This essay investigates how realized variance affects the GARCH-models (GARCH, EGARCH, GJRGARCH) when added as an external regressor. The GARCH models are estimated with three different distributions; Normal-, Student’s t- and Normal inverse gaussian distribution. The results are ambiguous - the models with realized variance improves the model fit, but when applied to forecasting, the models with realized variance are performing similar Value at Risk predictions compared to the models without realized variance.

本文旨在探討具有捕捉交易密集度特性的波動率測度模型是否能幫助投資者改 善其資產配置的決策。因此，本文分別考量了利用兩種不同價格抽樣方式所計算 出來的實現波動率 (realized volatility) 模型： (1) 日曆時間抽樣法 (calendar time sampling scheme) 與 (2) 交易次數時間抽樣法 (transaction time sampling scheme)。相較於另一廣為應用的一般化自我迴歸條件異質變異 (Generalized Autoregressive Conditional Heteroskedasticity) 模型而言，這兩種實現波動率模型的優點除了在於它們可以捕捉日內資產報酬率的動態變化之外，交易次數時間抽樣法更可以另外捕捉市場的交易密集度。因此利用交易次數間抽樣法所計算出的實現波動率相對提供給投資者較多的訊息。本文利用了West, Edison and Cho (1993) 所提出的資產組合期望效用模型衡量三種波動率測度的預測績效：(1) 實現波動率 - 日曆時間抽樣法 (2) 實現波動率 - 交易次數時間抽樣法 (3) 指數型一般化自我迴歸條件異質變異 (Exponential Generalized Autoregressive Conditional Heteroskedasticity)。我們的實證結果發現，只有在投資者風險趨避係數越小的條件下，此三種波動率測度模型兩兩之間才有較大的期望效用差距；另外，有趣的是，當市場存在異常的交易波動現象時，交易次數時間抽樣法下的實現波動率所產生的期望效用值總是不輸給另外兩種波動率測度模型的結果。 / This paper examines whether volatility measures that account for trading intensity would help investors make better decisions in their asset allocation. Specifically, we consider two versions of realized volatility (RV), namely, one (RV-C) constructed by regular calendar time sampling, and the other one (RV-T) constructed by transaction time sampling. Comparing to models in the GARCH family, both of these two RVs can capture intraday variations of asset return dynamics. In particular, the RV-T incorporates intraday trading intensity, and hence provides even more valuable information for investors. With the utility-based approach developed by West, Edison, and Cho (1993), we compare the predictive performance of RV-C, RV-T, and the EGARCH model in terms of utility generated with each of these three volatility measures. Our empirical results show that the three measures differ from each other mostly when investors are less risk-averse. Most interestingly, the time-deformed RV-T weakly dominates the RV-C and the EGARCH model when the markets are extremely volatile.

The development of mobile services in the exhibition industry has become a popular issue in a mature internet environment. To successfully implement mobile services in the exhibition industry, exhibitors must be adequately involved in the unprecedented innovation activities. However, for exhibitors to buy into the service, it is essential for them to perceive the value of the service and actually achieve that level of value. With this in mind, this research aims to explore the value of mobile service investment and related value barriers from the perspective of exhibitors. We use the limit-to-value framework to examine the valuation process for mobile services in the context of the exhibition industry and focus on exhibitors in particular. This study can help us to understand the critical value-discounting factors and the valuation process for exhibitors as they consider adopting and using innovative mobile services in the exhibition industry.

