In this paper we aim to improve existing empirical exchange rate models by accounting for uncertainty with respect to the underlying structural representation. Within a flexible Bayesian non-linear time series framework, our modeling approach assumes that different regimes are characterized by commonly used structural exchange rate models, with their evolution being driven by a Markov process. We assume a time-varying transition probability matrix with transition probabilities depending on a measure of the monetary policy stance of the central bank at the home and foreign country. We apply this model to a set of eight exchange rates against the US dollar. In a forecasting exercise, we show that model evidence varies over time and a model approach that takes this empirical evidence seriously yields improvements in accuracy of density forecasts for most currency pairs considered. / Series: Department of Economics Working Paper Series

Thesis advisor: Ronnie Sadka / In the first essay of this dissertation, I study the impact that hedge fund manager connections have on investment ideas. I find that hedge fund managers who previously worked at the same prior hedge fund invest more similarly, hold more overlapping portfolios, and trade and overweight the same stocks relative to managers who do not share an employment connection. Overall, these results support theoretical prediction that networked managers share ideas that leads to price discovery for commonly held stocks. The second essay analyzes the role of ETFs in mutual fund families and is joint work with Caitlin Dannhauser. We study mutual fund and ETF twins - index funds from the same family that follow the same benchmark. We find that mutual fund twins have lower overall tax burdens while ETF twins have higher long-term yields and unrealized capital gains, but are compensated with lower expense ratios. Fund families benefit because twin offerings generate higher flows than their non-twin peers. These results support previous research that mutual fund families use diversification and subsidization to benefit the overall family. In the third essay, I study the use of latent factors in explaining hedge fund returns. Using an alternative latent factor estimator, asymptotic principal components (APC), I find explains more of the common variation of hedge fund returns on average and does so with greater efficiency than that found in the literature. I also identify an increase in the common variation across hedge fund excess return in the time-series via the extracted latent factors. My results suggest an impetus for future researchers to employ APC factors when characterizing hedge fund performance. / Thesis (PhD) — Boston College, 2017. / Submitted to: Boston College. Carroll School of Management. / Discipline: Finance.

This paper explores the fit of a stochastic volatility model, in which the Box-Cox transformation of the squared volatility follows an autoregressive Gaussian distribution, to the continuously compounded daily returns of the Australian stock index. Estimation was difficult, and over-fitting likely, because more variables are present than data. We developed a revised model that held a couple of these variables fixed and then, further, a model which reduced the number of variables significantly by grouping trading days. A Metropolis-Hastings algorithm was used to simulate the joint density and derive estimated volatilities. Though autocorrelations were higher with a smaller Box-Cox transformation parameter, the fit of the distribution was much better.

A crescente adoção do paradigma experimental na pesquisa em Engenharia de Software visa a obtenção de evidências experimentais sobre as tecnologias propostas para garantir sua correta avaliação e para a construção de um corpo de conhecimento sólido da disciplina. Uma das abordagens de pesquisa experimental é a revisão sistemática, um método rigoroso, planejado e auditável para a realização da coleta e análise crítica de dados experimentais disponíveis sobre um determinado tema de pesquisa. Apesar de produzir resultados confiáveis, a condução de uma revisão sistemática pode ser trabalhosa e muitas vezes demorada, principalmente quando existe um grande volume de estudos a serem considerados, selecionados e avaliados. Uma solução encontrada na literatura é a utilização de ferramentas de Mineração Visual de Textos (VTM) como a Projection Explorer (PEx) para apoiar a fase de seleção e análise de estudos primários no processo de revisão sistemática. Neste trabalho foi realizada uma reengenharia de software na ferramenta PEx com dois objetivos principais: apoiar, utilizando VTM, a fase de seleção e análise de estudos primários no processo de revisão sistemática e implementar novos requisitos não-funcionais relativos à melhoria da manutenibilidade e escalabilidade da ferramenta. Como resultado foi construída uma plataforma modular para a instanciação de ferramentas de visualização e, a partir da mesma, uma ferramenta de revisão sistemática apoiada por VTM. Os resultados de um estudo de caso executado com a ferramenta mostraram que a abordagem de aplicação de técnicas VTM usada nesse contexto é viável e promissora, melhorando tanto a performance quanto a efetividade da seleção / The increasing adoption of the experimental paradigm in Software Engineering research aims at obtaining experimental evidence of the proposed technologies to ensure their proper evaluation and to build a solid body of knowledge for the discipline. One approach of experimental research is the systematic review, a rigorous, auditable and planned method to carry out the collection and analysis of experimental data available on a particular research topic. Despite producing reliable results, conducting a systematic review can be a cumbersome and often lengthy process, especially when a large volume of studies is to be considered, selected and evaluated. One solution found in the literature is the use of Visual Text Mining (VTM) tools such as the Projection Explorer (PEx) to support the selection and analysis of primary studies in the systematic review process. In this work a software re-engineering was performed on PEx with two main goals: to support, using VTM, the stage of selection and analysis of primary studies in the systematic review process and to implement new non-functional requirements related to improving the maintainability and scalability of the tool. The results were the building of a modular platform for instantiating visualization tools and, from it, the instantiation of a systematic review tool supported by VTM. The results of a case study carried out with the tool showed that the VTM approach used in this context is feasible and promising, improving both performance and the effectiveness of selection

