In this dissertation, three essays are presented that apply recent advances in time-series methods to the analysis of inflation and stock market index data for Taiwan. Specifically, ARCH and GARCH methodologies are used to investigate claims of increased volatility in economic time-series data since 1980. In the first essay, analysis that accounts for structural change reveals that the fundamental relationship between inflation and its variability was severed by policies implemented during economic liberalization in Taiwan in the early 1980s. Furthermore, if residuals are corrected for serial correlation, evidence in favor of ARCH effects is weakened. In the second essay, dynamic linkages between daily stock returns and daily trading volume are explored. Both linear and nonlinear dependence are evaluated using Granger causality tests and GARCH modelling. Results suggest significant unidirectional Granger causality from stock returns to trading volume. In the third essay, comparative analysis of the frequency structure of the Taiwan stock index data is conducted using daily, weekly, and monthly data. Results demonstrate that the relationship between mean return and its conditional standard deviation is positive and significant only for high-frequency daily data.

In this dissertation, three essays are presented that apply recent advances in time-series methods to the analysis of inflation and stock market index data for Taiwan. Specifically, ARCH and GARCH methodologies are used to investigate claims of increased volatility in economic time-series data since 1980. In the first essay, analysis that accounts for structural change reveals that the fundamental relationship between inflation and its variability was severed by policies implemented during economic liberalization in Taiwan in the early 1980s. Furthermore, if residuals are corrected for serial correlation, evidence in favor of ARCH effects is weakened. In the second essay, dynamic linkages between daily stock returns and daily trading volume are explored. Both linear and nonlinear dependence are evaluated using Granger causality tests and GARCH modelling. Results suggest significant unidirectional Granger causality from stock returns to trading volume. In the third essay, comparative analysis of the frequency structure of the Taiwan stock index data is conducted using daily, weekly, and monthly data. Results demonstrate that the relationship between mean return and its conditional standard deviation is positive and significant only for high-frequency daily data.

In this diploma thesis we explain the main principles and properties of bootstrap methods, that can be used to conduct the statistical inference in linear and nonlinear financial time series. We will introduce basic ideas of bootstrap methods for the case when observations can be considered as independent random variables, and afterwards we will describe more advanced methods, that can be successfully used when we are dealing with time series. Thesis deals with both parametric bootstrap methods, that we can use when the underlying parametric model of observations is available, as well as with nonparametric bootstrap methods that are used when more general nonparametric model of time series data is considered. The main objective is to compare particular bootstrap methods and show the usage of these methods on real world data. There is also a basic time series theory included in the work. 1

