In this note we develop a Taylor rule based empirical exchange rate model for eleven major currencies that endogenously determines the number of structural breaks in the coefficients. Using a constant parameter specification and a standard time-varying parametermodel as competitors reveals that our flexible modeling framework yields more precise density forecasts for all major currencies under scrutiny over the last 24 years. / Series: Department of Economics Working Paper Series

We analyze the interaction between monetary policy in the US and the global economy proposing a new class of Bayesian global vector autoregressive models that accounts for time-varying parameters and stochastic volatility (TVP-SV-GVAR). Our results suggest that US monetary policy responds to shocks to the global economy, in particular to global aggregate demand and monetary policy shocks. On the other hand, US-based contractionary monetary policy shocks lead to persistent international output contractions and a drop in global inflation rates, coupled with rising interest rates in advanced economies and a real depreciation of currencies with respect to the US dollar. We find considerable evidence for heterogeneity in the spillovers across countries, as well for changes in the transmission of monetary policy shocks over time. (authors' abstract) / Series: Department of Economics Working Paper Series

This thesis consists of three papers that make independendet contributions to the field of financial economics. As such, the papers, Chapter 2, Chapter 3, and Chapter 4, can be read independently of each other. In Chapter 2, we construct a simple measure of the aggregate illiquidity of hedge fund portfolios, and show that it has strong in- and out-of-sample forecasting power for 72 portfolios of international equities, U.S. corporate bonds, and currencies, over the 1994 to 2011 period. The forecasting ability of hedge fund illiquidity for asset returns is, in most cases, greater than, and provides independent information relative to, well-known predictive variables for each of these asset classes. We construct a simple equilibrium model to rationalise our findings and empirically verify auxiliary predictions of the model. In Chapter 3, I analyse the risk-shifting of hedge funds. Since the information on hedge fund holdings is very restricted, researchers have used the variance of returns as a proxy for risk. I propose a new method for measuring the time-varying variance. I use this method to investigate whether equity long-short hedge funds engage in risk-shifting driven by their past performance relative to their peers. I find that hedge funds which have strongly underperformed or outperformed their peers in recent months increase their exposure to the core strategy, i.e. the equity long-short strategy, and to non-core strategies. The risk shifting is mitigated for hedge funds with long redemption periods. Chapter 4 contributes to the equity premium prediction literature. I improve the forecast performance of typical single variable predictive regressions used in the equity premium prediction literature through Bayesian priors derived from consumption-based asset pricing models. To implement these model-based priors, I develop a Bayesian procedure which is rooted in the macroeconometrics literature. I find that the model-based priors can increase the explanatory power, measured by the out-of-sample R², of the single variable predictive regressions by several percentage points.

Existing estimations of implicit inflation target are primarily based on the assumption of parameter stability over time horizon. This work relaxes this assumption and proposes alternative framework based on time-varying parameter model. We aim on behaviour of European Central Bank in order to compare its official proclamations of price stability levels with our implicit estimations. We will also examine how two pillar strategy of European Central Bank is practically used.

The dependence structures in financial markets count among the most frequently discussed topics in the recent literature. However, no general consensus on modeling of the cross-market linkages has been reached. This thesis analyses the dependence structure and contagion in the financial markets in Central and Eastern Europe. Tail dependence, symmetry and dynamics of the dependence structure are examined. A conditional copula framework extended by recently developed dynamic generalized autoregressive score (GAS) model is used to capture the conditional time-varying joint distribution of stock market returns. Considering the Czech, Croatian, Hungarian, Austrian and Polish stock market indices over the 2005-2012 period, we find that time-varying Student's t GAS copula provides the best fit. The results show, that the degree of dependence increases substantially during the global financial crisis, having a direct impact on portfolio optimization.

