Thesis (doctoral)--Universität Bonn), 2000. / Includes bibliographical references (p. 159-164).

Thesis (Ph. D.)--Northwestern University, 1972. / Typescript. Vita. Filmography of Donald Siegel: leaves 308-322. Includes bibliographical references (leaves 327-334). Also issued in print.

Konstanz, Univ., Diss., 1995. / Teilausg. der Druckausg., ohne Abb.

Thesis (Ph. D.)--Northwestern University, 1972. / Typescript. Vita. Filmography of Donald Siegel: leaves 308-322. Includes bibliographical references (leaves 327-334).

Since arbitrage-free is a desirable theoretical feature in a healthy financial market, many efforts have been made to construct arbitrage-free models for yield curves. However, little attention is paid to review if such restriction will improve yield forecast. We evaluate the importance of arbitrage-free restriction on dynamic Nelson-Siegel term structure when forecasting yield curves. We find that it doesn’t help. We also compare these two Nelson-Siegel dynamic models with a benchmark dynamic model and show that Nelson-Siegel structure improve forecasts for long-maturity yields. / text

Thesis (M.A.)--Northern Michigan University, 2008. / "14-52844." Bibliography: leaves 59-60.

The Brjuno numbers play a fundamental role in the study of the 1-dimensional Complex Dynamics Theory. In this work we examine the proof of the Brjuno theorem by using elements of Number Theory. We also examine the topological version of the proof given by J. Yoccoz and his renormalization principle. If α ∈ ℝ\ℚ, we also describe how the existence of a Siegel disk at the origin for the polynomial P(𝑧) = exp(2πiα)·(𝑧 − 𝑧²) implies the linearization of any germ of the form 𝑓(𝑧) = exp(2πiα)·𝑧 + 𝑂(𝑧²). / Master of Science

Neste trabalho, tínhamos por objetivo propor um modelo dinâmico de estrutura a termo de taxas de juros com variáveis macroeconômicas baseado na formulações de Diebold e Li (2006) e Nelson e Siegel (1987) (DNS). A estrutura de estimação proposta permite utilizar dados de frequências distintas, combinando observações diárias de curvas de juros e mensais de variáveis macroeconômicas de interesse através de uma estrutura MIDAS - Mixed Data Sampling. Também utilizamos uma estrutura de volatilidade estocástica multivariada para os fatores latentes e variáveis macroeconômicas e também permitimos que o parâmetro de decaimento do modelo DNS varie no tempo, permitindo capturar mudanças na estrutura de volatilidade condicional e no formato das curvas em períodos longos. O procedimento de estimação é baseado em métodos Bayesianos usando Markov Chain Monte Carlo. Aplicamos este modelos para a curva de juros de títulos do Tesouro Americano entre 1997 e 2011. Os resultados indicam que incorporação de informações diárias e mensais em um mesmo modelo permite ganhos significantes de ajuste, superando as estimativas usuais baseadas em modelos sem informações macroeconômicas e nos métodos usuais de estimação do modelo de Diebold e Li (2006) / In this present work, we propose a dynamic model for the term structure of interest rates with macroeconomic variables based on Diebold e Li (2006)\'s and Nelson e Siegel (1987)\'s researches. The estimation procedure we intend to build allows time series data sampled at different frequencies, mixing daily observations of yield curves and monthly observations of macroeconomic variable through a Mixed Data Sampling (MIDAS) regression. We also make use of a multivariate stochastic volatility structure for the latent factors and allow the parameter that governs the exponential decay rate to vary trough time, which enables us to capture changes both in the conditional volatility structure and in the curve\'s shapes during long periods. The estimation procedure is based on Baeysian inference trough the usage of of Markov Chain Monte Carlo (MCMC) method. We applied these models to the U.S. Treasure bonds\' yield curve from 1997 to 2011. The results denote that joining daily and monthly information into the same model allows significant gains on fitting these models to the term structure, overcoming the usual estimates based on models without macroeconomics information and on regular estimation methods of Diebold e Li (2006)\'s model.

