Submitted by Eduardo Augusto Aun (auneduardo@gmail.com) on 2013-01-16T19:48:06Z No. of bitstreams: 1 DISSERTAÇÃO EDUARDO A AUN 2012 MPFE FGV.pdf: 1487732 bytes, checksum: 0fa68b5193a17357238c3ff083146e3d (MD5) / Approved for entry into archive by Eliene Soares da Silva (eliene.silva@fgv.br) on 2013-01-16T19:49:13Z (GMT) No. of bitstreams: 1 DISSERTAÇÃO EDUARDO A AUN 2012 MPFE FGV.pdf: 1487732 bytes, checksum: 0fa68b5193a17357238c3ff083146e3d (MD5) / Made available in DSpace on 2013-01-16T19:55:33Z (GMT). No. of bitstreams: 1 DISSERTAÇÃO EDUARDO A AUN 2012 MPFE FGV.pdf: 1487732 bytes, checksum: 0fa68b5193a17357238c3ff083146e3d (MD5) Previous issue date: 2012-12-18 / Este estudo compara previsões de volatilidade de sete ações negociadas na Bovespa usando 02 diferentes modelos de volatilidade realizada e 03 de volatilidade condicional. A intenção é encontrar evidências empíricas quanto à diferença de resultados que são alcançados quando se usa modelos de volatilidade realizada e de volatilidade condicional para prever a volatilidade de ações no Brasil. O período analisado vai de 01 de Novembro de 2007 a 30 de Março de 2011. A amostra inclui dados intradiários de 5 minutos. Os estimadores de volatilidade realizada que serão considerados neste estudo são o Bi-Power Variation (BPVar), desenvolvido por Barndorff-Nielsen e Shephard (2004b), e o Realized Outlyingness Weighted Variation (ROWVar), proposto por Boudt, Croux e Laurent (2008a). Ambos são estimadores não paramétricos, e são robustos a jumps. As previsões de volatilidade realizada foram feitas através de modelos autoregressivos estimados para cada ação sobre as séries de volatilidade estimadas. Os modelos de variância condicional considerados aqui serão o GARCH(1,1), o GJR (1,1), que tem assimetrias em sua construção, e o FIGARCH-CHUNG (1,d,1), que tem memória longa. A amostra foi divida em duas; uma para o período de estimação de 01 de Novembro de 2007 a 30 de Dezembro de 2010 (779 dias de negociação) e uma para o período de validação de 03 de Janeiro de 2011 a 31 de Março de 2011 (61 dias de negociação). As previsões fora da amostra foram feitas para 1 dia a frente, e os modelos foram reestimados a cada passo, incluindo uma variável a mais na amostra depois de cada previsão. As previsões serão comparadas através do teste Diebold-Mariano e através de regressões da variância ex-post contra uma constante e a previsão. Além disto, o estudo também apresentará algumas estatísticas descritivas sobre as séries de volatilidade estimadas e sobre os erros de previsão. / This study compares volatility forecasts of seven publicly traded companies using 2 different models of realized volatility and 3 models of conditional volatility. The intention is to find empirical evidence as to the difference in results that are achieved when using models of realized volatility and conditional volatility to predict the volatility of shares in Brazil. The sample period runs from 1 November 2007 to 30 March 2011. The sample includes 5 minutes intraday data. The realized volatility estimators that are considered in this study are the Bi-Power Variation (BPVar) developed by Barndorff-Nielsen and Shephard (2004b), and Weighted Realized Outlyingness Variation (ROWVar) proposed by Boudt, Croux and Laurent (2008a) . Both estimators are non-parametric, and are robust to jumps. The realized volatility forecasts were made by autoregressive models estimated for each share on the estimated volatility series. The conditional variance models considered here are the GARCH (1,1), the GJR (1,1), having asymmetries in its construction, and FIGARCH-CHUNG (1, d 1), having long memory. The sample was divided into two, one for the estimation period from 01 November 2007 to 30 December 2010 (779 trading days) and one for the validation period of 03 January 2011 to 31 March 2011 (61 trading days). The out of sample forecasts were made to 1 day ahead, and the models were reestimated at each step, including one more variable in the sample after each prediction. The predictions will be compared using the Diebold-Mariano test and through regressions of the variance ex-post against a constant and the prediction. Moreover, the study also shows some descriptive statistics on the estimated volatility series and on the forecasting errors.

