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Análise da volatilidade dos mercados de renda fixa e renda variável de países emergentes e desenvolvidos no período de 2000 a 2011; Analysis of volatility of fixed income market and stock market of emerging and developed countries in the period 2000-2011

Rossetti, Nara
Fonte: Biblioteca Digitais de Teses e Dissertações da USP Publicador: Biblioteca Digitais de Teses e Dissertações da USP
Tipo: Tese de Doutorado Formato: application/pdf
Publicado em 15/08/2013 Português
Relevância na Pesquisa
26.94%
O presente trabalho analisou as volatilidades dos mercados de renda fixa e variável de onze países, sendo eles: Brasil, Rússia, Índia, China, África do Sul (neste país apenas renda fixa), Argentina, Chile, México, Estados Unidos, Alemanha e Japão no período de janeiro de 2000 a dezembro de 2011. Os indicadores utilizados para representar cada mercado foram os índices dos mercados de ações e as taxas de juros interbancárias. Para tanto, o estudo se utilizou de modelos de heterocedasticidade condicional auto-regressiva: ARCH, GARCH, EGARCH, TGARCH e PGARCH, verificando quais destes processos eram mais eficientes para modelagem da volatilidade dos mercados dos países da amostra. Esta pesquisa também verificou qual dos modelos (ARIMA ou modelos GARCH e suas extensões) conseguiria prever melhor as séries de tempo analisadas. Além disso, por meio dos índices de correlação, covariância e causalidade Granger, foram comparados os retornos e a volatilidade do mercado de ações entre os países BRIC, entre os países latinos americanos e entre os países desenvolvidos e o Brasil. Os resultados sugerem que a volatilidade, tanto do mercado de renda fixa quanto do mercado de renda variável, é mais bem modelada por processos GARCH assimétricos (EGARCH e TGARCH)...

Volatilidade no mercado brasileiro: o efeito das crises político-econômicas - um estudo de causalidade; Volatility in the brazilian market: the effect of political and economic crises - a cause and effect study

Eid Júnior, William
Fonte: Fundação Getúlio Vargas Publicador: Fundação Getúlio Vargas
Tipo: Trabalho em Andamento
Português
Relevância na Pesquisa
36.36%
O trabalho busca identificar as possíveis relações existentes entre as crises político-econômicas ocorridas no Brasil nos últimos cinco anos e o comportamento do mercado financeiro medido pela volatilidade de alguns ativos. Ele se insere na classe de trabalhos empíricos que buscam relacionar fluxo de informações e comportamento do mercado.; This work seeks for relationship between information flows and market volatility in the Brazilian Stock Market. The Brazilian economy, with several informational shocks in the last five years, is an interesting field for this kind of study. Correlation, Granger-causality and cointegration were the tools used looking for relationships.

On the globalization of stock markets: An application of Vector Error Correction Model, Mutual Information and Singular Spectrum Analysis to the G7 countries

Menezes, Rui; Dionisio, Andreia; Hossein, Hassani
Fonte: Elsevier Publicador: Elsevier
Tipo: Artigo de Revista Científica
Português
Relevância na Pesquisa
26.92%
This paper analyzes stock market relationships among the G7 countries between 1973 and 2009 using three different approaches: (i) a linear approach based on cointegration, Vector Error Correction (VECM) and Granger Causality; (ii) a nonlinear approach based on Mutual Information and the Global Correlation Coefficient; and (iii) a nonlinear approach based on Singular Spectrum Analysis (SSA). While the cointegration tests are based on regression models and capture linearities in the data, Mutual Information and Singular Spectrum Analysis capture nonlinear relationships in a non-parametric way. The framework of this paper is based on the notion of market integration and uses stock market correlations and linkages both in price levels and returns. The main results show that significant co-movements occur among most of the G7 countries over the period analyzed and that Mutual Information and the Global Correlation Coefficient actually seem to provide more information about the market relationships than the Vector Error Correction Model and Granger Causality. However, unlike the latter, the direction of causality is difficult to distinguish in Mutual Information and the Global Correlation Coefficient. In this respect, the nonlinear Singular Spectrum Analysis technique displays several advantages...