Στην παρούσα διδακτορική διατριβή, με βάση την ηλεκτρομαγνητική θεωρία,παρουσιάζεται μία μεθοδολογία για τη μοντελοποίηση πολύθυρων κεραιών κατά την κατάσταση εκπομπής και λήψης τους, δύο στοχαστικές μεθοδολογίες για την αξιολόγησή τους κατά τη λειτουργία τους σε συστήματα διαφορισμού λήψης και μία στοχαστική μεθοδολογία για την περίπτωση που αυτές λειτουργούν σε συστήματα πολλαπλών εισόδων πολλαπλών εξόδων.Οι πολύθυρες κεραίες μοντελοποιούνται στις καταστάσεις εκπομπής και λήψης τους χρησιμοποιώντας είτε τον πίνακα διανυσμάτων ενεργών μηκών ή τον πίνακα αποτελεσματικών ενεργών μηκών. Ο πρώτος τρόπος είναι προσαρμοσμένος για ανάλυση με Ζ-παραμέτρους ενώ ο δεύτερος για ανάλυση με S-παραμέτρους.Η αξιολόγηση των πολύθυρων κεραιών κατα τη λειτουργία τους σε συστήματα διαφορισμού επιτυγχάνεται είτε με τη μέθοδο του πίνακα συνδιασποράς ή με μία υβριδική στοχαστική-ηλεκτρομαγνητική μεθοδολογία. Η πρώτη μεθοδολογία έχει χρησιμοποιηθεί αρκετά στη διεθνή βιβλιογραφία, ενώ η δεύτερη προτείνεται στην παρούσα διατριβή. Και οι δύο μέθοδοι λαμβάνουν υπόψη τους τόσο τις χαρακτηριστικές ιδιότητες των κεραιών όσο και τις ιδιότητες του περιβάλλοντος διάδοσης.Η αξιολόγηση των πολύθυρων κεραιών κατα τη λειτουργία τους σε συστήματα πολλαπλών εισόδων πολλαπλών εξόδων επιτυγχάνεται χρησιμοποιώντας μία γενική μεθοδολογία που βασίζεται σε βασικές αρχές ηλεκτρομαγνητισμού και κυκλωματικής ανάλυσης. Η συγκεκριμένη μεθοδολογία είναι προσαρμοσμένη για ανάλυση με S- παραμέτρους αλλά μπορεί να επεκταθεί και για ανάλυση με Ζ-παραμέτρους. Παρουσιάζεται, επιπλέον, η εφαρμογή της μεθοδολογίας σε κεραίες οι οποίες έχουν κοινό κέντρο φάσης. / Ιn this thesis a method for modeling multi-port antenna structures at both their transmitting and receiving operational modes and methods for their performance evaluation when operating in diversity and MIMO systems is demonstrated under the perspective of electromagnetics combined with stochastic analysis. The method for modeling multi-port antenna structures at both their transmitting and receiving operational modes is achieved using either the effective length matrix or the realized effective length matrix. The former way is convenient for Z-parameter analysis while the latter for S-parameter analysis. Two stochastic methodologies for the performance evaluation of diversity systems are presented. The first one is based on the covariance matrix of the received signals and has been used by many researchers worldwide. The second one, which has been developed in this thesis, combines electromagnetic modeling of multi-port antennas’ the reception mode with a stochastic model. A stochastic methodology for the performance evaluation of MIMO systems is also presented. The methodology has been developed in this thesis in order to be used for Sparameter analysis. Moreover this methodology is applied to model multiport antenna systems with common phase center.

