We consider a risk averse entrepreneur who approaches a diversified venture capitalist (VC) for financing of a project with positive potential return. We develop several models that capture key features of the venture financing, including staged investment, VC oversight costs and agency conflicts. The contract between the VC and the EN includes risk-free and pay-performance sensitive compensation. Moral hazard arises because the EN must exert effort for the project to succeed. Our model is novel in that it also allows for asymmetric beliefs about project quality due to the EN's optimism even when the VC and EN face symmetric information. We first analyze the VC-EN relationship when the VC has bargaining power. We characterize the equilibrium levels for the pay-performance sensitivities, investment and effort over time and show they can be either increasing or decreasing or initially increasing and then decreasing. We find that asymmetric beliefs and risk aversion have opposite effects on the VC-EN relationship. When the EN is moderately more optimistic than the VC, he accepts more risk and exerts more effort and the VC responds with more investment. In contrast, risk aversion reduces effort and investment. Our model predicts a performance-sensitive investment policy where critical milestones must be achieved for investment to continue. These milestones increase with the risk aversion and decrease with the asymmetry in beliefs. Consequently, project duration increases with asymmetric beliefs and decreases with risk aversion. We calibrate this core model to empirical data and use numerical analysis to demonstrate that the technical and systematic risks have opposite effects. The VC's payoff and the project's value and duration increase with technical risk and decrease with systematic risk. We analyze the relationship when the EN has bargaining power, and find that the equilibrium and the corresponding implications for venture financing do change. In this setting, the negative effects due to risk aversion are more pronounced. We also find that if the EN's effort cannot be observed by the VC, then the pay-performance sensitivities, investment and effort all increase.

I consider continuous time asset pricing models with stochastic differential utility incorporating decision makers' concern with ambiguity on true probability measure. In order to identify and estimate key parameters in the models, I use a novel econometric methodology developed recently by Park (2008) for the statistical inference on continuous time conditional mean models. The methodology only imposes the condition that the pricing error is a continuous martingale to achieve identification, and obtain consistent and asymptotically normal estimates of the unknown parameters. Under a representative agent setting, I empirically evaluate alternative preference specifications including a multiple-prior recursive utility. My empirical findings are summarized as follows: Relative risk aversion is estimated around 1.5-5.5 with ambiguity aversion and 6-14 without ambiguity aversion. Related, the estimated ambiguity aversion is both economically and statistically significant and including the ambiguity aversion clearly lowers relative risk aversion. The elasticity of intertemporal substitution (EIS) is higher than 1, around 1.3-22 with ambiguity aversion, and quite high without ambiguity aversion. The identification of EIS appears to be fairly weak, as observed by many previous authors, though other aspects of my empirical results seem quite robust. Next, I develop an approach to test for martingale in a continuous time framework. The approach yields various test statistics that are consistent against a wide class of nonmartingale semimartingales. A novel aspect of my approach is to use a time change defined by the inverse of the quadratic variation of a semimartingale, which is to be tested for the martingale hypothesis. With the time change, a continuous semimartingale reduces to Brownian motion if and only if it is a continuous martingale. This follows immediately from the celebrated theorem by Dambis, Dubins and Schwarz. For the test of martingale, I may therefore see if the given process becomes Brownian motion after the time change. I use several existing tests for multivariate normality to test whether the time changed process is indeed Brownian motion. I provide asymptotic theories for my test statistics, on the assumption that the sampling interval decreases, as well as the time horizon expands. The stationarity of the underlying process is not assumed, so that my results are applicable also to nonstationary processes. A Monte-Carlo study shows that our tests perform very well for a wide range of realistic alternatives and have superior power than other discrete time tests.