Este trabalho tem por objetivo analisar o potencial de desenvolvimento do contrato futuro de soja no Brasil, por meio da atração de hedgers brasileiros e argentinos. Para tanto, faz-se necessário conhecer os padrões das conexões dos preços entre as regiões analisadas. Nesse sentido, o Capítulo 2 investigou a integração espacial do mercado físico de soja no Brasil (região de Sorriso, no Mato Grosso) e na Argentina (região de Rosário, na província de Santa Fé) e comparou ao grau de integração com os Estados Unidos. Foram empregados modelos autorregressivos com threshold (TAR e M-TAR) e modelos vetoriais de correção de erros, lineares e com threshold (VECM e TVECM), visando captar os efeitos dos custos de transação sobre a integração espacial entre essas regiões. Os resultados apontaram que o mercado de soja brasileiro, argentino e norte-americano são integrados, mesmo considerando-se os efeitos dos custos de transação sobre as decisões de arbitragem espacial. Consequentemente, os preços da soja no mercado internacional tendem a refletir o comportamento dos principais países produtores. Apesar disso, o tempo de transmissão de choques de preços mostrou-se, em geral, menor entre Brasil e Argentina, refletindo a proximidade geográfica. Apontou-se também o comportamento assimétrico da transmissão desses choques, uma vez que choques positivos sobre a relação de longo prazo tendem a ser mais persistentes que os negativos. Se o contrato futuro reflete o comportamento de preços de um único mercado físico integrado, deve-se então esperar que o risco de base seja menor para este mercado e, portanto, que a eficiência do hedge seja maior. No Capítulo 3, o objetivo se constituiu em verificar se há maior eficiência no hedge realizado com os contratos com vencimento em março na CME em relação à BM&FBOVESPA, considerando-se as relações de longo prazo entre os preços à vista e futuros, bem como a dinâmica na estrutura de covariâncias condicionais, por meio de modelos de correção de erros (VECM) e modelos de heterocedasticidade condicional generalizados com correlação condicional dinâmica (DCC-GARCH). Os resultados mostraram que, em geral, a introdução da dinâmica nos segundos momentos das distribuições dos erros tende a aumentar a eficiência da estratégia de hedge. Além disso, foi observado que os produtores de Sorriso tendem a obter melhores condições de hedge na CME, embora haja redução da variância ao se operar na BM&FBOVESPA. Por outro lado, a eficiência do hedge para os produtores de Rosário foi significativamente maior na BM&FBOVESPA do que na CME, o que indica o mercado potencial de hedgers argentinos para negociar o contrato futuro de soja local no Brasil. / This work aims to analyze the potential for development of soybean futures contract in Brazil, through the attraction of Brazil and Argentina hedgers. Therefore, it is necessary to know the patterns of price connections between these regions. Chapter 2 investigated the spatial integration of the spot market for soybeans in Brazil (Sorriso in Mato Grosso State) and Argentina (Rosario in Santa Fe Province) and compared the degree of integration with the United States. They were employed autoregressive models with threshold (TAR and M-TAR) and vector error correction models, linear and threshold (VECM and TVECM), to capture the effects of transaction costs on the spatial integration of these regions. The results indicate that the soybeans market in Brazil, Argentina and United States are integrated, even considering the effects of transaction costs on the spatial arbitration decisions. Consequently, soybean prices in the international market tend to reflect the behavior of the main producing countries. Nevertheless, the timing of the price shocks transmission proved to be generally lower between Argentina and Brazil, reflecting the geographical proximity. It was pointed out also the asymmetric behavior of the shocks transmissions, since positive shocks on the long-term relationships tend to be more persistent than the negatives. If the futures contract reflects the behavior of prices from a single integrated physical market, one should then expect lower basis risk and therefore greater hedge efficiency. In Chapter 3, the goal was check for greater hedging efficiency using March contracts in CME compared to BM&FBOVESPA, considering the long-term relationships between spot prices and futures, as well as the dynamics in the structure of conditional covariance, using error correction model (ECM) and models of conditional heteroscedasticity widespread with dynamic conditional correlation (DCC-GARCH). The results showed that, in general, the introduction of the dynamic second moments of distributions of errors tends to increase the hedging efficiency. Moreover, Sorriso producers tend to get better hedge conditions in CME, although there is variance reduction when operating at BM&FBOVESPA. On the other hand, the hedge efficiency for Rosario producers was significantly higher on the BM&FBOVESPA than in CME, which indicates the potential market of Argentine hedgers to trade the futures contract local soybeans in Brazil.