本研究探討VIX 期貨價格所隱含的資訊對於S&P 500 指數波動度預測的解釋力。過去許多文獻主要運用線性預測模型探討歷史波動度、隱含波動度和風險中立偏態對於波動度預測的資訊內涵。然而過去研究顯示，波動度具有長期記憶與非線性的特性，因此本文主要研究非線性預測模型對於波動度預測的有效性。本篇論文特別著重在不同市場狀態下(高波動與低波動)的實現波動度及隱含波動度異質自我迴歸模型(HAR-RV-IV model)。因此，本研究以考慮馬可夫狀態轉化下的異質自我迴歸模型(MRS-HAR model)進行實證分析。 本研究主要目的有以下三點: (1) 以VIX期貨價格所隱含的資訊提升S&P 500波動度預測的準確性。(2) 結合風險中立偏態與VIX期貨的資訊內涵，進一步提升S&P 500 波動度預測的準確性。(3) 考慮狀態轉換後的波動度預測模型是否優於過去文獻的線性迴歸模型。 本研究實證結果發現: (1) 相對於過去的實現波動度及隱含波動度，VIX 期貨可以提供對於預測未來波動度的額外資訊。 (2) 與其他模型比較，加入風險中立偏態和VIX 期貨萃取出的隱含波動度之波動度預測模型，只顯著提高預測未來一天波動度的準確性。 (3) 考慮狀態轉換後的波動度預測模型優於線性迴歸模型。 / This paper explores whether the information implied from VIX futures prices has incremental explanatory power for future volatility in the S&P 500 index. Most of prior studies adopt linear forecasting models to investigate the usefulness of historical volatility, implied volatility and risk-neutral skewness for volatility forecasting. However, previous literatures find out the long-memory and nonlinear property in volatility. Therefore, this study focuses on the nonlinear forecasting models to examine the effectiveness for volatility forecasting. In particular, we concentrate on Heterogeneous Autoregressive model of Realized Volatility and Implied Volatility (HAR-RV-IV) under different market conditions (i.e., high and low volatility state). This study has three main goals: First, to investigate whether the information extracted from VIX futures prices could improve the accuracy for future volatility forecasting. Second, combining the information content of risk-neutral skewness and VIX futures to enhance the predictive power for future volatility forecasting. Last, to explore whether the nonlinear models are superior to the linear models. This study finds that VIX futures prices contain additional information for future volatility, relative to past realized volatilities and implied volatility. Out-of-sample analysis confirms that VIX futures improves significantly the accuracy for future volatility forecasting. However, the improvement in the accuracy of volatility forecasts is significant only at daily forecast horizon after incorporating the information of risk-neutral skewness and VIX futures prices into the volatility forecasting model. Last, the volatility forecasting models are superior after taking the regime-switching into account.

[pt] volatilidade dos ativos financeiros reflete uma reação prosseguida dos agentes a choques no passado ou alterações nas condições dos mercados determinam mudanças na dinâmica da variável? Enquanto modelos fracionalmente integrados vêm sendo extensamente utilizados como uma descrição adequada do processo gerador de séries de volatilidade, trabalhos teóricos recentes indicaram que mudanças estruturais podem ser uma relevante alternativa empírica para o fato estilizado de memória longa. O presente trabalho investiga o que alterações nos mercados significam nesse contexto, introduzindo variações de preços como uma possível fonte de mudanças no nível da volatilidade durante algum período, com grandes quedas (ascensões) nos preços trazendo regimes persistentes de variância alta (baixa). Uma estratégia de modelagem sistemática e flexível é estabelecida para testar e estimar essa assimetria através da incorporação de retornos acumulados passados num arcabouço não-linear. O principal resultado revela que o efeito é altamente significante - estima-se que níveis de volatilidade 25% e 50% maiores estão associados a quedas nos preços em períodos curtos - e é capaz de explicar altos valores de estimativas do parâmetro de memória longa. Finalmente, mostra-se que a modelagem desse efeito traz ganhos importantes para aplicações fora da amostra em períodos de volatilidade alta. / [en] Does volatility reflect lasting reactions to past shocks or changes in the markets induce shifts in this variable dynamics? In this work, we argue that price variations are an essential source of information about multiple regimes in the realized volatility of stocks, with large falls (rises) in prices bringing persistent regimes of high (low) variance. The study shows that this asymmetric effect is highly significant (we estimate that falls of different magnitudes over less than two months are associated with volatility levels 20% and 60% higher than the average of periods with stable or rising prices) and support large empirical values of long memory parameter estimates. We show that a model based on those findings significantly improves out of sample performance in relation to standard methods {specially in periods of high volatility.

