: b566d391b5cfffdea11553af4c3fcd3e (MD5) / Approved for entry into archive by Estagiário SPT BMHS (spt@fgv.br) on 2013-07-30T12:36:22Z (GMT) No. of bitstreams: 1 Dissertation Felipe Buchbinder.pdf: 1585162 bytes, checksum: b566d391b5cfffdea11553af4c3fcd3e (MD5) / Made available in DSpace on 2013-07-30T12:36:46Z (GMT). No. of bitstreams: 1 Dissertation Felipe Buchbinder.pdf: 1585162 bytes, checksum: b566d391b5cfffdea11553af4c3fcd3e (MD5) Previous issue date: 2011-06-08 / Competitive Strategy literature predicts three different mechanisms of performance generation, thus distinguishing between firms that have competitive advantage, firms that have competitive disadvantage or firms that have neither. Nonetheless, previous works in the field have fitted a single normal distribution to model firm performance. Here, we develop a new approach that distinguishes among performance generating mechanisms and allows the identification of firms with competitive advantage or disadvantage. Theorizing on the positive feedback loops by which firms with competitive advantage have facilitated access to acquire new resources, we proposed a distribution we believe data on firm performance should follow. We illustrate our model by assessing its fit to data on firm performance, addressing its theoretical implications and comparing it to previous works.

This thesis presents a positive answer to the question: "Is theory of value an unjustly overlooked subject of economics?" The positive answer is arrived at by analysis of logical and historical genesis of the concept of value itself and consequences of its nature to both concept of value and its applicability, as well as for economics proper and some of its subject matters (choice theory, theory of money and welfare theory).

The main target of this thesis is to summarize and explain the specifics of power markets and test application of models, which might be used especially in risk management area. Thesis starts with definition of market subjects, typology of traded contracts and description of market development with focus on Czech Republic. Thesis continues with development of theoretical concepts of short term/spot electricity markets and potential link between spot and forward electricity markets. After deriving of those microeconomic fundamental models we continue with stochastic models (Jump Diffusion Mean Reverting process and Extreme Value Theory) in order to depict patterns of spot and forward power contracts price volatility. Last chapter deals with credit risk specifics of power trading and develops model (using concept known as Credit Value Adjustment) to compare economic efficiency of OTC and exchange power trading. Developed and described models are tested on selected power markets, again with focus on Czech power market data set.

This dissertation is a collection of three economics essays on different aspects of carbon emission trading markets. The first essay analyzes the dynamic optimal emission control strategies of two nations. With a potential to become the largest buyer under the Kyoto Protocol, the US is assumed to be a monopsony, whereas with a large number of tradable permits on hand Russia is assumed to be a monopoly. Optimal costs of emission control programs are estimated for both the countries under four different market scenarios: non-cooperative no trade, US monopsony, Russia monopoly, and cooperative trading. The US monopsony scenario is found to be the most Pareto cost efficient. The Pareto efficient outcome, however, would require the US to make side payments to Russia, which will even out the differences in the cost savings from cooperative behavior. The second essay analyzes the price dynamics of the Chicago Climate Exchange (CCX), a voluntary emissions trading market. By examining the volatility in market returns using AR-GARCH and Markov switching models, the study associates the market price fluctuations with two different political regimes of the US government. Further, the study also identifies a high volatility in the returns few months before the market collapse. Three possible regulatory and market-based forces are identified as probable causes of market volatility and its ultimate collapse. Organizers of other voluntary markets in the US and worldwide may closely watch for these regime switching forces in order to overcome emission market crashes. The third essay compares excess skewness and kurtosis in carbon prices between CCX and EU ETS (European Union Emission Trading Scheme) Phase I and II markets, by examining the tail behavior when market expectations exceed the threshold level. Dynamic extreme value theory is used to find out the mean price exceedence of the threshold levels and estimate the risk loss. The calculated risk measures suggest that CCX and EU ETS Phase I are extremely immature markets for a risk investor, whereas EU ETS Phase II is a more stable market that could develop as a mature carbon market in future years.

