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Testando a existência de efeito lead-lag entre os mercados acionários norte-americano e brasileiro

Oliveira, Gustavo Rezende de
Fonte: Universidade de Brasília Publicador: Universidade de Brasília
Tipo: Dissertação
Português
Relevância na Pesquisa
26.75%
Dissertação (mestrado)—Universidade de Brasília, Faculdade de Economia, Administração, Contabilidade e Ciência da Informação e Documentação, 2008.; Este trabalho tem por objetivo identificar a existência do efeito lead-lag entre o mercado acionário norte-americano, representado pela bolsa de valores de Nova York (NYSE), e o mercado acionário brasileiro, representado pela bolsa de valores de São Paulo (BOVESPA), ou seja, se os movimentos de elevação ou queda de preços na NYSE são seguidos, em média, por movimentos similares na BOVESPA, o que possibilitaria um certo grau de previsibilidade do valor dos ativos negociados no mercado brasileiro, permitindo assim a ocorrência de oportunidades de arbitragem. A existência deste efeito indica uma relativa segmentação entre os mercados, possibilidade inexistente na Hipótese do Mercado Eficiente (HME), segundo a qual os preços dos ativos são imprevisíveis. O estudo compreendeu o período de julho de 2006 a setembro de 2007, com utilização de dados dos índices Dow Jones e Ibovespa com freqüência intradiária de um minuto. Foi identificada a co-integração entre os dois mercados pelos testes de Engle e Granger e de Johansen, bem como a existência de causalidade bidirecional...

Balança comercial e IDE: análise de causalidade temporal

Pascoal, Nélia Sofia Marques
Fonte: Universidade de Aveiro Publicador: Universidade de Aveiro
Tipo: Dissertação de Mestrado
Português
Relevância na Pesquisa
26.77%
Com este trabalho pretende-se realizar uma análise de causalidade temporal entre balança comercial e Investimento Direto Estrangeiro (IDE), para 18 países emergentes da América Latina e Ásia, utilizando dados anuais referentes ao período entre 1981 e 2009. Para tal, após a estacionarização das séries, prosseguimos o estudo com uma análise de causalidade de Granger. Esta análise permitiu verificar a existência de uma relação de causalidade bidirecional entre balança comercial e IDE na Índia (na análise composta por 3 desfasamentos) e de duas relações de causalidade bidirecional (na análise composta por 4 desfasamentos), uma entre importações e IDE no Uruguai e a outra entre balança comercial e IDE na Turquia. Foram também observadas várias outras relações de causalidade unidirecional. A análise de cointegração das variáveis indicou a existência de uma relação positiva de longo prazo entre a balança comercial e o IDE no Chile e Chipre e uma relação negativa entre as mesmas variáveis na Coreia, Índia e Indonésia. Para observar a velocidade de ajustamento das variáveis recorremos ao modelo de vetor de correção dos erros (VECM) para os países que apresentam relação de cointegração entre as varáveis Balança comercial e IDE...

Financial deepening and economic growth in Mozambique

Emídio, Salvador Vítor de Jesus
Fonte: Instituto Universitário de Lisboa Publicador: Instituto Universitário de Lisboa
Tipo: Dissertação de Mestrado
Publicado em //2008 Português
Relevância na Pesquisa
26.91%
JEL-Codes: O16; F43; In this empirical research, based on Mozambican time series data, we examine the causality between financial deepening and economic growth, in a multivariate VAR structure over a period covering 24 years, from 1980 to 2003. Financial deepening is measured by the ratio of bank deposit liabilities to nominal GDP and is modeled with real per capita income as a proxy of economic development. Specifically, three analyses were undertaken. First, the time series properties of the variables were ascertained with the help of augmented Dickey-Fuller (ADF) unit root procedure. Second, the long run relationship between the variables was examined in the context of VAR and VECM framework, developed by Johansen and Juselius (1990). Finally, weak exogeneity test and Granger-causality tests were undertaken to determine the direction of causality between economic development and financial deepening. The results of the ADF tests indicate that all variable contain a unit root in their level but are stationary at their first differences. The cointegration test suggests that there is a long-run relationship between economic growth and financial deepening and weak exogeneity tests and Granger-causality tests indicate that economic development is causally dependent of financial deepening in Mozambique.; Neste trabalho de pesquisa empírica...