Neste trabalho, tínhamos por objetivo propor um modelo dinâmico de estrutura a termo de taxas de juros com variáveis macroeconômicas baseado na formulações de Diebold e Li (2006) e Nelson e Siegel (1987) (DNS). A estrutura de estimação proposta permite utilizar dados de frequências distintas, combinando observações diárias de curvas de juros e mensais de variáveis macroeconômicas de interesse através de uma estrutura MIDAS - Mixed Data Sampling. Também utilizamos uma estrutura de volatilidade estocástica multivariada para os fatores latentes e variáveis macroeconômicas e também permitimos que o parâmetro de decaimento do modelo DNS varie no tempo, permitindo capturar mudanças na estrutura de volatilidade condicional e no formato das curvas em períodos longos. O procedimento de estimação é baseado em métodos Bayesianos usando Markov Chain Monte Carlo. Aplicamos este modelos para a curva de juros de títulos do Tesouro Americano entre 1997 e 2011. Os resultados indicam que incorporação de informações diárias e mensais em um mesmo modelo permite ganhos significantes de ajuste, superando as estimativas usuais baseadas em modelos sem informações macroeconômicas e nos métodos usuais de estimação do modelo de Diebold e Li (2006) / In this present work, we propose a dynamic model for the term structure of interest rates with macroeconomic variables based on Diebold e Li (2006)\'s and Nelson e Siegel (1987)\'s researches. The estimation procedure we intend to build allows time series data sampled at different frequencies, mixing daily observations of yield curves and monthly observations of macroeconomic variable through a Mixed Data Sampling (MIDAS) regression. We also make use of a multivariate stochastic volatility structure for the latent factors and allow the parameter that governs the exponential decay rate to vary trough time, which enables us to capture changes both in the conditional volatility structure and in the curve\'s shapes during long periods. The estimation procedure is based on Baeysian inference trough the usage of of Markov Chain Monte Carlo (MCMC) method. We applied these models to the U.S. Treasure bonds\' yield curve from 1997 to 2011. The results denote that joining daily and monthly information into the same model allows significant gains on fitting these models to the term structure, overcoming the usual estimates based on models without macroeconomics information and on regular estimation methods of Diebold e Li (2006)\'s model.

Nous étudions les constantes de Siegel–Veech pour les surfaces plates et leurs liens avec les volumes de strates d'espaces de modules de différentielles quadratiques. Les constantes de Siegel–Veech donnent l'asymptotique du nombre de géodésiques périodiques dans les surfaces plates. Pour certaines surfaces plates, de telles géodésiques correspondent aux trajectoires périodiques dans les billiards rationnels correspondants. Les constantes de Siegel–Veech sont fortement reliées à la dynamique du flot géodésique dans les espaces de modules correspondants, par la formule d'Eskin–Kontsevich–Zorich exprimant la somme des exposants de Lyapunov du fibré de Hodge le long du flot de Teichmüller en fonction de la constante de Siegel–Veech pour la strate considérée et d'un terme combinatoire explicite. Cette dynamique est liée à la dynamique du flot linéaire dans la surface plate de départ par un procédé de renormalisation. En utilisant certaines propriétés de cette dynamique nous montrons un critère qui détermine quand une courbe complexe plongée dans l'espace de module des surfaces de Riemann munie d'un sous-fibré en droites du fibré de Hodge est une courbe de Teichmüller. Nous étudions certains rapports de constantes de Siegel–Veech et en déduisons des informations géométriques sur les régions périodiques dans les surfaces plates. Les liens entre les constantes de Siegel–Veech et les volumes d'espaces de modules ont été étudiés complètement dans le cas abélien par Eskin, Masur et Zorich, et dans le cas quadratique en genre zéro par Athreya, Eskin et Zorich. Nous généralisons ces résultats au cas quadratique en genre supérieur, en utilisant la description des configurations de liens selles produite par Masur et Zorich. Nous calculons de façon explicite certains volumes de strates de petite dimension. / We study Siegel–Veech constants for flat surfaces and their links with the volumes of some strata of moduli spaces of quadratic differentials. Siegel–Veech constants give the asymptotics of the number of periodic geodesics in flat surfaces. For certain flat surfaces such geodesics correspond to periodic trajectories in related rational billiards. Siegel–Veech constants are strongly linked to the dynamics of the geodesic flow in related moduli spaces by the formula of Eskin–Kontsevich–Zorich, giving the sum of the Lyapunov exponents for the Hodge bundle along the Teichmüller geodesic flow in terms of the Siegel–Veech constant for the corresponding stratum and an explicit combinatorial expression. This dynamics is related to the dynamics of the linear flow in the original flat surface by a renormalization process. Using some properties of this dynamics we prove a criterion to detect whether a complex curve, embedded in the moduli space of Riemann surfaces and endowed with a line subbundle of the Hodge bundle, is a Teichmüller curve. We study ratios of Siegel–Veech constants and deduce geometric informations about the periodic regions in flat surfaces. The links between Siegel–Veech constants and volumes of moduli spaces were completely studied by Eskin, Masur and Zorich in the Abelian case, and by Athreya, Eskin and Zorich in the quadratic case in genus zero. We generalize their results to the quadratic case in higher genus, using the description of configurations of saddle-connections performed by Masur and Zorich. We provide explicit computations of volumes of some strata of low dimension.