Submitted by PPG Engenharia El?trica (engenharia.pg.eletrica@pucrs.br) on 2018-03-26T18:49:00Z No. of bitstreams: 1 MATHEUS_SENNA_OLIVEIRA_DIS.pdf: 2367932 bytes, checksum: 927039b4746ebdc5d7da25318435b24a (MD5) / Approved for entry into archive by Tatiana Lopes (tatiana.lopes@pucrs.br) on 2018-04-06T17:26:05Z (GMT) No. of bitstreams: 1 MATHEUS_SENNA_OLIVEIRA_DIS.pdf: 2367932 bytes, checksum: 927039b4746ebdc5d7da25318435b24a (MD5) / Made available in DSpace on 2018-04-06T17:38:56Z (GMT). No. of bitstreams: 1 MATHEUS_SENNA_OLIVEIRA_DIS.pdf: 2367932 bytes, checksum: 927039b4746ebdc5d7da25318435b24a (MD5) Previous issue date: 2018-01-31 / Coordena??o de Aperfei?oamento de Pessoal de N?vel Superior - CAPES / Este documento apresenta um trabalho de disserta??o sobre o estudo de estrat?gias de controle para o seguimento eficiente de padr?es espirais. Estes padr?es podem ser aplicados em muitas ?reas, como por exemplo, a Microscopia de For?a At?mica, onde padr?es de referenciais r?pidos e suaves s?o requeridos. Para realizar com sucesso o seguimento destas refer?ncias, que s?o compostas de sinais senoidais de amplitude e frequ?ncia vari?vel, estrat?gias de controle avan?adas foram investigadas. O Princ?pio do Modelo Interno ? uma abordagem tradicional para o seguimento de sinais, mas ele n?o pode ser aplicado diretamente em sinais com frequ?ncia variante. Logo, o presente trabalho prop?s uma estrat?gia de controle robusto onde o Princ?pio do Modelo Interno foi aplicado como um Controlador Ressonante em uma estrutura aumentada e variante no tempo. O sistema aumentado e os valores da frequ?ncia foram organizados usando uma representa??o polit?pica e estruturados como um problema de otimiza??o sujeito a restri??es na forma de Desigualdades Matriciais Lineares. Esta s?ntese foi avaliada atrav?s de um conjunto de simula??es, usando um modelo num?rico de um Microsc?pio de For?a At?mica e um novo padr?o de refer?ncia para escaneamento apropriado. Al?m disso, usando a premissa que estes sinais de refer?ncia s?o aplicados m?ltiplas vezes, um Controle por Aprendizagem Iterativa tamb?m foi projetado para melhorar o desempenho do seguimento da estrat?gia principal proposta. Resultados num?ricos demonstraram que o controlador projetado atingiu resultados satisfat?rios, em compara??o com o controlador tradicional dispon?vel na ?rea. / This document presents a dissertation work regarding the study of control strategies for the efficient tracking of spiral patterns. Such patterns arise in many areas, as for example the Atomic Force Microscopy, where fast and smooth reference signals are required. In order to successfully track the above mentioned references, which are composed of amplitude and frequency-varying sinusoidal signals, advanced control strategies were investigated. The Internal Model Principle is a traditional approach to track reference signals, but it cannot be directly applied in frequency-varying signals. Therefore, the present work proposed a robust control strategy where the Internal Model Principle was applied as a Resonant Control in an augmented time-varying structure. The augmented system and the reference frequency values were organized using a polytopic representation and structured as an optimization problem subject to constraints in the form of Linear Matrix Inequalities. This synthesis was evaluated through a set of simulations, using a numerical model of an Atomic Force Microscope and a new suitable scanning reference pattern. Moreover, using the premise that the same reference signals are tracked multiple times, an Iterative Learning Controller was also designed in order to improve the tracking performance of the proposed main strategy. Numerical results demonstrated that the designed controller achieved satisfactory results, in comparison to the traditional controller available in the area.

Este trabalho trata da formulação do Método dos Elementos de Contorno para o problema de flexão de placas através da teoria clássica de Kirchhoff. Ênfase especial é dada a placas com variação de espessura uma vez que este tema é muito pouco abordado. O estudo de flexão de placas com variação de espessura é exercida em vários campos, tais como engenharia civil, engenharia aeroespacial e projeto de máquinas. Adotou-se uma variação linear da rigidez, resultando nas equações integrais de deslocamentos com termos de domínios, que serão tratados por discretização do domínio em células. / This work deals with the formulation of the Boundary Element Method applied to plate bending problem using the Kirchhoff\'s theories. Special emphasis is given to plates with varying thickness since this subject is not much tackled. The study of the bending of plates of variable thickness is pursued in various fields, such as civil engineering, aerospace engineering, and the design of machines. It was adopted linearly varying rigidity, giving integral equations of displacements with domain terms, that will be treated by domain discretization into cells.