[EN] After-sales services have become very important in the automobile industry. However, this area has not been sufficiently researched, particularly with regard to China, the most important car market globally. In this respect, German manufacturers play a leading role because they dominate the premium market segment. When it comes to services, the one thing that is especially important in China is culture. At the same time, this is exactly where a scientific gap exists because the cultural aspect in automotive services has been mostly neglected in the research literature. Thus, specific knowledge with regard to Chinese service demand behaviour is lacking, which could become a crucial issue because of the enormous differences between Chinese and Western cultures. This paper addresses this limitation by providing a guideline for how the entire process chain of after-sales services could be researched in China. In addition, it also introduces Schwartz's individual level value theory as a beneficial operationalisation approach to culture. Thereby, values are modelled as exogenous variables in order to show which ones are really causal. This significant advantage cannot be provided by national comparison studies, which are the ones that are most often conducted. A total of 301 Chinese workshop customers of Audi, BMW and Mercedes-Benz were surveyed in order to assess the critical success factors of after-sales services via partial least squares structural equation modelling. / [ES] Los servicios post venta en el sector del automóvil se han convertido en un elemento esencial en su mercadotecnia global. Sin embargo, no se han investigado suficientemente y, especialmente en países emergentes con mercados crecientes como China, el mercado más relevante a nivel mundial. Aquí, los fabricantes alemanes juegan un rol fundamental al dominar el segmento premium (o de cuasi lujo) del mercado. Cuando analizamos los servicios, un factor importante en China es la cultura. Sin embargo existe, en este campo un hueco en la investigación académica ya que en la literatura de investigación del sector automóvil, la cultura es un elemento poco analizado. Por ello, no se pueden aplicar conocimientos de mercadotecnia específicos en relación con el comportamiento de la demanda de servicios en China, en un tema esencial, como es la cultura China, muy diferente a la occidental. Esta tesis trata de enfocar las limitaciones mencionadas; en primer lugar, proporcionando una guía de cómo la cadena de proceso de servicios postventa puede ser investigada en países emergentes como China. Y en segundo lugar, porque se utiliza la teoría de cultura de Schwartz como un enfoque útil de instrumentación de los valores culturales. Así, estos se modelan como variables externas, para mostrar claramente cuáles son los valores realmente relevantes en su conjunto. Para ello se encuestaron a 301 clientes de talleres post venta chinos de las marcas Audi, BMW y Mercedes-Benz, con el fin de evaluar los factores críticos de éxito mediante modelos de ecuaciones estructurales de mínimos cuadrados parciales (PLS). / [CAT] Els serveis post venda en el sector de l'automòbil s'han convertit en un element essencial del màrqueting global. No obstant això, no s'han investigat prou i, especialment en països emergents amb mercats creixents com la Xina, el mercat més rellevant a nivell mundial. Aquí, els fabricants alemanys juguen un paper fonamental en dominar el segment premium (o de quasi luxe) del mercat. Quan analitzem els serveis, un factor important a la Xina és la cultura. No obstant això existeix, en aquest camp un buit en la investigació acadèmica ja que en la literatura de recerca del sector automòbil, la cultura és un element poc analitzat. Per això, no es poden aplicar coneixements de màrqueting específics en relació amb el comportament de la demanda de serveis a la Xina, en un tema essencial, com és la cultura Xina, molt diferent a l'occidental. Aquesta tesis tracta d'enfocar les limitacions esmentades; en primer lloc, proporcionant una guia de com la cadena de procés de serveis postvenda pot ser investigada en països emergents com la Xina. I en segon lloc, perquè s'utilitza la teoria de cultura de Schwartz com un enfocament útil d'instrumentació dels valors culturals. Així, aquests es modelen com a variables externes, per mostrar clarament quins són els valors realment rellevants en el seu conjunt. Per a això es van enquestar a 301 clients de tallers post venda xinesos de les marques Audi, BMW i Mercedes-Benz, per tal d'avaluar els factors crítics d'èxit mitjançant models d'equacions estructurals de mínims quadrats / Frass, A. (2015). Impact of After-Sales Performances of German Automobile Manufacturers in China in Service Satisfaction and Loyalty. With a Particular Focus on the Influences of Cultural Determinants [Tesis doctoral no publicada]. Universitat Politècnica de València. https://doi.org/10.4995/Thesis/10251/59251 / TESIS

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