Submitted by Ronaldo Gomes Dultra de Lima (ronaldo.lima@gvmail.br) on 2015-04-14T14:52:06Z No. of bitstreams: 1 Tese_Ronaldo_Dultra-de-Lima_(Versao_Final).pdf: 3656263 bytes, checksum: 7c89f0263113ebef5aa6650ec3026603 (MD5) / Approved for entry into archive by Pamela Beltran Tonsa (pamela.tonsa@fgv.br) on 2015-04-14T16:07:07Z (GMT) No. of bitstreams: 1 Tese_Ronaldo_Dultra-de-Lima_(Versao_Final).pdf: 3656263 bytes, checksum: 7c89f0263113ebef5aa6650ec3026603 (MD5) / Made available in DSpace on 2015-04-14T18:06:20Z (GMT). No. of bitstreams: 1 Tese_Ronaldo_Dultra-de-Lima_(Versao_Final).pdf: 3656263 bytes, checksum: 7c89f0263113ebef5aa6650ec3026603 (MD5) Previous issue date: 2015-03-11 / The literature has emphasized that absorptive capacity (AC) leads to performance, but in projects its influences still unclear. Additionally, the project success is not well understood by the literature, and AC can be an important mechanism to explain it. Therefore, the purpose of this study is to investigate the effect of absorptive capacity on project performance in the construction industry of São Paulo State. We study this influence through potential and realized absorptive capacity proposed by Zahra and George (2002). For achieving this goal, we use a combination of qualitative and quantitative research. The qualitative research is based on 15 interviews with project managers in different sectors to understand the main constructs and support the next quantitative phase. The content analysis was the technique used to analyze those interviews. In quantitative phase through a survey questionnaire, we collected 157 responses in the construction sector with project managers. The confirmatory factor analysis and hierarchical linear regression were the techniques used to assess the data. Our findings suggest that the realized absorptive capacity has a positive influence on performance, but potential absorptive capacity and the interactions effect have no influence on performance. Moreover, the planning and monitoring have a positive impact on budget and schedule, and customer satisfaction while risk coping capacity has a positive impact on business success. In academics terms, this research enables a better understanding of the importance of absorptive capacity in the construction industry and it confirms that knowledge application in processes and routines enhances performance. For management, the absorptive capacity enables the improvements of internal capabilities reflected in the increased project management efficiency. Indeed, when a company manages project practices efficiently it enhances business and project performance; however, it needs initially to improve its internal abilities to enrich processes and routines through relevant knowledge. / A literatura tem enfatizado que a capacidade de absorção (AC) leva ao desempenho, porém, na área de projetos sua influência ainda não está claramente estabelecida. Além disso, o sucesso de projeto também não é bem entendido pela literatura, e AC pode ser um dos mecanismos para explicá-lo. Portanto, o objetivo deste estudo é investigar o efeito da capacidade de absorção no desempenho do projeto na indústria de construção civil do Estado de São Paulo. Estudamos essa influência por meio das capacidades de absorção potencial e realizada propostas por Zahra and George (2002). Para atingir esse objetivo, usamos uma combinação de pesquisa qualitativa e quantitativa. A pesquisa qualitativa está baseada em 15 entrevistas com gerentes de projeto em diferentes setores visando entender os principais construtos e apoiar a fase quantitativa. A análise de conteúdo foi a técnica utilizada para analisar essas entrevistas. Já na fase quantitativa, realizada através de questionário eletrônico, foram coletadas 157 respostas junto aos gerentes de projeto no setor de construção civil. As técnicas utilizadas para analisar os dados foram a análise fatorial confirmatória e regressão linear hierárquica. Nossos resultados sugerem que a capacidade de absorção realizada tem relacionamento positivo com desempenho, porém, a capacidade de absorção potencial e o efeito de suas interações não têm qualquer influência sobre o mesmo. Além disso, o planejamento e monitoramento têm impacto positivo no orçamento e cronograma, e satisfação do cliente, enquanto que a capacidade de ação sobre riscos tem influência positiva sobre o sucesso do negócio. Em termos acadêmicos, esta pesquisa permite melhorar a compreensão da importância da capacidade de absorção na indústria da construção civil e confirma que a aplicação de conhecimentos em rotinas e processos melhoram o desempenho. Para a gestão, a capacidade de absorção possibilita que melhorias das capacidades internas reflitam no aumento da eficiência de gerenciamento de projetos. Realmente, quando a empresa gerencia suas práticas de projeto eficientemente melhora o desempenho do negócio e dos projetos. No entanto, ela precisa inicialmente melhorar suas capacidades internas visando purificar as rotinas e processos através de conhecimentos que são relevantes.