Risco e Causalidade nos Principais Mercados de Acções Europeus

Araújo, André da Silva de
Fonte: Instituto Superior de Economia e Gestão Publicador: Instituto Superior de Economia e Gestão
Tipo: Dissertação de Mestrado
Publicado em /07/2011 Português
Relevância na Pesquisa
36.36%
Mestrado em Finanças; Com os acontecimentos que desencadearam a crise financeira mundial de 2008, os mercados financeiros globais foram palco do maior contágio de risco de que há memória. Por esta razão, o permanente controlo e monitorização de movimentações extremas em mercados estrangeiros torna-se cada vez mais fundamental para uma boa gestão de risco e, em grande parte, para a sobrevivência das instituições financeiras. Utilizando o conceito da causalidade de Granger em risco, o presente trabalho investiga efeitos de contágio nos principais mercados de acções europeus, protagonizados pelo CAC 40, DAX 30 e FTSE 100. Para tal, foi necessário realizar previsões diárias, recorrendo a diversos modelos paramétricos, do Value-at-Risk (VaR), com as respectivas avaliações do seu desempenho. No âmbito europeu, resultados empíricos permitem concluir a ocorrência de contágio de movimentações extremas negativas, estatisticamente significativas, apenas no sentido do CAC 40 para o FTSE 100. Investigação posterior refere que grande parte do risco presente nos três índices europeus é contribuída pelo S&P 500, não se verificando o inverso.

Revisiting fiscal sustainability: panel cointegration and structural breaks in OECD countries

Afonso, António; Jalles, João Tovar
Fonte: ISEG - Departamento de Economia Publicador: ISEG - Departamento de Economia
Tipo: Outros
Publicado em //2012 Português
Relevância na Pesquisa
36.33%
We assess the sustainability of public finances in OECD countries, over the period 1970-2010, using unit root and cointegration analysis, both country and panel based, controlling for endogenous breaks. Results notably show: lack of cointegration – absence of sustainability – between government revenues and expenditures for most countries (except for Austria, Canada, France, Germany, Japan, Netherlands, Sweden, and UK); improvements of the primary balance after past worsening in debt ratios for Australia, Belgium, Germany, Ireland, Netherlands and the UK; Granger causality from government debt to the primary balance for 12 countries (suggesting the existence of Ricardian regimes). Overall, fiscal policy has been less sustainable for several countries, and panel data results corroborate the time-series findings.

The components of economic freedom, income and growth: an empirical analysis

Corbi,Raphael B.
Fonte: Fundação Instituto de Pesquisas Econômicas - FIPE Publicador: Fundação Instituto de Pesquisas Econômicas - FIPE
Tipo: Artigo de Revista Científica Formato: text/html
Publicado em 01/09/2007 Português
Relevância na Pesquisa
36.33%
This paper seeks to bring a better understanding of the relationship between economic growth and the disaggregated factors which constitute the elements of economic freedom. The two main objectives of this paper are to: (1) based on the Solow augmented growth model, test which of the elements of economic freedom demonstrate a statistically significant relationship to economic growth; and (2) establish which way the main causality direction between economic freedom and growth runs from. Finally, we identify desirable directions for further research and policy implications.

Parallel versus serial processing dependencies in the perisylvian speech network: A Granger analysis of intracranial EEG data