Neste trabalho analisam-se os modelos conceituais e operacionais de brand equity baseado no cliente apresentados na literatura acadêmica. Sendo essa a alternativa para explorar o tema: documentar os modelos de brand equity, bem como as diferenças conceituais e empíricas entre os modelos de brand equity, pela ótica do cliente. Neste contexto, surge o seguinte problema de pesquisa: Os modelos existentes na literatura (teórico-práticos) de brand equity, baseado no cliente, podem compor um modelo de mensuração aplicável à realidade brasileira? Para isso faz-se uma pesquisa descritiva com o intuito de apresentar e enumerar os modelos de brand equity baseados no cliente, constantes entre os autores em ciências sociais aplicadas. Os resultados dessa parte do trabalho são tabelas resumo da literatura, apresentadas em capítulo específico, bem como as interpretações provenientes dessas análises. Elabora-se, então, uma pesquisa empírica para verificar a relação existente entre as dimensões que compõem o brand equity baseado no cliente e o mix de marketing organizacional. É desenvolvido análise da literatura, análise de confiabilidade, regressões, e modelagem de equações estruturais. Nessa pesquisa empírica encontra-se as análises de confiabilidade (Alpha de Cronbach´s), onde verificou-se que as dimensões propostas inicialmente por Aaker (1998) e Keller (1993) têm alta confiabilidade de escala. O patrimônio total da marca e a percepção dos preços, propostos por Yoo, Donthu e Lee (2000) também têm alto poder de confiabilidade na escala em português. Na análise das regressões completa, tradicional, e confiável do brand equity, baseado no cliente, houve uma semelhança de resultados. Apesar de algumas diferenças nos números e valores de R2 e de erro, esses foram muito próximos deixando as três equações propostas com mesma significância e valor de predição. Esse valor de predição para as três equações de regressão são moderados/baixos, demonstrando uma predição da variável dependente em grau leve pelas variáveis independentes, propostas nos modelos de regressão. Seguidos das análises de ajustes, verossimilhança, e significância da modelagem de equações estruturais m.e.e. Os objetivos do trabalho, propostos inicialmente, foram alcançados de forma clara e apresentados melhor no decorrer deste trabalho. Essa pesquisa empírica foi replicada para o Brasil, utilizando-se como base o trabalho de Yoo, Donthu e Lee (2000), sendo uma investigação agora desenvolvida nacionalmente. Tendo como alvo da pesquisa o setor de sapatos esportivos de uma grande marca mundial Adidas. / In this paper examine the conceptual and operational models of based-client brand equity presented in the academic literature. This being the alternative to explore the theme: documenting models of brand equity, as well as differences between the conceptual and empirical models of brand equity, through the eyes of the customer. In this context, there arises the following research problem: The existing models in the literature (theoretical and practical) of based-client brand equity can make a measurement model applicable to the Brazilian reality? For this it is a descriptive research in order to present and list the models of basedclient brand equity, listed among the authors applied social sciences. The results of this study are part of the summary tables of literature, presented in separate chapter, as well as interpretations from these tests. It elaborates, then, empirical research to verify the relationship between the dimensions that comprise the client-based brand equity and organizational marketing mix. It is developed literature analysis, reliability analysis, regression, and structural equation modeling. In this empirical research is the analysis of reliability (Cronbach\'s Alpha), where it was found that the dimensions initially proposed by Aaker (1998) and Keller (1993) have high reliability scale. The total equity of the brand and the perception of prices, proposed by Yoo, Donthu and Lee (2000) also have high reliability in the power of scale in Portuguese. In the analysis of complete regressions, traditional and trusted brand equity, based on the client, there was a similarity of results. Despite some differences in the numbers and values of R2 and error, these were very close to leaving the three equations with the same significance and value prediction. This predictive value for the three regression equations are moderate / low, showing a prediction of the dependent variable in mild by the independent variables proposed in the regression models. Followed by analysis of settings, likelihood and significance of structural equation modeling s.e.m. The objectives of the work originally proposed, were reached in a clear and better presented in this all paper. This empirical research has been replicated in Brazil, using as basis the work of Yoo, Donthu and Lee (2000), an investigation now being developed nationally. Targeting the research sector of athletic shoes of a great global brand - Adidas.

