This thesis examines an impact of high frequency trading on equity market qualities. As an indicator of market quality, stock prices realized volatility is used. To estimate the high frequency trading activity, we implement a special method of identification of high frequency orders from quote data. Study of relation between high frequency trading and market qualities is incited by growing concerns about the welfare impacts of high frequency trading and connected activities. In order to test the dependence and causality between high frequency trading activity and volatility, we implement time-scale estimation techniques. Wavelet coherence is used to study localized dependence. The analysis is amended by a robustness check, using wavelet correlation. Results show inconsistent dependence at short trading horizons and regions of significant continuous dependence at trading horizons within hours. Powered by TCPDF (www.tcpdf.org)

This doctoral thesis is comprised of four papers that all relate to the subject of Time Series Analysis. The first paper of the thesis considers point estimation in a nonnegative, hence non-Gaussian, AR(1) model. The parameter estimation is carried out using a type of extreme value estimators (EVEs). A novel estimation method based on the EVEs is presented. The theoretical analysis is complemented with Monte Carlo simulation results and the paper is concluded by an empirical example. The second paper extends the model of the first paper of the thesis and considers semiparametric, robust point estimation in a nonlinear nonnegative autoregression. The nonnegative AR(1) model of the first paper is extended in three important ways: First, we allow the errors to be serially correlated. Second, we allow for heteroskedasticity of unknown form. Third, we allow for a multi-variable mapping of previous observations. Once more, the EVEs used for parameter estimation are shown to be strongly consistent under very general conditions. The theoretical analysis is complemented with extensive Monte Carlo simulation studies that illustrate the asymptotic theory and indicate reasonable small sample properties of the proposed estimators. In the third paper we construct a simple nonnegative time series model for realized volatility, use the results of the second paper to estimate the proposed model on S&P 500 monthly realized volatilities, and then use the estimated model to make one-month-ahead forecasts. The out-of-sample performance of the proposed model is evaluated against a number of standard models. Various tests and accuracy measures are utilized to evaluate the forecast performances. It is found that forecasts from the nonnegative model perform exceptionally well under the mean absolute error and the mean absolute percentage error forecast accuracy measures. In the fourth and last paper of the thesis we construct a multivariate extension of the popular Diebold-Mariano test. Under the null hypothesis of equal predictive accuracy of three or more forecasting models, the proposed test statistic has an asymptotic Chi-squared distribution. To explore whether the behavior of the test in moderate-sized samples can be improved, we also provide a finite-sample correction. A small-scale Monte Carlo study indicates that the proposed test has reasonable size properties in large samples and that it benefits noticeably from the finite-sample correction, even in quite large samples. The paper is concluded by an empirical example that illustrates the practical use of the two tests.

Since 1990s, there was increasing evidence that pension systems have been restructured across Europe and in Turkey. This thesis aims to analyse the outcomes of the pension reform in Turkey in the light of the pension reforms, realized in the European countries. Theoretically, the thesis also attempts to reevaluate institutionalist approach that is dominant approach within the study of pension systems. The main argument of the thesis is that pension systems both across Europe and in Turkey have been restructured since 1990s in accordance with the neo-liberal policies. In both contexts, it is underlined that the target of the reform is to privatize and individualize the pension systems. Change from PAYGO to funded scheme, shift towards multi-tiered model, reduction of the scope and coverage of public pension scheme and shifting of risks from public to individuals form the common characteristics of pension reforms across Europe and in Turkey.

[pt] Este trabalho apresenta e resolve o problema da determinação das sensibilidades de filtros digitais modelados por equações de estado em forma genérica (não canônica), com relação aos seus coeficientes que são aproximados devido ao tamanho finito da palavra. São consideradas as respostas impulsional e devida a uma excitação qualquer, nos domínios do tempo e da freqüência. / [en] This work presents and solves the problem of determining the sensitivities of digital filters modeled by state variables in generic form (noncanonical), with respect to its coefficients which are approximated due to the finite size of the word. The impulse response, as well as the response due to a generic excitation are considered. Both the time and the frequency domains are studied.