Les insectes phytophages forment un groupe d’organismes très diversifié et la plupart sont considérés comme spécialistes. Les patrons de spécialisation des insectes vis à vis de leurs plantes hôtes dépendent en partie de leur capacité à interagir avec les plantes (niche fondamentale) et aux facteurs environnementaux modulant ces interactions et aboutissant aux observations en milieu naturel (niche réalisée). La spécialisation fondamentale est déterminée par l'évolution conjointe de deux traits : la performance des larves et la préférence des femelles. Pour comprendre cette spécialisation, nous avons étudié une communauté de huit espèces de mouches des fruits (Diptera : Tephritidae) présentes à La Réunion. Dans un premier temps, nous avons déterminé la niche réalisée de chaque espèce et montré que ces niches étaient structurées par la phylogénie des plantes avec D. demmerezi, D. ciliatus et Z. cucurbitae spécialistes des Cucurbitaceae, N. cyanescensspécialiste des Solanaceae et C. catoirii, C. capitata et C. quilicii généralistes attaquant des plantes de différentes familles. Après l'invasion de B. zonata en 2000, C. capitata et C. quilicii ont subi une réduction de leur gamme d'hôtes. Dans un deuxième temps, nous avons déterminé la niche fondamentale de ces espèces (sauf D. ciliatus). Nous avons évalué les préférences des femelles en mesurant la fécondité de chacune d’entre elles sur une gamme de 29 fruits, puis nous avons testé l'existence d'une corrélation entre la préférence des femelles et la performance des larves (mother knows best hypothesis). Nous avons montré une corrélation positive chez spécialistes des Cucurbitaceae qui pondent sur les plantes pour lesquelles les larves survivent le mieux contrairement aux généralistes pondant et survivant sur une large gamme d'hôtes mais sans corrélation entre ces deux traits.Enfin, la sélection de l'hôte par les femelles se faisant principalement grâce aux composés organiques volatils (COVs) émis par les fruits, nous avons montré que les fruits infestés par les généralistes ont pour point commun l'émission de COVs responsables de la maturation des fruits. Au contraire, les fruits de plusieurs Solanaceae émettent des COVs spécifiques suggérant la détection de ceux-ci par les femelles de N. cyanescens. Les Cucurbitaceae émettent des COVs abondants peu présents dans les autres familles suggérant une détection d'un mélange spécifique de ces COVs par les Tephritidae spécialistes des Cucurbitaceae. / Phytophagous insects are a very diverse group of organisms and most of them are considered as specialized. Patterns of specialization regarding their host plants depend on their ability to interact with their hosts (fundamental niche) and on environmental factors which modulate these interactions leading to observed patterns in the field (realized niche). Fundamental specialization is determined by the joint evolution of two traits: larval performance and female preference. To understand this specialization, we studied a community of eight fruit fly species (Diptera: Tephritidae) present in La Réunion.First, we determined the realized niche of each species and showed that they were structured by plant phylogeny with D. demmerezi, D. ciliatus and Z. cucurbitae as Cucurbitaceae specialists, N. cyanescens as Solanaceae specialist and C. catoirii, C. capitata et C. quilicii as generalists feeding on plants belonging to different families. After the invasion of B. zonata in 2000, C. capitata et C. quilicii were subjected to a decrease of their host range.Then, we determined the fundamental niche of these species (except D. ciliatus). We assessed female preferences by measuring their fecundity on 29 fruits, then we tested the presence of a correlation between female preference and larval performance (mother knows best hypothesis). We showed a positive correlation for Cucurbitaceae specialists laying eggs on plants where larvae survive the best, at the opposite of generalist species laying eggs and surviving on many hosts without any correlation between these two traits.Finally, host selection by females being mostly done thanks to volatile organic compounds (VOCs) emitted by fruits, we showed that fruits infested by generalist species have common VOCs responsible for fruit maturation. On the contrary, the fruits of several Solanaceae emit specific VOCs suggesting their detection by N. cyanescens females. Cucurbitaceae species emit abundant VOCs rarely present in other families suggesting a detection of a specific blend of these VOCS by Cucurbitaceae specialists.

In this masterthesis I have rewied basic approaches to volatility estimating. These approaches are based on classical and Bayesian statistics. I have applied the volatility models for the purpose of volatility forecasting of a different foreign exchange (EURUSD, GBPUSD and CZKEUR) in the different period (from a second period to a day period). I formulate the models EWMA, GARCH, EGARCH, IGARCH, GJRGARCH, jump diffuison with constant volatility and jump diffusion model with stochastic volatility. I also proposed an MCMC algorithm in order to estimate the Bayesian models. All the models we estimated as univariate models. I compared the models according to Mincer Zarnowitz regression. The most successfull model is the jump diffusion model with a stochastic volatility. On the second place they were the GJR- GARCH model and the jump diffusion model with a constant volatility. But the jump diffusion model with a constat volatilit provided much more overvalued results.The rest of the models were even worse. From the rest the IGARCH model is the best but provided undervalued results. All these findings correspond with R squared coefficient.

