Thesis (Ph.D.)--Baylor University, 2006. / Includes bibliographical references (p. 53-56).

This document takes a critical look at the first lean principle, Value. The meaning of value is ivestigated in: 1.) general context, 2.) product development context and 3.) the business literature context. Insights about the linkages between the value perspective and customer value are also covered. / Lean Aerospace Initiative

Doctor of Philosophy / Department of Agronomy / Doohong Min / Alfalfa is an important forage legume grown in the central Great Plains. However, producers still lack information about the productivity of alfalfa grown with cool-season grasses and the proper time of the last cut of alfalfa in the fall. Two studies are presented in this dissertation. The first study was to determine during a three-year period (2015-2017) the dry matter yield (DMY) and forage nutritive value of alfalfa-grass mixtures compared to alfalfa and grasses grown in monoculture and to assess the effect of nitrogen fertilizer on the dry matter yield and nutritive value of alfalfa-grass mixtures. During the three-years, the DMY was significantly higher in monoculture alfalfa and alfalfa-grass mixtures than in grass monocultures. No significant differences in DMY between alfalfa monoculture and alfalfa-grass mixtures were found. For all treatments, nitrogen application significantly increased DMY compared to the control. In 2016 and 2017, acid detergent fiber (ADF) and neutral detergent fiber (NDF) in smooth bromegrass and tall fescue were higher than in other treatments. Nitrogen fertilizer application did not affect nutritive values such as crude protein (CP), ADF, NDF, and relative feed value (RFV) in different treatments of the forage species. The second study determined the effect of timing of a fall cut on dry matter yield, nutritive value, and stand persistence of alfalfa in Northeastern Kansas in the United States. The DMY of first cut in 2016 was significantly higher in the Roundup Ready variety of alfalfa than in the low-lignin variety of alfalfa. There were no significant differences in DMY between alfalfa varieties in the remaining seasonal cuttings in 2016 and 2017 and in the annual total yield in both years. The DMY of the last cut in the fall was the highest in 2015, 2016 and 2017 in plots that were harvested on September 30. In 2017 the highest DMY in first cut was found in plots that were cut on October 15 in the previous year. The last harvests of the 2016 season, which were on October 15 and October 30, had the highest nutritive value. Opposite results on October 15 and October 30 were observed in 2017. Alfalfa cut on September 15 and September 30 had a higher stand persistence compared to alfalfa cut on October 15 and October 30. In conclusion, last fall cutting of alfalfa, which could be up to October 15, appeared to be acceptable because it did not affect forage dry matter yield.

This thesis consists of three research topics, which together study the related topics of volatility jumps, modeling volatility and forecasting Value-at-­Risk (VaR). The first topic focuses on volatility jumps based on two recently developed jumps detection methods and empirically studied six markets and the distributional features, size and intensity of jumps and cojumps. The results indicate that foreign exchange markets have higher jump intensities, while equity markets have a larger jump size. I find that index and stock markets have more interdependent cojumps across markets. I also find two recently proposed jump detection methods deliver contradictory results of jump and cojump properties. The jump detection technique based on realized outlyingness weighted variation (ROWV) delivers higher jump intensities in foreign exchange markets, whereas the bi-­power variation (BV) method produces higher jump intensities in equity markets. Moreover, jumps under the ROWV method display more serial correlations than the BV method. The ROWV method detects more cojumps and higher cojumps intensities than the BV method does, particularly in foreign exchange markets. In the second topic, the Model Confidence Set test (MCS) is used. MCS selects superior models by power in forecasting ability. The candidate models set included 9 GARCH type models and 8 realized volatility models. The dataset is based on six markets spanning more than 10 years, avoiding the so-called data snooping problem. The dataset is extended by including recent financial crisis periods. The advantage of the MCS test is that it can compare models in a group, not only in a pair. Two loss functions that are robust to noise in volatility proxy were also implemented and the empirical results indicated that the traditional GARCH models were outperformed by realized volatility models when using intraday data. The MCS test based on MSE selected asymmetric ARFIMA models and the HAR mode as the most predictive, while the asymmetric QLike loss function revealed the leveraged HAR and leveraged HAR-­CJ model based on bi-­power variation as the highest performers. Moreover, results from the subsamples indicate that the asymmetric ARFIMA model performs best over turbulent periods. The third topic focuses on evaluating a broad band of VaR forecasts. Different VaR models were compared across six markets, five volatility models, four distributions and 8 quantiles, resulting in 960 specifications. The MCS test based on regulatory favored asymmetric loss function was applied and the empirical results indicate that the proposed asymmetric ARFIMA and leveraged HAR models, coupled with generalized extreme value distribution (GEV) or generalized Pareto distribution (GPD), have the superior predictive ability on both long and short positions. The filtered extreme value methods were found to handle not only extreme quantiles but also regular ones. The analysis conducted in this thesis is intended to aid risk management, and subsequently reduce the probability of financial distress in the sector.