Gow, David W.; Keller, Corey J.; Eskandar, Emand; Meng, Nate; Cash, Sydney S.
Fonte: PubMed Publicador: PubMed
Tipo: Artigo de Revista Científica
Português
Relevância na Pesquisa
36.36%
In this work, we apply Granger causality analysis to high spatiotemporal resolution intracranial EEG (iEEG) data to examine how different components of the left perisylvian language network interact during spoken language perception. The specific focus is on the characterization of serial versus parallel processing dependencies in the dominant hemisphere dorsal and ventral speech processing streams. Analysis of iEEG data from a large, 64-electrode grid implanted over the left perisylvian region in a single right-handed patient showed a consistent pattern of direct posterior superior temporal gyrus influence over sites distributed over the entire ventral pathway for words, nonwords, and phonetically ambiguous items that could be interpreted either as words or nonwords. For the phonetically ambiguous items, this pattern was overlayed by additional dependencies involving the inferior frontal gyrus, which influenced activation measured at electrodes located in both ventral and dorsal stream speech structures. Implications of these results for understanding the functional architecture of spoken language processing and interpreting the role of the posterior superior temporal gyrus in speech perception are discussed.

Dynamic Granger-Geweke causality modeling with application to interictal spike propagation

Lin, Fa-Hsuan; Hara, Keiko; Solo, Victor; Vangel, Mark; Belliveau, John W.; Stufflebeam, Steven M.; Hamalainen, Matti S.
Fonte: PubMed Publicador: PubMed
Tipo: Artigo de Revista Científica
Publicado em /06/2009 Português
Relevância na Pesquisa
27.01%
A persistent problem in developing plausible neurophysiological models of perception, cognition, and action is the difficulty of characterizing the interactions between different neural systems. Previous studies have approached this problem by estimating causal influences across brain areas activated during cognitive processing using Structural Equation Modeling and, more recently, with Granger-Geweke causality. While SEM is complicated by the need for a priori directional connectivity information, the temporal resolution of dynamic Granger-Geweke estimates is limited because the underlying autoregressive (AR) models assume stationarity over the period of analysis. We have developed a novel optimal method for obtaining data-driven directional causality estimates with high temporal resolution in both time and frequency domains. This is achieved by simultaneously optimizing the length of the analysis window and the chosen AR model order using the SURE criterion. Dynamic Granger-Geweke causality in time and frequency domains is subsequently calculated within a moving analysis window. We tested our algorithm by calculating the Granger-Geweke causality of epileptic spike propagation from the right frontal lobe to the left frontal lobe. The results quantitatively suggested the epileptic activity at the left frontal lobe was propagated from the right frontal lobe...

Functional connectivity of default mode network components: correlation, anticorrelation, and causality

Uddin, Lucina Q.; Clare Kelly, A. M.; Biswal, Bharat B.; Castellanos, F. Xavier; Milham, Michael P.
Fonte: PubMed Publicador: PubMed
Tipo: Artigo de Revista Científica
Publicado em /02/2009 Português
Relevância na Pesquisa
36.33%
The default mode network (DMN), based in ventromedial prefrontal cortex (vmPFC) and posterior cingulate cortex (PCC), exhibits higher metabolic activity at rest than during performance of externally-oriented cognitive tasks. Recent studies have suggested that competitive relationships between the DMN and various task-positive networks involved in task performance are intrinsically represented in the brain in the form of strong negative correlations (anticorrelations) between spontaneous fluctuations in these networks. Most neuroimaging studies characterize the DMN as a homogenous network, thus few have examined the differential contributions of DMN components to such competitive relationships. Here we examined functional differentiation within the default mode network, with an emphasis on understanding competitive relationships between this and other networks. We used a seed correlation approach on resting-state data to assess differences in functional connectivity between these two regions and their anticorrelated networks. While the positively correlated networks for the vmPFC and PCC seeds largely overlapped, the anticorrelated networks for each showed striking differences. Activity in vmPFC negatively predicted activity in parietal visual spatial and temporal attention networks...