Esse trabalho tem como objetivo verificar se o sistema bancário brasileiro protege indivíduos contra os choques transitivos de renda. Por meio de experimentos e avaliação empírica, em pequenas regiões, a literatura tenta explicar como arranjos informais podem contornar os problemas de crédito causados por falhas informacionais e de comprometimento limitado. No entanto, falha em avaliar choques que afetam uma região geográfica ampla já que esses são comportados apenas por bancos. Através de um modelo de dois estágios com variação de renda instrumentalizada por variáveis climáticas, analisamos se existe um efeito significante entre os choques e as contas de crédito das instituições formais. Verificamos que os agentes usam poupança como meio principal de suavizar seu risco intertemporal. As contas de crédito, entretanto possuem um efeito distinto em municípios com mais desenvolvimento financeiro do que aqueles com menos. Isso indica que possuímos uma restrição de crédito para parte da população, deixando-a exposta ao seu risco. / This work aims to verify whether the Brazilian banking system protects individuals against transitive income shocks. Through experiments and empirical evaluation in small regions, literature tries to explain how informal arrangements can overcome credit problems caused by informational failures and limited commitment. But they fail to evaluate shocks that affect a broad geographic region that can only be dealt with banks. Through a two-stage model with varying income instrumentalized by climatic variables, we analyze whether there is a significant effect between shocks and credit accounts of formal institutions. We verify that agents use savings as the primary means of smoothing their intertemporal risk. The credit accounts however have a distinct effect in counties with more financial development than the ones with the least. This indicates that we have a credit crunch for a portion of the population, leaving it exposed to their risk.