The work of this thesis was undertaken as a C.A.S.E. award project in collaboration with Rolls-Royce to examine compressible laminar boundary layers with sharp adverse pressure-gradients. Much of the work is devoted to the solution of two important particular problems. The first flow considered is that along a semi-infinite flat plate with uniform pressure when X < X0 and with the pressure for X > X0 being so chosen that the boundary layer is just on the point of separation for all X > X0. Immediately downstream of X0 there is a sharp pressure rise to which the flow reacts mainly in a thin inner sublayer; so inner and outer asymptotic expansions are derived and matched for the stream function and a function of the temperature. Throughout the thesis the ratio of the viscosity to the absolute temperature is taken to be a function of x, the distance along the wall, alone, and the Illingworth-Stewartson transformation is applied. The Prandtl number, σ, is taken to be of order unity and detailed results are presented for σ= 1 and 0.72. The second flow considered is that along a finite flat plate where the transformed external velocity U1(X) is chosen such that U1(X) = u0(-X/L)[super]ε, where O< ε <<1, is the transformed length of the plate and X represents transformed distance downstream from the trailing edge. The skin friction, position of separation and heat transfer right up to separation are determined. On the basis of these two solutions, another solution which is not presented in detail, and a solution (due to Curie) to a fourth sharp pressure gradient problem, a general Stratford-type method for computing compressible boundary layers is derived, which may be used to predict the position of separation, skin friction, heat transfer, displacement and momentum thicknesses for a compressible boundary layer with an unfavourable pressure gradient. In all this work techniques of series analysis are used to good effect. This led us to look at another boundary-layer problem in which such techniques could be used, one in which two parallel infinite disks are initially rotating with angular velocity Ω about a common axis in incompressible fluid, the appropriate Reynolds number being very large. Suddenly the angular velocity of one of the disks is reversed. A new examination of this problem is presented in the appendix to the thesis.