Quantitative Analysis of Crisis : Crisis Identification and Causality

Ishihara, Yoichiro
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Português
Relevância na Pesquisa
36.33%
Studies use different conceptual and operational definitions of crises. The different crisis identifications can lead to inconsistent conclusions and policy formulation even if the same analytical framework is applied. Also, most studies focus on only a few types of crises. This narrow focus on crises may not capture the multidimensionality of crises. Seven crisis types are analyzed, namely (1) liquidity type banking crises, (2) solvency type banking crises, (3) balance of payments crises, (4) currency crises, (5) debt crises, (6) growth rate crises, and (7) financial crises. Crisis data were collected from 15 emerging economies in 1980-2002 on a quarterly basis. The crisis identification exercise finds that multidimensionality in which different crisis types occur in short periods is one of the most important characteristics of recent crises. Further, the Granger causality tests in five Asian economies (Indonesia, the Republic of Korea, Malaysia, the Philippines, and Thailand) find that currency crises tend to trigger other types of crises, and therefore exchange rate management is essential.

What Drives International Equity Correlations? Volatility or Market Direction?

Amira, Khaled; Taamouti, Abderrahim; Tsafack, Georges
Fonte: Universidade Carlos III de Madrid Publicador: Universidade Carlos III de Madrid
Tipo: Trabalho em Andamento Formato: application/pdf
Publicado em /06/2009 Português
Relevância na Pesquisa
36.33%
We consider impulse response functions to study the impact of both return and volatility on correlation between international equity markets. Using data on US (as the reference country), Canada, UK and France equity indices, empirical evidence shows that without taking into account the effect of return, there is an (asymmetric) effect of volatility on correlation. The volatility seems to have an impact on correlation especially during downturn periods. However, once we introduce the effect of return, the impact of volatility on correlation disappears. These observations suggest that, the relation between volatility and correlation is an association rather than a causality. The strong increase in the correlation is driven by the past of the return and the market direction rather than the volatility.

Why do we smile? On the determinants of the implied volatility function

Peña Sánchez de Rivera, Juan Ignacio; Rubio, Gonzalo; Serna, Gregorio
Fonte: Elsevier Publicador: Elsevier
Tipo: Artigo de Revista Científica Formato: application/pdf
Publicado em /08/1999 Português
Relevância na Pesquisa
36.33%
We report simple regressions and Granger causality tests in order to understand the pattern of implied volatilities across exercise prices. We employ all calls and puts transacted between 16:00 and 16:45 on the Spanish IBEX-35 index from January 1994 to April 1996. Transaction costs, proxied by the bid–ask spread, seem to be a key determinant of the curvature of the volatility smile. Moreover, time to expiration, the uncertainty associated with the market and the relative market momentum are also important variables in explaining the smile.

Effect of scanner acoustic background noise on strict resting-state fMRI

Rondinoni,C.; Amaro Jr,E.; Cendes,F.; Santos,A.C.dos; Salmon,C.E.G.
Fonte: Associação Brasileira de Divulgação Científica Publicador: Associação Brasileira de Divulgação Científica
Tipo: Artigo de Revista Científica Formato: text/html
Publicado em 01/04/2013 Português
Relevância na Pesquisa
36.36%
Functional MRI (fMRI) resting-state experiments are aimed at identifying brain networks that support basal brain function. Although most investigators consider a ‘resting-state’ fMRI experiment with no specific external stimulation, subjects are unavoidably under heavy acoustic noise produced by the equipment. In the present study, we evaluated the influence of auditory input on the resting-state networks (RSNs). Twenty-two healthy subjects were scanned using two similar echo-planar imaging sequences in the same 3T MRI scanner: a default pulse sequence and a reduced “silent” pulse sequence. Experimental sessions consisted of two consecutive 7-min runs with noise conditions (default or silent) counterbalanced across subjects. A self-organizing group independent component analysis was applied to fMRI data in order to recognize the RSNs. The insula, left middle frontal gyrus and right precentral and left inferior parietal lobules showed significant differences in the voxel-wise comparison between RSNs depending on noise condition. In the presence of low-level noise, these areas Granger-cause oscillations in RSNs with cognitive implications (dorsal attention and entorhinal), while during high noise acquisition, these connectivities are reduced or inverted. Applying low noise MR acquisitions in research may allow the detection of subtle differences of the RSNs...