Cette thèse est pour le but final d’estimer avec succès un indice d’inflation sous-jacente donnant les meilleures prévisions de l’inflation au Vietnam. D’un point de vue méthodologie, cette thèse s’appuie sur les démarches qualitatives afin de mesurer un indice d’inflation sous-jacente pour l’économie vietnamienne. Les différentes méthodes pour mesurer l’inflation sous-jacente ont été utilisées. La structure de cette thèse est établie en accord étroitement avec nos objectifs de recherche. L’introduction générale présente un aperçu général du sujet de recherche. Le chapitre 1 est à l’appui sur l’explication de la nature de l’inflation sous-jacente. Les chapitres 2 et 3 portent sur les mesures de l’inflation sous-jacente et les applications dans le cas du Vietnam. Les mesures statistiques – qui sont familière dans les banques centrales à travers le monde – sont reportées dans le chapitre 2. Le chapitre 3 présente les modèles économétriques qui aident à estimer l’inflation sous-jacente (le modèle SVAR de Quad-Vahey, le modèle à tendances communes et le modèle à composantes inobservables). Chaque mesure est également étudiée et reportée dans le processus suivant : d’abord, la notion d’inflation sous-jacente ; puis, la littérature de base de cette notion d’inflation sous-jacente ; ensuite, les techniques d’estimation de l’inflation sous-jacente et enfin, l’application de cette mesure dans le cas du Vietnam. Les indices d’inflation sous-jacente obtenus aux chapitres 2 et 3 sont examinés, analysés et comparés les uns aux autres. Les tests sont reportés dans le chapitre 4. La conclusion générale résume les résultats finaux de ce travail de recherche.Le résultat officiel de ce travail est un ensemble de dix indices d’inflation sous-jacente qui satisfont à toutes les propriétés attendues et qui semblent optimaux pour la prévision d’inflation. Un autre résultat qui va au-delà de nos attentes, est que parmi ces dix indices, l’un d’entre eux possède un double fonction, à savoir un indice prédictif de l’inflation et un indice de référence de l’inflation. Cet indice possède un pouvoir prédictif élevé et semble pouvoir être largement accepté par le grand publie comme leur indice de référence. Un autre apport supplémentaire de cette thèse est les remarques concernant la technique d’estimation de l’inflation sous-jacente appropriée dans le cas du Vietnam. / This thesis focuses on concepts, structures and evaluation of core inflation index for the Vietnam economy. The final purpose of the research is to estimate the core inflation index which enable to provide the best prediction of the Vietnam inflation. From the point of view of methodology, the thesis highlights on the qualitative approaches in order to measure the core inflation index for the Vietnam economy. The different methods have been used as follows: First, the pure statistical measurements such as trimmed mean, exclusion, median, weighted median and reduced - weighted average... and a more sophisticated method, i.e. the dynamic factor model. This model helps to capture the dynamic of an underlying factor which generates the tendency of inflation. Secondly, the three econometric models include SVAR model developed by Quah-Vahey, common trend model and unobservable components model. These models facilitate to better integrate the macroeconomic theory into measurement of core inflation. The later model is selected to overcome the disadvantages of the former one.The structure of the thesis is established in accordance with our research objectives. The introduction presents a brief overview of the research subject. The first chapter discusses the core inflation nature. The chapters 2 and 3 analyze the core inflation measurements and their applications in the case of Vietnam. The statistic measures that are more familiar with central banks in the world are presented in the chapter 2. The third one presents in details the three econometric models. Each measure is studied and presented in the following process: (i) the notion of core inflation, (ii) its theorical background (iii) the estimation techniques and (iv) the application of these measures into the Vietnam data.The obtained core inflation indexes are examined, analyzed and compared to each other. Its results are reported in the chapter 4. The general conclusion sums up the final results of this research. The official result of the study is a set of ten core inflation indexes which responds all the expected properties and seem optimal for the inflation forecasts. Another result that goes beyond our expectation is that one of these ten indexes has a dual function i.e. a good predictor of inflation and a public index of inflation. A supplementary contribution of this thesis is a list of important remarks concerning the estimation technique of core inflation that is applicable in the case of Vietnam.