Top-Down Control of Human Visual Cortex by Frontal and Parietal Cortex in Anticipatory Visual Spatial Attention

Bressler, Steven L.; Tang, Wei; Sylvester, Chad M.; Shulman, Gordon L.; Corbetta, Maurizio
Fonte: PubMed Publicador: PubMed
Tipo: Artigo de Revista Científica
Publicado em 01/10/2008 Português
Relevância na Pesquisa
26.91%
Advance information about an impending stimulus facilitates its subsequent identification and ensuing behavioral responses. This facilitation is thought to be mediated by top-down control signals from frontal and parietal cortex that modulate sensory cortical activity. Here we show, using Granger Causality measures on blood oxygen-level-dependent time series, that frontal eye field (FEF) and intraparietal sulcus (IPS) activity predicts visual occipital activity prior to an expected visual stimulus. Top-down levels of Granger Causality from FEF and IPS to visual occipital cortex were significantly greater than both bottom-up and mean cortex-wide levels in all individual subjects and the group. In the group and most individual subjects, Granger Causality was significantly greater from FEF to IPS than from IPS to FEF, and significantly greater from both FEF and IPS to intermediate-tier than lower-tier ventral visual areas. Moreover, top-down Granger Causality from right IPS to intermediate-tier areas was predictive of correct behavioral performance. These results suggest that FEF and IPS modulate visual occipital cortex, and FEF modulates IPS, in relation to visual attention. The current approach may prove advantageous for the investigation of interregional directed influences in other human brain functions.

Diet, tobacco, alcohol, and stress as causes of coronary artery heart disease: an ecological trend analysis of national data.

Lynch, W. D.; Glass, G. V.; Tran, Z. V.
Fonte: Yale Journal of Biology and Medicine Publicador: Yale Journal of Biology and Medicine
Tipo: Artigo de Revista Científica
Publicado em //1988 Português
Relevância na Pesquisa
26.78%
The present investigation examined the temporal relationships between changes in coronary artery heart disease (CAHD) mortality rates from whites (1938-1980) and changes in national measures of dietary elements, tobacco consumption, alcohol consumption, and unemployment. The magnitude and latency of the causal relationships were estimated with the use of cross-lagged correlation functions (CCFs) and Granger causality tests. Preliminary CCFs showed consistent correlational patterns between CAHD and tobacco, ethanol, and dietary fats. There was little association between CAHD and dietary cholesterol. Ethanol, tobacco, and the ratio of saturated to polyunsaturated fats (S:P) were analyzed for directional causality using Granger causality tests. The S:P ratio demonstrated a unidirectional Granger causal relationship with CAHD mortality in all sex and age groups. The estimated latency of this relationship was 23 to 30 years. This finding supports a causal relationship between diet, specifically fats, and the risk of CAHD two or three decades later.

Characterizing Dynamic Changes in the Human Blood Transcriptional Network

Zhu, Jun; Chen, Yanqing; Leonardson, Amy S.; Wang, Kai; Lamb, John R.; Emilsson, Valur; Schadt, Eric E.
Fonte: Public Library of Science Publicador: Public Library of Science
Tipo: Artigo de Revista Científica
Português
Relevância na Pesquisa
26.78%
Gene expression data generated systematically in a given system over multiple time points provides a source of perturbation that can be leveraged to infer causal relationships among genes explaining network changes. Previously, we showed that food intake has a large impact on blood gene expression patterns and that these responses, either in terms of gene expression level or gene-gene connectivity, are strongly associated with metabolic diseases. In this study, we explored which genes drive the changes of gene expression patterns in response to time and food intake. We applied the Granger causality test and the dynamic Bayesian network to gene expression data generated from blood samples collected at multiple time points during the course of a day. The simulation result shows that combining many short time series together is as powerful to infer Granger causality as using a single long time series. Using the Granger causality test, we identified genes that were supported as the most likely causal candidates for the coordinated temporal changes in the network. These results show that PER1 is a key regulator of the blood transcriptional network, in which multiple biological processes are under circadian rhythm regulation. The fasted and fed dynamic Bayesian networks showed that over 72% of dynamic connections are self links. Finally...