Made available in DSpace on 2015-05-14T12:42:50Z (GMT). No. of bitstreams: 1 Arquivototal.pdf: 2679314 bytes, checksum: 63999dacf32ce9d2456a31e755582f3e (MD5) Previous issue date: 2012-04-04 / Coordenação de Aperfeiçoamento de Pessoal de Nível Superior / This dissertation binds itself to the investigation scope of Applied Linguistics, anchored on theoretical methodological orientations of Sociodiscoursive Interactionism BRONCKART 1999, 2006b, 2008), hereinafter called ISD, and in the contributions of the Clinics of Activity. (CLOT, 2007). This perspective preconizes that, from the linguistic-discoursive analysis about the speeches, we can achieve the way that the human acts are represented. The research, characterized as qualitative-interpretivist, aims to investigate the relationship between that was said, that was prescribed and that was done in Native Language teachers' works with the objective of reaching a better comprehension of the peculiarities and challenges of teaching. Based on that, we analyzed how two teachers recently graduated in Languages, and who act on Primary Education, look beyond their classes in discursive dimensions, real prescriptives. The corpus was formed by interviews with the teachers, their lesson plans, and the given classes transcriptions. For the purpose of data triangulation, the analysis categories used are, respectively, the study of teachers' speeches voices, the semanthical roles seen in their self-prescriptions and the interactions between teachers and students in class. The analysis indicated that in the previously planned speeches teachers make allowance for the social, historical and cultural aspects in teaching, however, in a given class and all of the inherent impasses and deals, the actions were modified and have no correspondence with the ones that was discursively represented previously. It is noteworthy that the subjective options of each person, obviously supported by the collective dimension, built in a social-historical way, drive the chose actions in class. Finally, the research, which is included in the GELIT's actions, highlights the importance of investing in inicial teacher training and enhance the experience built on the daily practice of teaching. / O presente trabalho vincula-se ao escopo de investigação da Linguística Aplicada, ancorado nas orientações teórico-metodológicas do Interacionismo Sociodiscursivo (BRONCKART 1999, 2006b, 2008), doravante ISD, e nas contribuições da Clínica da Atividade (CLOT, 2007). Essa perspectiva preconiza que, a partir da análise linguísticodiscursiva dos textos discursos, podemos chegar ao modo como é representado o agir humano. A pesquisa, de caráter qualitativo interpretativista, buscou investigar a relação entre o dito, o prescrito e o realizado no trabalho de professores de Língua Materna a fim de compreender melhor as peculiaridades e desafios do trabalho docente. Com este embasamento, analisamos como dois professores recém formados no curso de Licenciatura em Letras, e que atuam na Educação Básica, objetivam suas aulas nas dimensões discursivas, prescritivas reais. Nosso corpus foi constituído de entrevistas realizadas com os docentes, dos seus planos de aula, e das transcrições da efetivação dessas aulas. Como categorias de análise, para efeito de triangulação dos dados, utilizamos respectivamente o estudo das vozes que ecoaram nos discursos dos dois docentes, os papéis semânticos evidenciados em suas autoprescrições e as interações professor-aluno em sala de aula. A nossa análise indicou que nos discursos previamente planejados os professores correspondem a uma prática de ensino que leva em conta o social, o histórico e o cultural, contudo, diante da aula realizada e de todos os impasses e negociações ali existentes, as ações se modificam e não correspondem exatamente ao que, anteriormente, foi discursivamente representado. Ressalta-se que as opções subjetivas de cada um, obviamente respaldadas na dimensão coletiva, construída sóciohistoricamente, direcionam as escolhas das ações em suas aulas. Por fim, a pesquisa, que se inclui nas ações do Grupo de Estudos em Letramentos, Interação e Trabalho (GELIT-UFPB), destaca a importância de se investir na formação inicial dos professores e valorizar a experiência construída no dia a dia da prática docente.

The main objective of this thesis is to investigate whether multivariate models using Highfrequency data provide significantly more accurate forecasts of Value at Risk and Expected Shortfall than multivariate models using only daily data. Our objective is very topical since the Basel Committee announced in 2013 that is going to change the risk measure used for calculation of capital requirement from Value at Risk to Expected Shortfall. The further improvement of accuracy of both risk measures can be also achieved by incorporation of high-frequency data that are rapidly more available due to significant technological progress. Therefore, we employed parsimonious Heterogeneous Autoregression and its asymmetric version that uses high-frequency data for the modeling of realized covariance matrix. The benchmark models are chosen well established DCC-GARCH and EWMA. The computation of Value at Risk (VaR) and Expected Shortfall (ES) is done through parametric, semi-parametric and Monte Carlo simulations. The loss distributions are represented by multivariate Gaussian, Student t, multivariate distributions simulated by Copula functions and multivariate filtered historical simulations. There are used univariate loss distributions: Generalized Pareto Distribution from EVT, empirical and standard parametric distributions. The main finding is that Heterogeneous Autoregression model using high-frequency data delivered superior or at least the same accuracy of forecasts of VaR to benchmark models based on daily data. Finally, the backtesting of ES remains still very challenging and applied Test I. and II. did not provide credible validation of the forecasts.