Specification and casualty of distribution models

Troster, Víctor Emilio
Fonte: Universidade Carlos III de Madrid Publicador: Universidade Carlos III de Madrid
Tipo: Tese de Doutorado
Português
Relevância na Pesquisa
27.04%
Many important economic and finance hypotheses are investigated through testing the specification of restrictions on the conditional distribution of a time series, such as conditional goodness-of- t (Box and Pierce (1970)), conditional quantiles (Koenker and Machado (1999)), and distributional Granger non-causality (Taamouti, Bouezmarni, and El Ghouch, 2014). This PhD Thesis contributes to the study of specification and causality tests that provide a more flexible and detailed approach to evaluate economic relationships, which are useful in many relevant empirical applications. In the first chapter, we propose a practical and consistent specification test of conditional distribution models for dependent data in a very general setting. Our approach covers conditional distribution models possibly indexed by function-valued parameters, which allows for a wide range of important empirical applications, such as the linear quantile auto-regressive, the CAViaR, and the distributional regression models. Our test statistic is based on a comparison between the estimated parametric and the empirical distribution functions. The new specification test (i) is valid for general linear and nonlinear dynamic models under parameter estimation error...

Acquisition of Information and Share Prices: An Empirical Investigation of Cognitive Dissonance

ARGENTESI, Elena; LUETKEPOHL, Helmut; MOTTA, Massimo
Fonte: Wiley-Blackwell Publishing, Inc Publicador: Wiley-Blackwell Publishing, Inc
Tipo: Artigo de Revista Científica
Português
Relevância na Pesquisa
36.36%
This paper deals with the determinants of agents' acquisition of information. Our econometric evidence shows that the general index of Italian share-prices and the series of Italy's financial newspaper sales are cointegrated, and the former series Granger-causes the latter, thereby giving support to the cognitive dissonance hypothesis: (non-professional) agents tend to buy the newspaper when share prices are high and not to buy it when share prices are low. Instead, we do not find support for the hypothesis that the agents acquire information in order to trade in the stock market: we find no relationship between quantities exchanged in the market and newspaper sales, nor between stock market volatility and newspaper sales.

Using Zero-non-Zero Patterned Vector Autoregressive Modelling to Test for Causality between Money Supply, GDP Growth, The London Stock Market Index and the Euro Exchange Rate

Lin, Edward J Y; Penm, Jack HW; Terrell, Richard; Wu, Soushan
Fonte: Elsevier Publicador: Elsevier
Tipo: Artigo de Revista Científica
Português
Relevância na Pesquisa
36.33%
In this paper the techniques of zero-non-zero (ZNZ) patterned vector autoregressive modelling are utilized to examine two issues associated with the European single currency - the euro. First, "Granger causality" is employed to examine the causal linkages

Learning Why Things Change: The Difference-Based Causality Learner

Voortman, Mark; Dash, Denver; Druzdzel, Marek J.
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Publicado em 15/03/2012 Português
Relevância na Pesquisa
36.43%
In this paper, we present the Difference- Based Causality Learner (DBCL), an algorithm for learning a class of discrete-time dynamic models that represents all causation across time by means of difference equations driving change in a system. We motivate this representation with real-world mechanical systems and prove DBCL's correctness for learning structure from time series data, an endeavour that is complicated by the existence of latent derivatives that have to be detected. We also prove that, under common assumptions for causal discovery, DBCL will identify the presence or absence of feedback loops, making the model more useful for predicting the effects of manipulating variables when the system is in equilibrium. We argue analytically and show empirically the advantages of DBCL over vector autoregression (VAR) and Granger causality models as well as modified forms of Bayesian and constraintbased structure discovery algorithms. Finally, we show that our algorithm can discover causal directions of alpha rhythms in human brains from EEG data.; Comment: Appears in Proceedings of the Twenty-Sixth Conference on Uncertainty in Artificial Intelligence (UAI2010)

Relação trimestral de longo prazo entre os indicadores de liquidez e de rentabilidade: evidência de empresas do setor têxtil; Relación trimestral de largo plazo entre los indicadores de liquidez y de rentabilidad: evidencia de empresas del sector textil; Quarterly long-term relation between liquidity and profitability indicators: evidence from textile companies

