A modelagem da estrutura de dependência é de grande importância em todos os ramos da economia onde há incerteza. Ela é um elemento crucial na análise de risco e para a tomada de decisão sob incerteza. As cópulas oferecem aos agentes que se deparam com este problema um poderoso e flexível instrumento para modelar a estrutura de dependência entre variáveis aleatórias e que é preferível ao instrumento tradicional baseado na correlação linear. Neste estudo, nós analisamos a dinâmica temporal da estrutura de dependência entre índices de mercados financeiros internacionais e propomos um novo procedimento para capturar a estrutura de dependência ao longo do tempo. Adicionalmente, estudamos alguns fatos estilizados sobre índices de mercados financeiros como a relação entre volume-volatilidade e retorno-volatilidade. / Modelling dependence is of key importance to all economic fields in which uncertainty plays a large role. It is a crucial element of risk analysis and decision making under uncertainty. Copulas offer economic agents facing uncertainty a powerful and flexible tool to model dependence between random variables and often are preferable to the traditional, correlation-based approach. In this work we analyze the time dynamics of the dependence structure between broad stock market indices and propose a novel procedure to capture dependence structure over time. Additionally, we study some stylized facts about stock market indexes such as volume-volatility and return-volatility relations.

A modelagem da estrutura de dependência é de grande importância em todos os ramos da economia onde há incerteza. Ela é um elemento crucial na análise de risco e para a tomada de decisão sob incerteza. As cópulas oferecem aos agentes que se deparam com este problema um poderoso e flexível instrumento para modelar a estrutura de dependência entre variáveis aleatórias e que é preferível ao instrumento tradicional baseado na correlação linear. Neste estudo, nós analisamos a dinâmica temporal da estrutura de dependência entre índices de mercados financeiros internacionais e propomos um novo procedimento para capturar a estrutura de dependência ao longo do tempo. Adicionalmente, estudamos alguns fatos estilizados sobre índices de mercados financeiros como a relação entre volume-volatilidade e retorno-volatilidade. / Modelling dependence is of key importance to all economic fields in which uncertainty plays a large role. It is a crucial element of risk analysis and decision making under uncertainty. Copulas offer economic agents facing uncertainty a powerful and flexible tool to model dependence between random variables and often are preferable to the traditional, correlation-based approach. In this work we analyze the time dynamics of the dependence structure between broad stock market indices and propose a novel procedure to capture dependence structure over time. Additionally, we study some stylized facts about stock market indexes such as volume-volatility and return-volatility relations.

Doctor of Philosophy / Department of Statistics / Haiyan Wang / Various tests have been created to compare the means of two populations in many scenarios and applications. The two-sample t-test, Wilcoxon Rank-Sum Test and bootstrap-t test are commonly used methods. However, methods for skewed two-sample data set are not well studied. In this dissertation, several existing two sample tests were evaluated and four new tests were proposed to improve the test accuracy under moderate sample size and high population skewness. The proposed work starts with derivation of a first order Edgeworth expansion for the test statistic of the two sample t-test. Using this result, new two-sample tests based on Cornish Fisher expansion (TCF tests) were created for both cases of common variance and unequal variances. These tests can account for population skewness and give more accurate test results. We also developed three new tests based on three transformations (T[subscript i] test, i = 1; 2; 3) for the pooled case, which can be used to eliminate the skewness of the studentized statistic. In this dissertation, some theoretical properties of the newly proposed tests are presented. In particular, we derived the order of type I error rate accuracy of the pooled two-sample t-test based on normal approximation (TN test), the TCF and T[subscript i] tests. We proved that these tests give the same theoretical type I error rate under skewness. In addition, we derived the power function of the TCF and TN tests as a function of the population parameters. We also provided the detailed conditions under which the theoretical power of the two-sample TCF test is higher than the two-sample TN test. Results from extensive simulation studies and real data analysis were also presented in this dissertation. The empirical results further confirm our theoretical results. Comparing with commonly used two-sample parametric and nonparametric tests, our new tests (TCF and Ti) provide the same empirical type I error rate but higher power.

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In studies where the response variable is measured on a ratio scale, a ratio of means or medians provides a standardized measure of effect size that is an alternative to the popular standardized mean difference. Confidence intervals for ratios of population means and medians in independent-samples designs and paired-samples designs are proposed as supplements to the independent-samples t test and paired-samples t test. The performance of the proposed confidence intervals are evaluated in a simulation study. The proposed confidence interval methods are extended to the case of a 2 × m factorial design that includes propensity score stratification and meta-analysis as special cases. R functions that implement the recommended confidence intervals are provided in the Supplemental Material file, available in the online version of this article, and are illustrated with several examples.

The passive force-deflection relationship for abutment walls is important for bridges subjected to thermal expansion and seismic forces, but no test results have been available for skewed abutments. To determine the influence of skew angle on the development of passive force, lab tests were performed on a wall with skew angles of 0º, 15º, 30º, and 45º. The wall was 1.26 m wide and 0.61 m high and the backfill consisted of dense compacted sand. As the skew angle increased, the passive force decreased substantially with a reduction of 50% at a skew of 30º. An adjustment factor was developed to account for the reduced capacity as a function of skew angle. The shape of the passive force-deflection curve leading to the peak force transitioned from a hyperbolic shape to a more bilinear shape as the skew angle increased. However, the horizontal displacement necessary to develop the peak passive force was typically 2 to 3.5% of the wall height. In all cases, the passive force decreased after the peak value, which would be expected for dense sand; however, at higher skew angles the drop in resistance was more abrupt than at lower skew angles. The residual passive force was typically about 35 to 45% lower relative to the peak force. Lateral movement was minimal due to shear resistance which typically exceeded the applied shear force. Computer models based on the log-spiral method, with apparent cohesion for matric suction, were able to match the measured force for the no skew case as well as the force for skewed cases when the proposed adjustment factor was used.

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<p dir="ltr">The computational campaign reported in this thesis focuses on a series of experiments at Mach 2.85 carried out in the 1980s at NASA Ames Research Center on a set of cylinder / skewed flare configurations designed to produce highly three-dimensional shockwave / boundary-layer interactions in the absence of end-wall effects. Computations carried out in that era were unable to match the experimental results using the numerical techniques, turbulence models, and grid resolution available at the time. In the present work, newer Reynolds-averaged Navier-Stokes and detached eddy simulation methods have been applied to these flows, and relatively good agreement has been obtained with the experimental data. Difficulty in capturing the correct separation bubble size was encountered with initial detached eddy simulations, but the introduction of resolved turbulence via a boundary layer trip produced much better results. This thesis reports on results obtained for four inclination angles (0 deg, 5 deg, 10 deg, and 23 deg) of the skewed flare. Detached eddy simulation is seen to be an economical alternative to large eddy simulation for capturing many features of large-scale separation unsteadiness over long time intervals at true Reynolds number.</p>