REIS, Felipe Alves. Essays on the role of contagion and integration in international issues of South America. Tese (doutorado). Universidade Federal do Ceará, Programa de Pós Graduação em Economia, CAEN, Fortaleza, 2017. 93f. / Submitted by Mônica Correia Aquino (monicacorreiaaquino@gmail.com) on 2017-06-02T18:24:39Z No. of bitstreams: 1 2017_tese_fareis.pdf: 2795237 bytes, checksum: 00c4108cd3b495e1f0750caf3eb39a4f (MD5) / Approved for entry into archive by Mônica Correia Aquino (monicacorreiaaquino@gmail.com) on 2017-06-02T18:25:08Z (GMT) No. of bitstreams: 1 2017_tese_fareis.pdf: 2795237 bytes, checksum: 00c4108cd3b495e1f0750caf3eb39a4f (MD5) / Made available in DSpace on 2017-06-02T18:25:08Z (GMT). No. of bitstreams: 1 2017_tese_fareis.pdf: 2795237 bytes, checksum: 00c4108cd3b495e1f0750caf3eb39a4f (MD5) Previous issue date: 2017 / The emerging economies of South America commonly attract the attention of researchers, even if for punctually different reasons among the economies in question. These economies include the strong Chilean financial market, the consolidated domestic demand of the Brazilian population, the Argentine anti-democratic convergence, the process of internal pacification in Colombia, or even the high growth rates of the Peruvian economy. In addition to this, we highlight the results of Matos, Siqueira & Trompieri (2014) that show the existence of a high level of integration and the financial contagion among the indices of Brazil, Argentina, Colombia, Chile, Peru and Venezuela. In light of these evidences, this thesis presents three essays on financial and economic data from Brazil, Argentina, Colombia, Chile and Peru. In the first essay, we analyze the risk market of these economies using the Value at Risck - VaR conditional methodology, in which the critical value that characterizes the VaR is associated to the distribution that presents the best fitting, and we incorporate the effects of the mean and the volatility, both conditional, obtained by the best-specified ARMA-GARCH model, showing that the best fitting conditional models have a smaller number of violations. The second essay presents the analysis of international reserves, conceptually following the notions of the Buffer Stock methodology, but considering the significant cross-effects of conditional volatilities, their respective spreads and intra-block importation. The results point to both a significant improvement in the explanatory power of the model and that the Brazilian reserves are the least affected by South American economies. In the last essay, we analyze some diversified portfolio options available to a Brazilian investor, who faces a scenario with no opportunities in the financial market, with the purpose of measuring gains with diversification of the position acquired in the South American market indices vis-à-vis the domestic portfolio. The results show the possibility that simple and non-dynamic portfolio composition strategies, composed only of indexes of the markets of the neighboring countries of Brazil, translate into very satisfactory results in terms of expected gain and risk. / As economias emergentes da América do Sul atraem comumente a atenção de pesquisadores, mesmo que por razões pontualmente distintas entre as economias em questão. Dentre essas economias pode-se destacar o sólido mercado financeiro chileno, a consolidada demanda interna da população brasileira, a convergência antidemocrática argentina, o processo de pacificação interna colombiana, ou mesmo as elevadas taxas de crescimento da economia peruana. Adicionalmente a isso, ressaltamos os resultados de Matos, Siqueira & Trompieri (2014) que evidenciam a existência de um elevado nível de integração e o contágio financeiro entre os índices do Brasil, Argentina, Colômbia, Chile, Peru e Venezuela. À luz dessas evidências, essa tese faz três ensaios acerca de dados financeiros e econômicos do Brasil, Argentina, Colômbia, Chile e Peru. No primeiro ensaio faz-se a análise do mercado de risco dessas economias através da metodologia Value at Risck - VaR condicional, onde o valor crítico que caracteriza o VaR foi associado à distribuição que apresentar melhor fitting e incorporamos os efeitos da média e da volatilidade, ambas condicionais, obtidas pelo arcabouço ARMA-GARCH mais bem especificado. Onde observa-se que os modelos condicionais best fitting tem uma menor quantidade de violações. No segundo ensaio, buscou a análise das reservas internacionais seguindo conceitualmente noções da metodologia Buffer Stock, porém considerando os efeitos cruzados significativos das volatilidades condicionais, dos respectivos spreads e das importações intrablocos. Os resultados apontam uma melhoria significativa no poder explicação do modelo e que as reservas brasileiras são a menos afetadas pelas economias da América do Sul. No último ensaio foi analisado as opções de carteiras diversificadas disponíveis para um investidor brasileiro, que enfrenta um cenário livre de oportunidades no mercado financeiro, com o objetivo de mensurar ganhos com diversificação da posição adquirida nos índices de mercado da América do Sul vis-à-vis um carteira doméstica. Os resultados mostram a possibilidade que estratégias de composição de carteira simples e não dinâmica, composta somente de índices dos mercados dos países vizinhos do Brasil, se traduzam em resultados muito satisfatórios em termos de ganho e risco esperados.

MAYORGA, Rodrigo de Oliveira. An application of value at risk and expected shortfall / Rodrigo de Oliveira Mayorga. - 2016. 60f. Tese (Doutorado) - Universidade Federal do Ceará, Programa de Pós Graduação em Economia, CAEN, Fortaleza, 2016. / Submitted by Mônica Correia Aquino (monicacorreiaaquino@gmail.com) on 2017-06-07T18:33:28Z No. of bitstreams: 1 2016_tese_romayorga.pdf: 23551041 bytes, checksum: c9a78d3b82daf878118fea8674fe02e8 (MD5) / Approved for entry into archive by Mônica Correia Aquino (monicacorreiaaquino@gmail.com) on 2017-06-07T18:33:45Z (GMT) No. of bitstreams: 1 2016_tese_romayorga.pdf: 23551041 bytes, checksum: c9a78d3b82daf878118fea8674fe02e8 (MD5) / Made available in DSpace on 2017-06-07T18:33:45Z (GMT). No. of bitstreams: 1 2016_tese_romayorga.pdf: 23551041 bytes, checksum: c9a78d3b82daf878118fea8674fe02e8 (MD5) Previous issue date: 2016 / The last two decades have been characterized by significant volatilities in financial world marked by few major crises, market crashes and bankruptcies of large corporations and liquidations of major financial institutions. In this context, this study considers the Extreme Value Theory (EVT), which provides well established statistical models for the computation of extreme risk measures like the Value at Risk (VaR) and Expected Shortfall (ES) and examines how EVT can be used to model tail risk measures and related confidence interval, applying it to daily log-returns on four market indices. These market indices represent the countries with greater commercial trade with Brazil for last decade (China, U.S. and Argentina). We calculate the daily VaR and ES for the returns of IBOV, SPX, SHCOMP and MERVAL stock markets from January 2nd 2004 to September 8th 2014, combining the EVT with GARCH models. Results show that EVT can be useful for assessing the size of extreme events and that it can be applied to financial market return series. We also verified that MERVAL is the stock market that is most exposed to extreme losses, followed by the IBOV. The least exposed to daily extreme variations are SPX and SHCOMP. / As duas últimas décadas têm sido caracterizadas por volatilidades significativas no mundo financeiro em grandes crises, quebras de mercado e falências de grandes corporações e liquidações de grandes instituições financeiras. Neste contexto, este estudo considera a evolução da Teoria do Valor Extremo (EVT), que proporciona modelos estatísticos bem estabelecidos para o cálculo de medidas de risco extremos, como o Value at Risk (VaR) e Espected Shortfall (ES) e examina como a EVT pode ser usada para modelar medidas de risco raros, estabelecendo intervalos de confiança, aplicando-a aos log-retornos diários a quatro índices de mercado. Estes mercados representam os países com maior intercâmbio comercial com o Brasil (China, U.S. e Argentina). Calculamos o VaR e ES diários dos índices IBOV, SPX, SHCOMP e MERVAL, com dados diários entre de 02 de janeiro de 2004 e 08 de setembro de 2014, combinando a EVT com modelos GARCH. Os resultados mostram que EVT pode ser útil para avaliar o tamanho de eventos extremos e que ele pode ser aplicado a séries de retorno do mercado financeiro. Verifica-se ainda que MERVAL é o mercado de ações que está mais exposta a perdas extremas, seguido do IBOV. Os menos expostos a variações extremas diárias são SPX e SHCOMP.