Pimentel, Renê Coppe; Lima, Iran Siqueira
Fonte: Universidade de São Paulo. Faculdade de Economia, Administração e Contabilidade Publicador: Universidade de São Paulo. Faculdade de Economia, Administração e Contabilidade
Tipo: info:eu-repo/semantics/article; info:eu-repo/semantics/publishedVersion; Artigo Avaliado pelos Pares Formato: application/pdf
Publicado em 01/09/2011 Português
Relevância na Pesquisa
26.94%
Neste artigo, analisa-se a relação temporal de longo prazo entre os indicadores de liquidez e rentabilidade para um grupo de empresas abertas do setor têxtil brasileiro, com dados trimestrais entre março de 1995 e março de 2009. As hipóteses do trabalho são de que existe relação temporal positiva entre os indicadores de liquidez e rentabilidade nos médio e longo prazos, ou seja, uma baixa liquidez pode deteriorar uma alta rentabilidade, ou vice-versa, e é possível verificar uma tendência geral para causalidade de Granger entre os indicadores. Os resultados sugerem que existe relação temporal positiva e mostram que as empresas apresentam causalidades de Granger em sentidos diferentes (tanto no sentido rentabilidade-liquidez como no sentido liquidez-rentabilidade). Assim, apesar do inter-relacionamento de longo prazo, não foi possível estabelecer uma relação única sobre a direção da causalidade.; En este artículo se analiza la relación temporal de largo plazo entre los indicadores de liquidez y rentabilidad para un grupo de empresas del sector textil brasileño, con datos trimestrales entre marzo 1995 y marzo 2009. Las hipótesis de este estudio son: 1) existe una relación temporal positiva entre los indicadores de liquidez y rentabilidad en el mediano y en el largo plazos...

A bootstrap causality test for covariance stationary processes

Hidalgo, Javier
Fonte: Suntory and Toyota International Centres for Economics and Related Disciplines, London School of Economics and Political Science Publicador: Suntory and Toyota International Centres for Economics and Related Disciplines, London School of Economics and Political Science
Tipo: Monograph; NonPeerReviewed Formato: application/pdf
Publicado em /11/2003 Português
Relevância na Pesquisa
36.33%
This paper examines a nonparametric test for Granger-causality for a vector covariance stationary linear process under, possibly, the presence of long-range dependence. We show that the test converges to a non-distribution free multivariate Gaussian process, say vec (B(μ)) indexed by μ Є [0,1]. Because, contrary to the scalar situation, it is not possible, except in very specific cases, to find a time transformation g(μ) such that vec (B(g(μ))) is a vector with independent Brownian motion components, it implies that inferences based on vec (B(μ)) will be difficult to implement. To circumvent this problem, we propose bootstrapping the test by two alternative, although similar, algorithms showing their validity and consistency.

Nonparametric test for causality with long-range dependence

Hidalgo, Javier
Fonte: Suntory and Toyota International Centres for Economics and Related Disciplines, London School of Economics and Political Science Publicador: Suntory and Toyota International Centres for Economics and Related Disciplines, London School of Economics and Political Science
Tipo: Monograph; NonPeerReviewed Formato: application/pdf
Publicado em /04/2000 Português
Relevância na Pesquisa
36.33%
This paper introduces a nonparametric Granger-causality test for covariance stationary linear processes under, possibly, the presence of long-range dependence. We show that the test is consistent and has power against contiguous alternatives converging to the parametric rate T-½. Since the test is based on estimates of the parameters of the representation of a VAR model as a, possibly, two-sided infinite distributed lag model, we first show that a modification of Hannan's (1963, 1967) estimator is root-T consistent and asymptotically normal for the coefficients of such a representation. When the data is long-range dependent this method of estimation becomes more attractive than Least Squares, since the latter can be neither root-T consistent nor asymptotically normal as is the case with short-range dependent data.