Este trabalho tem por objetivo analisar o potencial de desenvolvimento do contrato futuro de soja no Brasil, por meio da atração de hedgers brasileiros e argentinos. Para tanto, faz-se necessário conhecer os padrões das conexões dos preços entre as regiões analisadas. Nesse sentido, o Capítulo 2 investigou a integração espacial do mercado físico de soja no Brasil (região de Sorriso, no Mato Grosso) e na Argentina (região de Rosário, na província de Santa Fé) e comparou ao grau de integração com os Estados Unidos. Foram empregados modelos autorregressivos com threshold (TAR e M-TAR) e modelos vetoriais de correção de erros, lineares e com threshold (VECM e TVECM), visando captar os efeitos dos custos de transação sobre a integração espacial entre essas regiões. Os resultados apontaram que o mercado de soja brasileiro, argentino e norte-americano são integrados, mesmo considerando-se os efeitos dos custos de transação sobre as decisões de arbitragem espacial. Consequentemente, os preços da soja no mercado internacional tendem a refletir o comportamento dos principais países produtores. Apesar disso, o tempo de transmissão de choques de preços mostrou-se, em geral, menor entre Brasil e Argentina, refletindo a proximidade geográfica. Apontou-se também o comportamento assimétrico da transmissão desses choques, uma vez que choques positivos sobre a relação de longo prazo tendem a ser mais persistentes que os negativos. Se o contrato futuro reflete o comportamento de preços de um único mercado físico integrado, deve-se então esperar que o risco de base seja menor para este mercado e, portanto, que a eficiência do hedge seja maior. No Capítulo 3, o objetivo se constituiu em verificar se há maior eficiência no hedge realizado com os contratos com vencimento em março na CME em relação à BM&FBOVESPA, considerando-se as relações de longo prazo entre os preços à vista e futuros, bem como a dinâmica na estrutura de covariâncias condicionais, por meio de modelos de correção de erros (VECM) e modelos de heterocedasticidade condicional generalizados com correlação condicional dinâmica (DCC-GARCH). Os resultados mostraram que, em geral, a introdução da dinâmica nos segundos momentos das distribuições dos erros tende a aumentar a eficiência da estratégia de hedge. Além disso, foi observado que os produtores de Sorriso tendem a obter melhores condições de hedge na CME, embora haja redução da variância ao se operar na BM&FBOVESPA. Por outro lado, a eficiência do hedge para os produtores de Rosário foi significativamente maior na BM&FBOVESPA do que na CME, o que indica o mercado potencial de hedgers argentinos para negociar o contrato futuro de soja local no Brasil. / This work aims to analyze the potential for development of soybean futures contract in Brazil, through the attraction of Brazil and Argentina hedgers. Therefore, it is necessary to know the patterns of price connections between these regions. Chapter 2 investigated the spatial integration of the spot market for soybeans in Brazil (Sorriso in Mato Grosso State) and Argentina (Rosario in Santa Fe Province) and compared the degree of integration with the United States. They were employed autoregressive models with threshold (TAR and M-TAR) and vector error correction models, linear and threshold (VECM and TVECM), to capture the effects of transaction costs on the spatial integration of these regions. The results indicate that the soybeans market in Brazil, Argentina and United States are integrated, even considering the effects of transaction costs on the spatial arbitration decisions. Consequently, soybean prices in the international market tend to reflect the behavior of the main producing countries. Nevertheless, the timing of the price shocks transmission proved to be generally lower between Argentina and Brazil, reflecting the geographical proximity. It was pointed out also the asymmetric behavior of the shocks transmissions, since positive shocks on the long-term relationships tend to be more persistent than the negatives. If the futures contract reflects the behavior of prices from a single integrated physical market, one should then expect lower basis risk and therefore greater hedge efficiency. In Chapter 3, the goal was check for greater hedging efficiency using March contracts in CME compared to BM&FBOVESPA, considering the long-term relationships between spot prices and futures, as well as the dynamics in the structure of conditional covariance, using error correction model (ECM) and models of conditional heteroscedasticity widespread with dynamic conditional correlation (DCC-GARCH). The results showed that, in general, the introduction of the dynamic second moments of distributions of errors tends to increase the hedging efficiency. Moreover, Sorriso producers tend to get better hedge conditions in CME, although there is variance reduction when operating at BM&FBOVESPA. On the other hand, the hedge efficiency for Rosario producers was significantly higher on the BM&FBOVESPA than in CME, which indicates the potential market of Argentine hedgers to trade the futures contract local soybeans in Brazil.

This thesis deals with the nominal and real convergence for Czech Republic and the Euro zone. It also includes analysis of synchronization of economic development in Czech and European economies for identifying potential risks associated with introducing the euro in the CR. The thesis describes different types of convergence and the relevant indicators with their historical evolution and hypothesis about future trends. The empirical part of the paper analyzes some selected indicators using econometric VAR models and linear and non-linear models of conditional heteroskedasticity. A suitable model for the analyzed data is chosen which gives a comparison of development in the Czech Republic and the EU. Especially time series causality, the existence of cointegration and conditional variance processes are observed. In conclusion there's a summary of all theoretical and modelled outputs with the risk evaluation of joining the monetary union.

Submitted by Vitor Bovo (vitorbovo@hotmail.com) on 2011-08-26T00:07:04Z No. of bitstreams: 1 Dissertação Vitor Bovo - Final Protocolada.pdf: 2961673 bytes, checksum: 2da3f793ce6283d4140f390c02baee53 (MD5) / Approved for entry into archive by Gisele Isaura Hannickel (gisele.hannickel@fgv.br) on 2011-08-26T15:37:19Z (GMT) No. of bitstreams: 1 Dissertação Vitor Bovo - Final Protocolada.pdf: 2961673 bytes, checksum: 2da3f793ce6283d4140f390c02baee53 (MD5) / Approved for entry into archive by Gisele Isaura Hannickel (gisele.hannickel@fgv.br) on 2011-08-26T15:37:32Z (GMT) No. of bitstreams: 1 Dissertação Vitor Bovo - Final Protocolada.pdf: 2961673 bytes, checksum: 2da3f793ce6283d4140f390c02baee53 (MD5) / Made available in DSpace on 2011-08-26T15:39:05Z (GMT). No. of bitstreams: 1 Dissertação Vitor Bovo - Final Protocolada.pdf: 2961673 bytes, checksum: 2da3f793ce6283d4140f390c02baee53 (MD5) Previous issue date: 2011-08-05 / Este trabalho propõe um instrumento capaz de absorver choques no par BRL/USD, garantindo ao seu detentor a possibilidade de realizar a conversão entre essas moedas a uma taxa observada recentemente. O Volatility Triggered Range Forward assemelha-se a um instrumento forward comum, cujo preço de entrega não é conhecido inicialmente, mas definido no momento em que um nível de volatilidade pré-determinado for atingido na cotação das moedas ao longo da vida do instrumento. Seu cronograma de ajustes pode ser definido para um número qualquer de períodos. Seu apreçamento e controle de riscos é baseado em uma árvore trinomial ponderada entre dois possíveis regimes de volatilidade. Esses regimes são determinados após um estudo na série BRL/USD no período entre 2003 e 2009, baseado em um modelo Switching Autoregressive Conditional Heteroskedasticity (SWARCH). / This work proposes an instrument able to absorb shocks in the BRL/USD rate, ensuring its holder the capability of doing foreign currency exchange at some immediate prevailing rate. The Volatility Triggered Range Forward resembles a plain-vanilla forward whose delivery price is unknown initially and will be set once a pre-determined level of volatility threshold is reached in the exchange rate along the instrument’s life. Its payoff schedule can be set for any number of periods. Pricing and risk management is based on a trinomial lattice weighted between two possible regimes of volatility. These regimes are determined after a study of the BRL/USD series for the period between 2003 and 2009, based on a Switching Autoregressive Conditional Heteroskedasticity (SWARCH) model.