Software startups face a very demanding market: they must deliver high innovative solutions in the shortest possible period of time. Resources are limited and time to reach market is short. Then, it is extremely important to gather the right requirements and that they are precise. Nevertheless, software requirements are usually not clear and startups struggle to identify what they should build. This context affects how requirements engineering activities are performed in these organizations. This work seeks to characterize the state-of-practice of requirements engineering in software startups. Using an iterative approach, seventeen interviews were conducted during three stages with founders and/or managers of different Brazilian software startups operating in different market sectors and with different maturity levels. Data was analyzed using grounded theory techniques such open and axial coding through continuous comparison. As a result, a conceptual model of requirements engineering state-of-practice in software startups was developed consisting of its context influences (founders, software development manager, developers, business model, market and ecosystem) and activities description (product team; elicitation; analysis, validation and prioritization; product validation and documentation). Software development and startup development techniques are also presented and their use in the startup context is analyzed. Finally, using a bad smell analogy borrowed from software development literature, some bad practices and behaviors identified in software startups are presented and solutions to avoid them proposed. / Startups de software enfrentam um mercado muito exigente: elas devem entregar soluções altamente inovativas no menor período de tempo possível. Recursos são limitados e tempo para alcançar o mercado é pequeno. Então, é extremamente importante coletar os requisitos certos e que eles sejam precisos. Entretanto, os requisitos de software geralmente não são claros e as startups fazem um grande esforço para identificar quais serão implementados. Esse contexto afeta como as atividades de engenharia de requisitos são executadas nessas organizações. Este trabalho procura compreender o estado-da-prática da engenharia de requisitos em startups de software. Usando uma abordagem iterativa, dezessete entrevistas foram realizados em três diferentes estágios com fundadores e/ou gestores de diferentes startups de software brasileiras operando em diferentes setores e com diferentes estágios de maturidade. Os dados foram analisados usando técnicas de teoria fundamentada como codificação aberta e axial através da comparação contínua. Como resultado, um modelo conceitual do estado-da-prática da engenharia de requisitos em startups de software foi desenvolvido consistindo da suas influências do contexto (fundadores, gerente de desenvolvimento de software, desenvolvedores, modelo de negócio, mercado e ecossistema) e descrição das atividades (time de produto; levantamento; análise, validação e priorização; e documentação). Técnicas oriundas de metodologias de desenvolvimento de software e desenvolvimento de startups também são apresentadas e seu uso em no contexto de startups é analisado. Finalmente, a partir de uma analogia de maus cheiros presente na literatura de desenvolvimento de software, algumas más práticas e maus comportamentos identificados em startups de software são apresentados e algumas sugestões de solução são propostas.

Lower tolerance limits (LTLs) methods was used to estimate design values of furniture joints. To have higher reliability in joint, LTLs were chosen for higher confidence/proportional level. The logic behind phenomena is that if stress on joint exceeds the given LTLs, failure on joints is most likely observed. Therefore, joint sizes were determined to maintain internal stresses on joint below LTLs value corresponding to external load.

O principal objetivo dessa tese foi contribuir para a discussão sobre o seguro de renda e sua adoção no Brasil. No primeiro artigo buscou-se fornecer argumentos para posteriores discussões no que se refere ao seguro de renda. Para isso, o artigo apresentou o seguro de renda, seu funcionamento e como ele se desenvolveu nos dois principais países que o utilizaram, sendo eles os Estados Unidos e Canadá. Buscou-se ainda apresentar as principais características desse modelo de seguro, e quais são os principais modelos existentes. Esse artigo também teve como objetivo contribuir teoricamente para o desenvolvimento do tema no que se refere ao contrato ótimo de um seguro de renda. Como resultados, observou-se que a determinação endógena do prêmio e dos custos da seguradora para um contrato ótimo de seguro (de renda) são fundamentais para a solução (principalmente afetando as condições de primeira ordem) assim como os efeitos marginais de determinadas restrições impostas do ponto de vista de Pareto. Além disso, buscouse nesse trabalho tratar, do ponto de vista teórico, a capacidade de proteção de um seguro de renda quando comparado a um portfólio composto por seguros tradicionais de produtividade e mecanismos de proteção de preços, como mercados futuros ou opções. Observou-se uma limitação dos resultados e de uma melhor análise quantitativa dada a ausência de uma forma funcional, porém foi possível observar alguns resultados interessantes no que se refere à substituição entre a adoção de seguros (tradicionais) e derivativos agrícolas para proteção de preços. O segundo artigo teve como objetivo expor formas de calcular as taxas de prêmio de um hipotético seguro de renda no formato dos seguros americanos Income Protection ou Revenue Assurance, para milho para municípios do Paraná/BR, por meio do uso de cópulas na distribuição conjunta entre preços e produtividade. Buscou-se com isso contribuir para a obtenção de taxas mais precisas. Os resultados mostraram que existem significativas diferenças entre as taxas de prêmio entre os diferentes municípios e, ainda mais com relação aos diferentes meses de vencimento dos preços futuros utilizados na análise. Além disso, outras análises revelaram que o adequado planejamento do plantio, por exemplo, pelo produtor rural irá lhe garantir menores taxas de prêmio. Como uma das conclusões do trabalho, observa-se que esse tipo de ferramenta, levando-se em conta as características do país, poderia ser utilizado, principalmente com o ajuste de subvenções por parte do governo federal e/ou estadual. / The main objective of this thesis was to contribute to the discussion of income insurance and its adoption in Brazil. In the first article we attempted to provide arguments for further discussions about income insurance. The paper presented how it works and how it has developed in two major countries: the United States and Canada. It also sought to present the main characteristics of this insurance model, and what are the main existing models. This article also aims to contribute to the theoretical development of the subject with regard to the optimal contract for a income insurance policy. As a result, it was observed that the endogenous determination of the premium and costs of insurance for an optimal contract is the key to the solution (mainly affecting the first order conditions) as well as the marginal effects of certain restrictions, in view of Pareto Optimal. In addition, we sought to address in this paper, in the theoretical point of view, the protective capabilities of a secure income when compared to a \"portfolio\" composed by traditional insurance productivity and price protection mechanisms such as futures or options. There was a limitation of the results and better quantitative analysis given the absence of a functional form, but there have been some interesting results regarding the replacement of the adoption of insurance (traditional) and derivatives for the protection of agricultural prices. The second article aims to explain ways to calculate premium rates for hypothetical income insurance in the form of American Income Protection or Revenue Assurance for corn for municipalities of Parana/BR, through the use of copulas in the joint distribution between prices and productivity. Was sought to help to obtain more accurate rates. The results showed that there are significant differences in premium rates between different cities and even more about the different months of maturity of the futures prices used in the analysis. In addition, further analysis revealed that the proper planning of planting, for example, will guarantee for the farmer a lower premium rates. As one of the conclusions of the study, notes that these types of tool, taking into account the characteristics of the country, could be used, especially with the setting of grants by the federal government and/or state.