FERREIRA, Antonio Glênio Moura. Gestão de risco das principais tesourarias de fundos de investimento em ações no Brasil. 2014. 74 f. Dissertação (Mestrado Profissional) - Programa de Pós Graduação em Economia, CAEN, Universidade Federal do Ceará, Fortaleza-CE, 2014. / Submitted by Mônica Correia Aquino (monicacorreiaaquino@gmail.com) on 2014-11-26T19:15:33Z No. of bitstreams: 1 2014_dissert_agmferreira.pdf: 4707768 bytes, checksum: f18c9c30d647c9b0285c6569738e1f47 (MD5) / Approved for entry into archive by Mônica Correia Aquino(monicacorreiaaquino@gmail.com) on 2014-11-26T19:15:47Z (GMT) No. of bitstreams: 1 2014_dissert_agmferreira.pdf: 4707768 bytes, checksum: f18c9c30d647c9b0285c6569738e1f47 (MD5) / Made available in DSpace on 2014-11-26T19:15:47Z (GMT). No. of bitstreams: 1 2014_dissert_agmferreira.pdf: 4707768 bytes, checksum: f18c9c30d647c9b0285c6569738e1f47 (MD5) Previous issue date: 2014 / This study aims to examine empirically the behavior of the model for measuring market risk Value at Risk - VaR in its parametric interpretation unconditional Gaussian and extensions that regulate violations on heteroscedasticity and non-normality of daily returns of investment funds Actions, of the thirteen largest financial institutions resident in Brazil, during the January/06 dezembro/12. For a better evaluation of the data, we sought to initially model the conditional evolution of risk and adjust the statistic al idiosyncrasy of temporal series of thirteen treasuries, using probability distributions that best adapt to the analysis of the models. The results obtained with the semodels are analyzed by the test failure rate proposed by Kupiec (1995) and Chisttoffersen (1998). The survey also shows, with graphic examples, a performance Risk - Return of the thirteen banks using the methodology proposed by Balzer. / O presente trabalho busca analisar, empiricamente, o comportamento do modelo de mensuração de risco de mercado Value-at-Risk – VaR em sua interpretação paramétrica gaussiana incondicional e extensões que regulam as violações sobre a não normalidade e a heterocedasticidade dos retornos diários dos fundos de investimentos em Ações, das treze maiores instituições financeiras residentes no Brasil, durante o período de janeiro/06 a dezembro/12. Para uma melhor avaliação dos dados, buscou-se, inicialmente, modelar a evolução condicional do risco e ajustar a idiossincrasia estatística das séries temporais das treze tesourarias, utilizando distribuições de probabilidade que mais se adaptassem à análise dos modelos. Os resultados obtidos com esses modelos são analisados à luz do teste para proporção de falhas proposto por Kupiec (1995) e Chisttoffersen (1998). A pesquisa ainda apresenta, com exemplos gráficos, uma análise de desempenho Risco – Retorno dos treze bancos utilizando a metodologia proposta por Balzer.

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