My Diploma Thesis is about evaluation of performance of personal activities in the company Auto Chládek Ltd. The aims of thesis are description in detail and analysis of all personal activities that are done in the company and finding possibilities of improvements of performance of these activities. Short charakterization of the company Auto Chládek Ltd and economic analysis in detail are noticed at the beginning of the thesis. The main part of the thesis is about analysis of performance of personal activities. Desciprition of realization of some proposals and recommendations for improvements is in the next part of the thesis. Reviews of fruitfulness of proposals and recommendations for improvments including reasons of bad success are noticed at the end of the thesis.

ABSTRACT Date: 2022-06-02 Level: Bachelor thesis in Business Administration, 15 cr Institution: School of Business, Society and Engineering, Mälardalen University Authors:  Simon Lid   1997-02-27, Alexander Sollén   1997-08-09                                                                                                                                                                        Title: How fair is the fair value? Supervisor: Oksana Feicher Keywords: Fair value, reliability, IFRS 13, IAS40, investment property, unrealized gains, realized gains  Research questions: How accurate is the fair value correlation to the actual selling price? Does unrealized gains and losses correlate with the profits?  Purpose: The purpose of the study is to examine how reliable the fair value of investment property is in Swedish public companies, and how the valuations affect the profits.   Method: In order to answer the research questions of the study a quantitative research method was applied using data from the company’s financial reports during the years of 2005 through 2020. Descriptive statistics have been used to compare the companies and the industry as whole. To study the reliability, two variables have been calculated. The actual gains in comparison with the sales and the unrealized gains in comparison with the profits. To further invigorate the study correlation analysis has been applied to see if there were any correlations between the two variables.  Conclusion: The result of the study shows a deviation by approximately 12% of the company’s fair value. Based on the results of the study a conclusion can be drawn that the regulations permit a valuation that is not reliable and show a deceptive picture of the company. Previous research discussed caution, adjustment of profits and interpretation as factors behind the result. The study shows that during the period of the research an average conjunction of 60,08% between unrealized gains and profits were shown. Further a conclusion can be made that the profits are correlated with the unrealized gains.

Information technology organizations lose significant competitive value when business leaders fail to use project management maturity (PMM) processes that enhance market delivery, reduce costs, and increase profitability. Using a multiple-case study, the researcher explored strategies that project leaders have used to improve PMM processes and expanded upon Kerzner's PMM model, which comprises 5 PMM levels essential for achieving repeatable project success. The researcher selected 20 project leader participants in the Southeastern region of the United States using a purposeful snowball sampling technique. In depth interviews were combined with archival and document exploration using a multiple-case study design where different types of project offices were cross compared as the unit of analysis including governmental, corporate, nonprofit, and not-for-profit organizations. Thematic analysis and cross-case analysis revealed 6 major strategies to improve PMM processes: project leader development, customer focus, standard methodology development, interactive communication, establishing a project office organizational structure, and practicing continuous process improvement. The implications for positive social change include the potential to provide small businesses and marginally-resourced organizations, such as churches and charitable organizations, with a beneficial value that contributes to positive economic activity in the local communities they support. The results are important because they extend constrained resources and organizational buying power for deliverables required by the recipient of the altruistic act.