The work presented in this thesis studies acoustic perturbations in slowly varying pipes. The slow variation is introduced in the form of a small parameter ${\epsilon}$ and through this in turn gives rise to a slow axial scale $X$ such that $X = {\epsilon}x$ where $x$ is the normal axial coordinate. This allows an asymptotic approach and the WKB method is used to solve the subsequent mathematical problems. The first deals with the existence of a trapped mode in a hard-walled pipe of varying radius conveying fluid. For the derived leading order propagating mode solution, its amplitude becomes singular at transition points $X_{t}$ and $X_{t'}$ where $X_{t} > 0$ and $X_{t'} < 0$ and thus is unable to propagate past these points. Because of the break down in the solution, this leads to the theory that in the neighbourhood of these points there exists a boundary layer in which the original assumption about having slow variation does not hold. By first seeking the thickness of the layer, valid solutions can then be derived and then matched to the outer solutions in order to produce a uniform solution which holds for the entire axial domain. Once this is achieved, it is then used to derive trapped mode solutions. In this case, the theory used is that of two single turning points which are then combined to obtain the full solution. It is illustrated through consideration of examples and the dependence on ${\epsilon}$ is also shown through various plots. This problem will be considered for a symmetric and asymmetric duct and for differing duct parameters. Problems may arise when the two turning points lie close together and so we seek to improve on the method used by deriving a solution to trapped modes encompassing both turning points, which will be proposed together with some illustrations in order to justify its use and reliability. Next, the case of mode propagations on a thin elastic shell of varying radius conveying fluid is studied. The acoustic solutions of a straight shell in vacuo are first briefly reviewed and then built up by the addition of radius variation and the presence of a stationary fluid. The work presented first outlines the analysis for wave propagation in a slowly-varying thin elastic shell in vacuo. It is found that the shell and the fluid terms are coupled through the fluid pressure term, which is added to the equation governing the radial shell displacements since the pressure is assumed to affect radial motion only. Once the newly corrected equation for the radial shell displacements has been obtained, together with the axial and azimuthal displacements equations, this new system of governing equations is then separated into leading order ${\epsilon}^{0}$ and first order ${\epsilon}^{1}$ systems. In order to simplify the calculations, only the zeroth azimuthal order $m = 0$ will be studied here. With this simplification, a notable result is that the solutions of the torsional motion is decoupled from the axial and radial solutions. Once the dispersion equation is extracted from the leading order system, it can be seen that the axial and radial solutions are in fact coupled. The solution to the in vacuo with varying radius problem is first briefly presented and it is then followed by the solution to the fluid inclusion problem with varying radius, which makes up the main part of this section. The solution is studied for various frequencies and at various points along the shell. In addition, the axial and radial components of the first three modes are examined along with their amplitudes and energy distributions. Finally, mean flow is added and the same analysis is carried out, paying particular attention to the differences which arise in comparison to the stationary flow case.

A classificação de texturas coloridas sob diferentes condições de iluminação é um desafio na área de visão computacional, e depende da eficiência dos descritores de textura em capturar características que sejam discriminantes independentemente das propriedades da fonte de luz incidente sobre o objeto. Visando melhorar o processo de classificação de texturas coloridas iluminadas com diferentes fontes de luz, este trabalho propõe três novos descritores, nomeados Opponent Color Local Mapped Pattern (OCLMP), que combina o descritor de texturas por padrões locais mapeados (Local Mapped Pattern - LMP) com a teoria de cores oponentes; Color Intensity Local Mapped Pattern (CILMP), que extrai as informações de cor e textura de maneira integrada, levando em consideração a textura da cor, combinando estas informações com características da luminância da textura em uma análise multiresolução; e Extended Color Local Mapped Pattern (ECLMP), que utiliza dois operadores para extrair informações de cor e textura de forma integrada (textura da cor) combinadas com informações apenas de textura (sem cor) de uma imagem. Todos esses novos descritores propostos são paramétricos e, sendo o ajuste ótimo de seus parâmetros não trivial, o processo exige um tempo excessivo de computação. Portanto, foi proposto nesta tese a utilização de algoritmos genéticos para o ajuste automático dos parâmetros. A avaliação dos descritores propostos foi realizada em duas bases de dados de texturas coloridas com variação de iluminação: RawFooT (Raw Food Texture Database) e KTH-TIPS- 2b (Textures under varying Illumination, Pose and Scale Database), utilizando-se um classificador. Os resultados experimentais mostraram que os descritores propostos são mais robustos à variação de iluminação do que outros decritores de textura comumente utilizados na literatura. Os descritores propostos apresentaram um desempenho superior aos descritores comparados em 15% na base de dados RawFooT e 4% na base de dados KTH-TIPS-2b. / Color texture classification under varying illumination remains a challenge in the computer vision field, and it greatly relies on the efficiency at which the texture descriptors capture discriminant features, independent of the illumination condition. The aim of this thesis is to improve the classification of color texture acquired with varying illumination sources. We propose three new color texture descriptors, namely: the Opponent Color Local Mapped Pattern (OCLMP), which combines a local methodology (LMP) with the opponent colors theory, the Color Intensity Local Mapped Pattern (CILMP), which extracts color and texture information jointly, in a multi-resolution fashion, and the Extended Color Local Mapped Pattern (ECLMP), which applies two operators to extract color and texture information jointly as well. As the proposed methods are based on the LMP algorithm, they are parametric functions. Finding the optimal set of parameters for the descriptor can be a cumbersome task. Therefore, this work proposes the use of genetic algorithms to automatically adjust the parameters. The methods were assessed using two data sets of textures acquired using varying illumination sources: the RawFooT (Raw Food Texture Database), and the KTH-TIPS-2b (Textures under varying Illumination, Pose and Scale Database). The experimental results show that the proposed descriptors are more robust to variations to the illumination source than other methods found in the literature. The improvement on the accuracy was higher than 15% on the RawFoot data set, and higher than 4% on the KTH-TIPS-2b data set.