Submitted by Rosivalda Pereira (mrs.pereira@ufma.br) on 2017-07-03T18:32:31Z No. of bitstreams: 1 SelmoRodrigues.pdf: 1374245 bytes, checksum: 96afcfa04ba5cc18c4db55e4c92cdf23 (MD5) / Made available in DSpace on 2017-07-03T18:32:31Z (GMT). No. of bitstreams: 1 SelmoRodrigues.pdf: 1374245 bytes, checksum: 96afcfa04ba5cc18c4db55e4c92cdf23 (MD5) Previous issue date: 2017-01-26 / Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES) / This paper proposes a new methodology for modelling based on an evolving Neuro-Fuzzy Network Takagi-Sugeno (NFN-TS) for seasonal time series forecasting. The NFN-TS use the unobservable components extracted from the time series to evolve, i.e., to adapt and to adjust its structure, where the number of fuzzy rules of this network can increase or reduced according the components behavior. The method used to extract the components is a recursive version developed in this paper based on the Spectral Singular Analysis (SSA) technique. The proposed methodology has the principle divide to conquer, i.e., it divides a problem into easier subproblems, forecasting separately each component because they present dynamic behaviors that are simpler to forecast. The consequent propositions of fuzzy rules are linear state space models, where the states are the unobservable components data. When there are available observations from the time series, the training stage of NFN-TS is performed, i.e., the NFN-TS evolves its structure and adapts its parameters to carry out the mapping between the components data and the available sample of original time series. On the other hand, if this observation is not available, the network considers the forecasting stage, keeping its structure fixed and using the states of consequent fuzzy rules to feedback the components data to NFN-TS. The NFN-TS was evaluated and compared with other recent and traditional techniques for forecasting seasonal time series, obtaining competitive and advantageous results in relation to other papers. This paper also presents a case study of proposed methodology for real-time detection of anomalies based on a patient’s electrocardiogram data. / Esse trabalho propõe uma nova metodologia para modelagem baseada em uma Rede Neuro- Fuzzy Takagi-Sugeno (RNF-TS) evolutiva para a previsão de séries temporais sazonais. A RNF-TS considera as componentes não-observáveis extraídas a partir da série para evoluir, ou seja, adaptar e ajustar sua estrutura, sendo que a quantidade de regras fuzzy dessa rede pode aumentar ou ser reduzida conforme o comportamento das componentes. O método utilizado para extrair as componentes é uma versão recursiva desenvolvida nessa pesquisa baseada na técnica de Análise Espectral Singular (AES). A metodologia proposta tem como princípio dividir para conquistar, isto é, dividir um problema em subproblemas mais fáceis de lidar, realizando a previsão separadamente de cada componente já que apresentam comportamentos dinâmicos mais simples de prever. As proposições do consequente das regras fuzzy são modelos lineares no espaço de estados, sendo que os estados são os próprios dados das componentes não-observáveis. Quando há observações disponíveis da série temporal, o estágio de treinamento da RNF-TS é realizado, ou seja, a RNF-TS evolui sua estrutura e adapta seus parâmetros para realizar o mapeamento entre os dados das componentes e a amostra disponível da série temporal original. Caso contrário, se essa observação não está disponível, a rede aciona o estágio de previsão, mantendo sua estrutura fixa e usando os estados dos consequentes das regras fuzzy para realimentar os dados das componentes para a RNF-TS. A RNF-TS foi avaliada e comparada com outras técnicas recentes e tradicionais para previsão de séries temporais sazonais, obtendo resultados competitivos e vantajosos em relação a outras pesquisas. Este trabalho apresenta também um estudo de caso da metodologia proposta para detecção em tempo-real de anomalias baseada em dados de eletrocardiogramas de um paciente.

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I januari år 2013 införde IASB en ny standard (IFRS 13) med syftet att ge vägledning i hur verkligt värde bör beräknas och redovisas. Förvaltningsfastigheter är ett tillgångsslag som skall redovisas till verkligt värde antingen i värderingssyfte eller i upplysningssyfte. Förvaltningsfastigheter är fastigheter som innehas av ägaren för att generera hyresinkomster och/eller värdestegring. Den här studien syftar till att undersöka hur IFRS 13 har påverkat både värderingen och redovisningen av förvaltningsfastigheter hos svenska fastighetsbolag noterade på OMX Stockholm, Mid & Large Cap. I studien undersöks räkenskapsåren 2011–2014 för att försöka fånga utvecklingen och de förändringar som implementeringen av standarden givit upphov till. Syftet med IASB:s arbete är att harmonisera redovisningen globalt och därmed underlätta jämförelse av och förståelse för redovisning från olika delar av världen. Resultatet från vår studie indikerar att IFRS 13 inte har haft någon större inverkan på redovisningen av förvaltningsfastigheter samt att värderingstekniker och tillvägagångssätt vid värdering inte påverkats överhuvudtaget. Ett tydligt mönster som kan skönjas i studien är att fastighetsbolagen gärna väljer att värdera sina fastigheter baserat på en kassaflödesmodell