This thesis is mainly focused on pricing securities of selected capital protected funds. In its theoretical part, there are summarized approaches and principals that are generally used for derivatives pricing because capital protected funds' securities contain embedded options. Emphasis is put on risk-neutral pricing using Monte Carlo simulation at that point because complicated pay-off functions of these funds are hard to be evaluated analytically. There are also presented main approaches to constructions and portfolio management of these funds from their portfolio manager's viewpoint. Finally, there is made an overview of basic types of capital protected funds issued both in The Czech republic and Europe. Analytical part is focused on evaluation of selected capital protected funds. There is applied a standard approach that is based on a simulation of Geometric Brownian Motion with constant conditional variance and correlation in contrast with an advanced approach where the conditional variance and conditional correlation matrix are simulated as well. That is accomplished with GARCH-in-mean and DCC-GARCH models. Estimated prices are compared with real market prices and there is also performance of the standard models compared with performance of advanced ones.

<p>We investigate some simulation-based approaches for the valuing of the employee stock options. The mathematical models that deal with valuation of such options include the work of Jennergren and Naeslund [L.P Jennergren and B. Naeslund, A comment on valuation of executive stock options and the FASB proposal, Accounting Review 68 (1993) 179-183]. They used the Black and Scholes [F. Black and M. Scholes, The pricing of options and corporate liabilities, Journal of Political Economy 81(1973) 637-659] and extended partial differential equation for an option that includes the early exercise. Some other major relevant works to this mini thesis are Hemmer et al. [T Hemmer, S. Matsunaga and T Shevlin, The influence of risk diversification on the early exercise of employee stock options by executive officers, Journal of Accounting and Economics 21(1) (1996) 45-68] and Baril et al. [C. Baril, L. Betancourt, J. Briggs, Valuing employee stock options under SFAS 123 R using the Black-Scholes-Merton and lattice model approaches, Journal of Accounting Education 25 (1-2) (2007) 88-101]. The underlying assets are studied under the GARCH (generalized autoregressive conditional heteroskedasticity) effects. Particular emphasis is made on the American style employee stock options.</p>

<p>We investigate some simulation-based approaches for the valuing of the employee stock options. The mathematical models that deal with valuation of such options include the work of Jennergren and Naeslund [L.P Jennergren and B. Naeslund, A comment on valuation of executive stock options and the FASB proposal, Accounting Review 68 (1993) 179-183]. They used the Black and Scholes [F. Black and M. Scholes, The pricing of options and corporate liabilities, Journal of Political Economy 81(1973) 637-659] and extended partial differential equation for an option that includes the early exercise. Some other major relevant works to this mini thesis are Hemmer et al. [T Hemmer, S. Matsunaga and T Shevlin, The influence of risk diversification on the early exercise of employee stock options by executive officers, Journal of Accounting and Economics 21(1) (1996) 45-68] and Baril et al. [C. Baril, L. Betancourt, J. Briggs, Valuing employee stock options under SFAS 123 R using the Black-Scholes-Merton and lattice model approaches, Journal of Accounting Education 25 (1-2) (2007) 88-101]. The underlying assets are studied under the GARCH (generalized autoregressive conditional heteroskedasticity) effects. Particular emphasis is made on the American style employee stock options.</p>