A classificação de texturas coloridas sob diferentes condições de iluminação é um desafio na área de visão computacional, e depende da eficiência dos descritores de textura em capturar características que sejam discriminantes independentemente das propriedades da fonte de luz incidente sobre o objeto. Visando melhorar o processo de classificação de texturas coloridas iluminadas com diferentes fontes de luz, este trabalho propõe três novos descritores, nomeados Opponent Color Local Mapped Pattern (OCLMP), que combina o descritor de texturas por padrões locais mapeados (Local Mapped Pattern - LMP) com a teoria de cores oponentes; Color Intensity Local Mapped Pattern (CILMP), que extrai as informações de cor e textura de maneira integrada, levando em consideração a textura da cor, combinando estas informações com características da luminância da textura em uma análise multiresolução; e Extended Color Local Mapped Pattern (ECLMP), que utiliza dois operadores para extrair informações de cor e textura de forma integrada (textura da cor) combinadas com informações apenas de textura (sem cor) de uma imagem. Todos esses novos descritores propostos são paramétricos e, sendo o ajuste ótimo de seus parâmetros não trivial, o processo exige um tempo excessivo de computação. Portanto, foi proposto nesta tese a utilização de algoritmos genéticos para o ajuste automático dos parâmetros. A avaliação dos descritores propostos foi realizada em duas bases de dados de texturas coloridas com variação de iluminação: RawFooT (Raw Food Texture Database) e KTH-TIPS- 2b (Textures under varying Illumination, Pose and Scale Database), utilizando-se um classificador. Os resultados experimentais mostraram que os descritores propostos são mais robustos à variação de iluminação do que outros decritores de textura comumente utilizados na literatura. Os descritores propostos apresentaram um desempenho superior aos descritores comparados em 15% na base de dados RawFooT e 4% na base de dados KTH-TIPS-2b. / Color texture classification under varying illumination remains a challenge in the computer vision field, and it greatly relies on the efficiency at which the texture descriptors capture discriminant features, independent of the illumination condition. The aim of this thesis is to improve the classification of color texture acquired with varying illumination sources. We propose three new color texture descriptors, namely: the Opponent Color Local Mapped Pattern (OCLMP), which combines a local methodology (LMP) with the opponent colors theory, the Color Intensity Local Mapped Pattern (CILMP), which extracts color and texture information jointly, in a multi-resolution fashion, and the Extended Color Local Mapped Pattern (ECLMP), which applies two operators to extract color and texture information jointly as well. As the proposed methods are based on the LMP algorithm, they are parametric functions. Finding the optimal set of parameters for the descriptor can be a cumbersome task. Therefore, this work proposes the use of genetic algorithms to automatically adjust the parameters. The methods were assessed using two data sets of textures acquired using varying illumination sources: the RawFooT (Raw Food Texture Database), and the KTH-TIPS-2b (Textures under varying Illumination, Pose and Scale Database). The experimental results show that the proposed descriptors are more robust to variations to the illumination source than other methods found in the literature. The improvement on the accuracy was higher than 15% on the RawFoot data set, and higher than 4% on the KTH-TIPS-2b data set.