som bygger på icke observerbara data i form av uppskattningar och egna antaganden. Detta trots att man i första hand skall använda information från tidigare transaktioner från likartade objekt när man uppskattar en förvaltningsfastighets värde. Icke observerbara data är något som bör undvikas i största möjliga utsträckning vid värdering till verkligt värde då det tillhör den lägsta nivån i den värderingshierarki som finns för verkligt värde i IFRS 13. Anledningen till detta är att data på de högre nivåerna (nivå 1&2) bygger på faktiska händelser och transaktioner. Icke observerbara data (nivå 3) bygger på bästa tillgängliga information då marknadsuppgifter från tidigare händelser och transaktioner saknas. För att undersöka hur bolagen har efterföljt IFRS 13 har ett par av upplysningskraven i standarden valts ut. Fastighetsbolagens årsredovisningar har sedan studerats och analyserats med dessa upplysningskrav som utgångspunkt. För att genomföra studien har all väsentlig information från bolagens årsredovisningar för samtliga räkenskapsår (2011-2014) sammanställts och jämförts. Därefter har insamlat material analyserats med hjälp av den teoretiska referensram som ligger till grund för studien. IFRS 13 är principbaserat vilket gör att standarden är öppen för tolkning. Det har medfört att den data som samlats in från fastighetsbolagens årsredovisningar också är öppen för tolkning. Enligt vår mening är det inte alltid en självklarhet exakt vad som krävs för att uppfylla kraven i en principbaserad standard. Enligt vår bedömning följer alla bolag som ingår i studien de upplysningskrav som finns att tillgå i IFRS 13. Hur standarden följs skiljer sig dock en del mellan bolagen. Den största skillnaden sedan införandet av standarden är att bolagen generellt lämnar mer information som rör värdering till verkligt värde. Studien har bidragit till insikt både i vad som påverkar värdering av förvaltningsfastigheter och hur varierande tolkningen av principbaserade standarder kan vara. En standard kan enligt vår studie uppfyllas på fler än ett sätt. / In January 2013 IASB introduced a new standard (IFRS 13) with the intention to give guidance on how to account for and calculate fair value. Investment property is an asset class that must be reported at fair value either for valuation purposes or for disclosure purposes. Investment properties are estates held by the owner to generate rental income and/or increase in value. This study aims at investigate how IFRS 13 has affected both the valuation and accounting of investment properties of Swedish real estate companies listed on OMX Stockholm, Mid & Large Cap. The study examines the fiscal years 2011-2014 in order to try to capture the development and the changes that the implementation of the standard has given rise to. The purpose of the IASB's work is to harmonize the financial reporting globally and thus facilitate comparison of understanding of accounting from different parts of the world. The results of our study indicate that IFRS 13 has not had a major impact on the reporting of investment properties and that valuation techniques and valuation procedures have not been affected at all. An obvious pattern that can be seen in the study is that real estate companies prefer to value their investment properties based on a cash flow model based on unobservable inputs like estimates and own assumptions. This in spite of the fact that information from previous transactions from similar items should be used primarily when estimating the value of an investment property. Unobservable inputs should be avoided to the greatest extent possible when fair value are calculated because it belongs to the lowest level in the hierarchy for fair value in IFRS 13. The reason for this is that data on the higher levels (levels 1&2) are based on actual events and transactions. Unobservable data (Level 3) are based on best available information as market data from past events and transactions are missing. To investigate how companies have applied IFRS 13, a pair of disclosure requirements in the standard have been sorted out. The real estate companies’ annual reports have been studied and analyzed with these disclosure requirements as a root. To complete the study, all essential information from the company's annual reports for all fiscal years (2011–2014) has been compiled and compared. Afterwards, collected material has been analyzed using the theoretical reference frame on which the study is based. Subseque IFRS 13 is principle based, which makes the standard open to interpretation. As a result, the data collected from the annual reports are also open to interpretation. In our opinion, it is not always clear exactly what is required to meet the requirements of a principle-based standard. According to our assessment, all companies included in the study follows the disclosure requirements in IFRS 13. However, the compliance of the standard differs between the companies. The main IV difference since the introduction of the standard is that the companies generally provide more information about fair value measurement. The study has provided insight into both what factors affecting valuation of investment properties and how different interpretation of principle-based standards can be. According to our study, a standard can be met in more than one way.