Submitted by Fabiola Costa (famedina06@hotmail.com) on 2010-08-24T14:18:56Z No. of bitstreams: 1 Dissertacao_Fabiola_Medina_Costa.pdf: 981365 bytes, checksum: 368c8b3a6a54c3a8e7c0f62130bcf2a3 (MD5) / Approved for entry into archive by Vitor Souza(vitor.souza@fgv.br) on 2010-08-24T14:39:21Z (GMT) No. of bitstreams: 1 Dissertacao_Fabiola_Medina_Costa.pdf: 981365 bytes, checksum: 368c8b3a6a54c3a8e7c0f62130bcf2a3 (MD5) / Made available in DSpace on 2010-08-24T17:42:48Z (GMT). No. of bitstreams: 1 Dissertacao_Fabiola_Medina_Costa.pdf: 981365 bytes, checksum: 368c8b3a6a54c3a8e7c0f62130bcf2a3 (MD5) Previous issue date: 2010-05-28 / This paper proposes the historical simulation model to calculate the VaR, considering return ajusted by the realized volatility measured from intraday returns. The database consists of five most liquid share among the different segments of Bovespa Index. For the proposed methodology we used two of the empirical theories of the empirical literature - adjusted historical simulation and realized volatility. The Kupiec tes and Christoffersen test are used to analized and veryfy the proposed methodology performance. / O presente trabalho propõe para o cálculo VaR o modelo de simulação histórica, com os retornos atualizados pela volatilidade realizada calculada a partir de dados intradiários. A base de dados consiste de cinco ações entre as mais líquidas do Ibovespa de distintos segmentos. Para a metodologia proposta utilizamos duas teorias da literatura empírica – simulação histórica ajustada e volatilidade realizada. Para análise e verificação do desempenho da metodologia proposta utilizamos o Teste de Kupiec e o Teste de Christoffersen.

[pt] A hipótese de normalidade é comumente utilizada na área de análise de risco para descrever as distribuições dos retornos padronizados pelas volatilidades. No entanto, utilizando cinco dos ativos mais líquidos na Bovespa, este trabalho mostra que tal hipótese não é compatível com medidas de volatilidades estimadas pela metodologia EWMA ou modelos GARCH. Em contraposição, ao extrair a informação contida em cotações intradiárias, a metodologia de volatilidade realizada origina retornos padronizados normais, potencializando ganhos no cálculo de medidas de Valor em Risco. Além disso, são caracterizadas as distribuições de volatilidades e correlações de ativos brasileiros e, em especial, mostra-se que as distribuições das volatilidades são aproximadamente lognormais, enquanto as distribuições das correlações são aproximadamente normais. A análise é feita tanto de um ponto de vista univariado quanto multivariado e fornece subsídio para a melhor modelagem de variâncias e correlações em um contexto de grande dimensionalidade. / [en] The normality assumption is commonly used in the risk management area to describe the distributions of returns standardized by volatilities. However, using five of the most actively traded stocks in Bovespa, this paper shows that this assumption is not compatible with volatilities estimated by EWMA or GARCH models. In sharp contrast, when we use the information contained in high frequency data to construct the realized volatilies measures, we attain the normality of the standardized returns, giving promise of improvements in Value at Risk statistics. We also describe the distributions of volatilities and correlations of the brazilian stocks, showing that the distributions of volatilities are nearly lognormal and the distribuitions of correlations are nearly Gaussian. All analysis is traced both in a univariate and a multivariate framework and provides background for improved high-dimensional volatility and correlation modelling in the brazilian stock market.

The thesis is focused on analyzing the offer of studies aimed on the public sector on the universities throughout the Czech Republic and the comparison of the its coverage within bachelor and master studies. In the theoretical part there is the explanation of the main parts of the public sector. The theory is explained by the definitions of terms which are closely related to this field. There is the explication of creation and existence of public sector. There are also mentioned characters and structure of public sector. The results of the complex research are stated in the practical part. The research covered all universities within the Czech Republic. The results brought out also other comparative perspectives. Anyway, the main goal was to confirm or to disprove the assumptions which emerge out of suppositions expected in this field. The main supposition is that public universities will dominate in the offer of these studies above the private universities.