Volatility is an important variable in financial markets, risk management and making investment decisions. Different volatility models are beneficial tools to use when predicting future volatility. The purpose of this study is to compare the accuracy of various volatility models, including ARCH, GARCH and extensions of the GARCH framework. The study applies these volatility models to the Swedish and American Fixed Income Market for government bonds. The performance of these models is based on out-of-sample forecasting using different loss functions such as RMSE, MAE and MSE, specifically investigating their ability to forecast future volatility. Daily volatility forecasts from daily bid prices from Swedish and American 2, 5- and 10-year governments bonds will be compared against realized volatility which will act as the proxy for volatility. The result show US government bonds, excluding the US 2 YTM, did not show any significant negative volatility, volatility asymmetry or leverage effects. In overall, the ARCH and GARCH models outperformed E-GARCH and GJR-GARCH except the US 2-year YTM showing negative volatility, asymmetry, and leverage effects and the GJR-GARCH model outperforming the ARCH and GARCH models. / Volatilitet är en viktig variabel på finansmarknaden när det kommer till både riskhantering samt investeringsbeslut. Olika volatilitets modeller är fördelaktiga verktyg när det kommer till att göra prognoser av framtida volatilitet. Syftet med denna studie är att jämföra det olika volatilitetsmodellerna ARCH, GARCH och förlängningar av GARCH-ramverket för att ta reda på vilken av modellerna är den bästa att prognosera framtida volatilitet. Studien kommer tillämpa dessa modeller på den svenska och amerikanska marknaden för statsskuldväxlar. Prestandan för modellerna kommer baseras på out-of-sample prognoser med hjälp av det olika förlustfunktionerna RMSE, MAE och MSE. Förlustfunktionernas används endast till att undersöka deras förmåga till att prognostisera framtida volatilitet. Dagliga volatilitetsprognoser baseras på dagliga budpriser för amerikanska och svenska statsobligationer med 2, 5 och 10 års löptid. Dessa kommer jämföras med verklig volatilitet som agerar som Proxy för volatiliteten. Resultatet tyder på att amerikanska statsobligationer förutom den tvååriga, inte visar signifikant negativ volatilitet, asymmetri i volatilitet samt hävstångseffekt. De tvååriga amerikanska statsobligationerna visar bevis för negativ volatilitet, hävstångseffekt samt asymmetri i volatiliteten. ARCH och GARCH modellerna presterade övergripande sett bäst för både svenska och amerikanska statsobligationer förutom den tvååriga där GJR-GARCH modellen presterade bäst.

In this thesis, the foundations of evaluating the performance of volatility forecasting methods are explored, and a mathematical framework is created to determine the overall forecasting performance based on observed daily returns across multiple financial instruments. Multiple volatility responses are investigated, and theoretical corrections are derived under the assumption that the log returns follow a normal distribution. Performance measures that are independent of the long-term volatility profile are explored and tested. Well-established volatility forecasting methods, such as moving average and GARCH (p,q) models, are implemented and validated on multiple volatility responses. The obtained results reveal no significant difference in the performances between the moving average and GARCH (1,1) volatility forecast. However, the observed non-zero bias and a separate analysis of the distribution of the log returns reveal that the theoretically derived corrections are insufficient in correcting the not-normally distributed log returns. Furthermore, it is observed that there is a high dependency of abslute performances on the considered evaluation period, suggesting that comparisons between periods should not be made. This study is limited by the fact that the bootstrapped confidence regions are ill-suited for determining significant performance differences between forecasting methods. In future work, statistical significance can be gained by bootstrapping the difference in performance measures. Furthermore, a more in-depth analysis is needed to determine more appropriate theoretical corrections for the volatility responses based on the observed distribution of the log returns. This will increase the overall forecasting performance and improve the overall quality of the evaluation framework. / I detta arbete utforskas grunderna för utvärdering av prestandan av volatilitetsprognoser och ett matematiskt ramverk skapas för att bestämma den övergripande prestandan baserat på observerade dagliga avkastningar för flera finansiella instrument. Ett antal volatilitetsskattningar undersökts och teoretiska korrigeringar härleds under antagandet att log-avkastningen följer en normalfördelningen. Prestationsmått som är oberoende av den långsiktiga volatilitetsprofilen utforskas och testas. Väletablerare metoder för volatilitetsprognostisering, såsom glidande medelvärden och GARCH-modeller, implementeras och utvärderas mot flera volatilitetsskattningar. De erhållna resultaten visar att det inte finns någon signifikant skillnad i prestation mellan prognoser producerade av det glidande medelvärdet och GARCH (1,1). Det observerade icke-noll bias och en separat analys av fördelningen av log-avkastningen visar dock att de teoretiskt härledda korrigeringarna är otillräckliga för att fullständigt korrigera volatilitesskattningarna under icke-normalfördelade log-avkastningar. Dessutom observeras att det finns ett stort beroende på den använda utvärderingsperioden, vilket tyder på att jämförelser mellan perioder inte bör göras. Denna studie är begränsad av det faktum att de använda bootstrappade konfidensregionerna inte är lämpade för att fastställa signifikanta skillnader i prestanda mellan prognosmetoder. I framtida arbeten behövs fortsatt analys för att bestämma mer lämpliga teoretiska korrigeringar för volatilitetsskattningarna baserat på den observerade fördelningen av log-avkastningen. Detta kommer att öka den övergripande prestandan och förbättra den övergripande kvaliteten på prognoserna.