Dans ce travail, nous analysons le concept de manipulation à travers une théorie élargie qui inclut le réalisme des entités et la théorie causale de la manipulation. Dans une seconde étape, nous appliquons cette théorie à plusieurs expériences scientifiques. Cette thèse est articulée autour de quatre parties : Dans la Partie I nous exposons le concept de manipulation. Nous examinons le réalisme structurel en mettant l’accent sur ses difficultés concernant particulièrement les incertitudes ontologiques de la physique. Cet examen du réalisme structurel nous permettra de développer un réalisme des entités qui est susceptible de constituer une alternative au réalisme structurel.La partie II est consacrée aux aspects clés du réalisme des entités, c’est-à-dire ses fondements, ses arguments ainsi qu’une définition aussi précise que possible du concept de manipulation.Dans la partie III, nous élaborons une théorie générale de la manipulation/intervention qui est basée sur le réalisme des entités et la théorie de Woodward sur l’intervention, l’invariance et la profondeur de l’explication des évènements causaux. Nous allons développer trois éléments : 1-un système des conditions de l’intervention, 2- une typologie de l’intervention, 3-l’intervention probabiliste. Ce dernier type de l’intervention est applicable à l’expérience EPR. Dans la partie IV- Nous appliquons cette théorie à cinq expériences scientifiques : l’expérience EPR, l’expérience de l’électrodynamique quantique en cavité, l’expérience sur l’effet Zeeman, l’expérience du Tevatron (collisions de protons) et la dernière est non des moindres, est une expérience d’astrophysique (ondes gravitationnelles). Dans chacune de ces expériences, notre théorie a trouvé une application réussie. Toutes les conditions de l’intervention sont applicables sur les cinq expériences et une typologie bien définie de l’intervention a été élaborée et qui met en évidence les résultats de l’intervention dans les différentes séquences de ces expériences.Par conséquent, notre théorie de la manipulation reflète une utilité authentique et réelle dans différent domaines de la physique et de l’astrophysique. Un pareil résultat est important tenant compte du rôle de la manipulation expérimentale pour la science moderne. / In this work, we analyze the concept of manipulation through a comprehensive theory which includes the entity realism and the causal theory of manipulation. At the second stage, we implement this theory to several scientific experiments. It is divided into four parts:In Part I, we will have a long journey until we will reach the true concept of manipulation. We analyze the structural realism and we explore its difficulties regarding ontological problems of physics. Our survey of structural realism enables to open a new way to developing entity realism instead of structural realism.Part II will be dedicated to the core aspect of entity realism such as its foundations, its arguments and our aim to reach a global definition of manipulation concept.In Part III I will achieve my aim which is elaborating a global theory of manipulation/intervention based on entity realism and the Woodward theory of intervention, invariance and depth explanation of causal events. We will develop three items : 1- a system of intervention conditions 2-a typology of intervention, 3-probabilistic intervention. Such type of intervention is applicable to EPR experiment. In Part IV, we implement our theory to five scientific experiments: EPR experiment, electrodynamics cavity experiment, Zeeman effect experiment, Tevatron experiment (collision of protons) and last but not least an astrophysical experiment (gravitational waves).In each case, our theory is successful. All intervention conditions are applicable to our five experiments and a well defined typology of intervention is developed based on intervention results through different stages of those experiments. Therefore, the theory of manipulation shows a real and genuine application in different domains of physics and astrophysics. Such result is important regarding the role of manipulation in modern science.

Dans cette thèse, nous dépassons le cadre binaire de l’évaluation et nous nous plaçons dans celui de plusieurs traitements, à l’instar de Brodaty et al. [2001], Larson [2000], Imbens [1999]. Les estimations effectuées portent sur les politiques de l’emploi en vigueur en France pendant la période 1997-1999. Trois programmes sont étudies : CIE (Contrat Initiative Emploi) emploi subventionné dans le secteur marchand, CES (Contrat Emploi-Solidarité) création d’emploi dans le secteur non marchand et SIFE (Stage d’Insertion par la Formation et l’Emploi). L’efficacité de ces dispositifs est évaluée non seulement sur le taux de retour à l’emploi des bénéficiaires mais aussi sur divers autres critères qui répondent à différentes questions intéressantes économiquement et économétriquement : i) la politique active de l’emploi atteint-elle les demandeurs d’emploi les plus prioritaires parmi les prioritaires ? ii) Comment les entreprises utilisent-elles les programmes de la politique active (effet d’aubaine, de substitution,...) ? iii) Pouvons-nous mesurer la qualité d’un contrat aidé ? Comment évaluer l’efficacité relative d’un contrat aidé (plus spécifiquement) non marchand comparativement à celui du secteur marchand ?, impact marginal, effet propre, bien-être, , etc. / We evaluate the ALMP’s with a particular attention to the differentiation of impacts by categories of programmes and categories of beneficiaries. These two forms of heterogeneity can in fact lead to erroneous evaluations or too partial:i) The heterogeneity of programmes proposed, in particular their characteristics (type of contract, duration, remuneration, training, etc.) are an important source of complexity in behavior of self-selection of job seekers: behaviors can be multiples and strategic.ii) The heterogeneity of target-populations (low-skilled, youth, women, priority category, first-job seekers, etc.) is an important source of complexity in the behavior selection of employment advisor.There is finally no reason that different types of programmes have the same average effect on various public as well. We evaluate so ALMP’s on multiple criteria of effectiveness (heterogeneity of criteria).