The oil and gas industry in Libya has suffered a number of health and safety accidents including environmental disasters due to the nature of the work involved and the hazardous materials it handles in all facets of exploration and production. Such issues have hitherto not received due attention by the Libyan Authorities. The fact that strict HSE assessment standards are neither well-defined nor established in Libya is not helpful. Furthermore, oil and gas industry in new free Libya has suffered immensely during the 2011 Arab Spring and its rebuilding poses a number of critical HSE challenges. The purpose of the research is to develop and validate a HSE Performance Review Methodology for Libyan oil and gas industry based on clearly defined and measurable aspects for assessment. The thesis starts by performing a comprehensive literature review on all aspects of HSE including universal standards. The review indicates that there is a gap in respect of semi-qualitative methods for assessing HSE performance commensurate with other disciplines. The thesis then identifies four key research problems in the context of Libyan oil and gas industries. Based on these problems, an empirical research was conducted and included three distinct Stages. Stage 1 consisted of a pilot study based on an interview questionnaire with 15 experienced HSE professionals working in oil and gas companies in Libya to help identify key issues pertaining to HSE assessment. Data analysis results for Stage 2 have been used to derive a list of 12 main groups of HSE questions which have then been tested on 84 HSE professionals working in Libya stemming from 35 medium and large oil and gas companies. Modal distribution analyses have been performed to scope down the number of HSE performance factors, which would then be used in Stage 3 of the empirical research. This consisted of issuing the same 84 interviewees with a questionnaire requesting their assessment of how Critical, Important and Less Important were the 60 factors identified. Central Tendency, Variation Ratios and Indices of Diversity were used to successfully analyse the data. With the QAA Subject Review in mind as a potential model for the sought methodology, and a mapping of the four research problems with data analysis results from Stages 1, 2 and 3; six HSE Performance Review Aspects emerged: Prevention, Surveillance, Response, Achievements, Resource and HSE Management and Enhancement – judged and graded using a 1 to 4 scale. The HSE Performance Review methodology has been validated by direct application to five comprehensive studies starting from the self-assessment document written by the companies, an extensive review visit by peer-assessors and a final report showing grades, benchmarks and shortcomings. Lessons learned from the validation exercise have been used to revise the definition of the six Aspects and used to propose an appropriate implementation plan in Libya. The results of the validation exercise are very encouraging and readily confirm that the methodology can be applied to other industry sectors.