In the diploma thesis "Bid and realized prices as a source for comparative valuation method", identical detached houses will be valued first on the basis of tendering procedure and then on the basis of realized prices. Based on our own real estate database in the Brno-venkov district, ten databases of comparative properties will be created in the southern part of the Brno-venkov district. These ten databases will be assigned to the valued detached houses and then compared with the direct comparative valuation method. In the first place, according to the offer prices, the source of which is the aforementioned real estate database and then according to realized prices, the source of which is the price data from purchase contracts registered in the Land Register for the South Moravian Region. Database results - usual prices, will be subsequently analyzed and evaluated. Then the results will be interpreted and the differences between the usual prices and the input data from the database will be discussed.

In the thesis "Price sources for the comparative valutation method for houses in the southern part of the Brno-venkov district," ten identical family homes will be valued first on the basis of bidding, without taking into account prices realised, and then on the basis of realized prices. Based on the entry database of properties in the Brno-venkov district, ten databases of comparison properties in the southern part of the Brno-venkov district will be created. These ten databases will be assigned to identical ten detached houses first with bidding prices and then with prices realized. The ten identical detached houses will then be awarded a direct comparative valuation method in twenty databases generated. First, on the basis of the offer prices, the source of which is the aforementioned entry property database, and then on the basis of the prices realized, the source of which is the price data from the purchase agreements registered in the Land Registry for the South Moravian Region. Database results - prices usual, will then be analysed and evaluated. The results will then be interpreted and the differences between the usual prices and input data from the input database will be discussed.

The epaulets of male Red-winged Blackbirds (Agelaius phoeniceus) function in both intersexual and intrasexual contexts, but there is little evidence that they covary with reproductive success in this well-studied species. We used path analysis of male/territory traits, mating success, and reproductive success of unmanipulated males to estimate current directional selection. Territory size had a positive effect on number of within-pair mates. Number of extra-pair mates had a positive effect on number of extra-pair fledglings, and number of within-pair and extra-pair fledglings had positive effects on total number of fledglings. We also reddened epaulets of free-living territorial males to determine whether manipulated and control males differ in territorial behavior, mating success, or reproductive success. Compared with control males, males with reddened epaulets incurred elevated rates of trespassing and territorial challenges, lost their territories more often, and were unable to produce extra-pair offspring. Despite these differences, however, the realized reproductive success of experimental and control males did not differ significantly, perhaps because males with reddened epaulets devoted more time to anti-predator vigilance and were more aggressive toward a simulated predator than were control males. An apparent lack of current sexual selection on epaulet color may be a form of counter-balancing sexual selection in which male aggression against redder epaulets opposes female preference for redder epaulets, or it might be the result of males compensating for lost extra-pair fertilizations by increasing their parental care.

This thesis aims to explore the basis for an enlarged understanding of ζωή αἰώνιος; eternal life, in contemporary reception of the Gospel of John. Eternal life is often seen as a promise for life after physical death, but the theologians in focus, Paolo Ricca, Marianne Meye Thompson, John Sanford and Benjamin E. Reynolds, understand eternal life in John as a partially realized eschatology. The method is a comparative reception-historical analysis of these four scholars’ interpretations, including evaluation of their exegetic claims. The theologians’ arguments are mainly based on key passages such as John 5:24 and John 17:3, which points towards a presentic understanding of eternal life. The way the Gospel of John contrasts ψυχή, in John used for physical/earthly life, and ζωή, life in fullness, is another argument by Ricca and Thompson. Eternal life is based on an intimate relationship with God through Christ, and the acceptance of dependence on God. The fact that John often put εἰς; in to, before ζωή αἰώνιος, is another indication that eternal life is something dynamic and process-oriented, as pointed out by Ricca. Reynolds compares John with Jewish apocalyptic literature from the second temple period and discloses many similarities between John and apocalyptic Jewish literature in the understanding of a parallel reality, hidden but revealed. Sanford makes a synthesis of John and Jungian terminology and points out distance from the ego and leaning towards the drawing center (God) as the path to eternal life. Thompson includes the Holy Spirit in enabling eternal life. Ricca places eternal life in relation to salvation history, and presents an understanding of time where the future comes towards us. Love is the most prominent insignia of eternal life, and forms the basis for an ethics which can also imply transformation of society. In that way the soteriology of John can also be seen as something collective, even if the individual’s encounter with God and Christ is in focus.