在效率市場支配財務理論數十年後，市場上發現許多違反傳統訂價理論與理性假設的現象，以心理學為基礎的行為財務學因而掘起，將投資人之主觀行為及心理因素納入決策分析之考量。本研究便是以台灣股票型共同基金為研究對象，探討行為財務學中的錯置效果，了解是否台灣之股票型共同基金存在“急售利得，惜售損失”的現象。 / 本研究首先以Odean模型之概念，計算基金投資之已實現利得比率與已實現損失比率，再用兩者之差形成錯置效果之代理變數：Disposition Spread (DISP)，當DISP為正時，表示樣本基金存在錯置效果傾向，偏好實現利得。接著計算基金之Jensen’s Alpha，用以代表基金績效，利用迴歸模型觀察基金績效與錯置效果間之關聯性。最後再進一步透過DISP分成五級，觀察錯置效果是否存在持續性。 / 研究結果發現，台灣的股票型共同基金不存在錯置效果之傾向，不論是整體基金而言，或是分類觀察之，皆不存在錯置效果之傾向。但是總樣本觀察值中，有33%的比例出現正的DISP值，因此無法斷言共同基金完全不受錯置效果之影響。而錯置效果與基金績效間，則是存在顯著的負相關，即錯置效果越明顯者，其績效表現越差。普遍而言，台灣股票型共同基金錯置效果不存在顯著的持續性，每一期的基金DISP在各分級變動機率均約在20%上下。 / For several decades, financial literature was dominated by the idea of efficient market. However, we can find many phenomena which violate traditional pricing model or the hypothesis of rational investors. That’s why behavioral finance arises. Behavioral finance takes investors’ subjective and mental factors into account while talking about their decision making process. Based on behavioral finance, this study examines the disposition effect of Taiwan equity mutual funds. We want to know if Taiwan equity mutual funds appear to realize gains more readily than losses. / This study follows Odean model analyzing disposition effect by first calculating proportion of gains realized (PGR) and proportion of losses realized (PLR) of equity mutual funds. Then form the disposition effect proxy, Disposition Spread (DISP), by measuring the difference between PGR and PLR. While positive DISP existed means that sample funds exhibit a propensity to sell their winning stocks and hold on to their losers. Furthermore, we want to know whether the disposition effect influences the performance of mutual funds. Finally, separating samples in to five groups by DISP, we want to figure out if funds exists consistency in disposition ranking. / On average, mutual funds appear to realize losses more readily than gains. However, about 33% of the sample observations exhibit disposition effect. The disposition effect is negatively related to fund performance. Generally speaking, Taiwan equity mutual funds do not have consistency in disposition ranking.

This thesis investigates the modelling and forecasting of multivariate volatility and dependence in financial time series. The first paper proposes a new model for forecasting changes in the term structure (TS) of interest rates. Using the level, slope and curvature factors of the dynamic Nelson-Siegel model, we build a time-varying copula model for the factor dynamics allowing for departure from the normality assumption typically adopted in TS models. To induce relative immunity to structural breaks, we model and forecast the factor changes and not the factor levels. Using US Treasury yields for the period 1986:3-2010:12, our in-sample analysis indicates model stability and we show statistically significant gains due to allowing for a time-varying dependence structure which permits joint extreme factor movements. Our out-of-sample analysis indicates the model's superior ability to forecast the conditional mean in terms of root mean square error reductions and directional forecast accuracy. The forecast gains are stronger during the recent financial crisis. We also conduct out-of-sample model evaluation based on conditional density forecasts. The second paper introduces a new class of multivariate volatility models that utilizes high-frequency data. We discuss the models' dynamics and highlight their differences from multivariate GARCH models. We also discuss their covariance targeting specification and provide closed-form formulas for multi-step forecasts. Estimation and inference strategies are outlined. Empirical results suggest that the HEAVY model outperforms the multivariate GARCH model out-of-sample, with the gains being particularly significant at short forecast horizons. Forecast gains are obtained for both forecast variances and correlations. The third paper introduces a new class of multivariate volatility models which is easy to estimate using covariance targeting. The key idea is to rotate the returns and then fit them using a BEKK model for the conditional covariance with the identity matrix as the covariance target. The extension to DCC type models is given, enriching this class. We focus primarily on diagonal BEKK and DCC models, and a related parameterisation which imposes common persistence on all elements of the conditional covariance matrix. Inference for these models is computationally attractive, and the asymptotics is standard. The techniques are illustrated using recent data on the S&P 500 ETF and some DJIA stocks, including comparisons to the related orthogonal GARCH models.