Using Granger-Geweke causality model to evaluate the effective connectivity of primary motor cortex (M1), supplementary motor area (SMA) and cerebellum

Zhang, Le; Zhong, Guangjin; Wu, Yukun; Vangel, Mark G.; Jiang, Beini; Kong, Jian
Fonte: PubMed Publicador: PubMed
Tipo: Artigo de Revista Científica
Publicado em 01/09/2010 Português
Relevância na Pesquisa
26.78%
Currently, Granger-Geweke causality models have been widely applied to investigate the dynamic direction relationships among brain regions. In a previous study, we have found that the right hand finger-tapping task can produce relatively reliable brain response. As an extension of our previous study, we developed an algorithm based on the classical Granger-Geweke causality model to further investigate the effective connectivity of three brain regions (left primary motor cortex (M1), supplementary motor area (SMA) and right cerebellum) that showed the most robust brain activations. Our computational results not only confirm the strong linear feedback among SMA, M1 and right cerebellum, but also demonstrate that M1 is the hub of these three regions indicated by the anatomy research. Moreover, the model predicts the high intermediate node density existing in the area between SMA and M1, which will stimulate the imaging experimentalists to carry out new experiments to validate this postulation.

Metabolic Pathway Relationships Revealed by an Integrative Analysis of the Transcriptional and Metabolic Temperature Stress-Response Dynamics in Yeast

Walther, Dirk; Strassburg, Katrin; Durek, Pawel; Kopka, Joachim
Fonte: Mary Ann Liebert, Inc. Publicador: Mary Ann Liebert, Inc.
Tipo: Artigo de Revista Científica
Publicado em /06/2010 Português
Relevância na Pesquisa
26.78%
The integrated analysis of omics datasets covering different levels of molecular organization has become a central task of systems biology. We investigated the transcriptional and metabolic response of yeast exposed to increased (37°C) and lowered (10°C) temperatures relative to optimal reference conditions (28°C) in the context of known metabolic pathways. Pairwise metabolite correlation levels were found to carry more pathway-related information and to extend to farther distances within the metabolic pathway network than associated transcript level correlations. Metabolites were detected to correlate stronger to their cognate transcripts (metabolite is reactant of the enzyme encoded by the transcript) than to more remote or randomly chosen transcripts reflecting their close metabolic relationship. We observed a pronounced temporal hierarchy between metabolic and transcriptional molecular responses under heat and cold stress. Changes of metabolites were most significantly correlated to transcripts encoding metabolic enzymes, when metabolites were considered leading in time-lagged correlation analyses. By applying the concept of Granger causality, we detected directed relationships between metabolites and their cognate transcripts. When interpreted as substrate-to-product directions...

Quantification of Effective Connectivity in the Brain Using a Measure of Directed Information

Liu, Ying; Aviyente, Selin
Fonte: Hindawi Publishing Corporation Publicador: Hindawi Publishing Corporation
Tipo: Artigo de Revista Científica
Português
Relevância na Pesquisa
26.8%
Effective connectivity refers to the influence one neural system exerts on another and corresponds to the parameter of a model that tries to explain the observed dependencies. In this sense, effective connectivity corresponds to the intuitive notion of coupling or directed causal influence. Traditional measures to quantify the effective connectivity include model-based methods, such as dynamic causal modeling (DCM), Granger causality (GC), and information-theoretic methods. Directed information (DI) has been a recently proposed information-theoretic measure that captures the causality between two time series. Compared to traditional causality detection methods based on linear models, directed information is a model-free measure and can detect both linear and nonlinear causality relationships. However, the effectiveness of using DI for capturing the causality in different models and neurophysiological data has not been thoroughly illustrated to date. In addition, the advantage of DI compared to model-based measures, especially those used to implement Granger causality, has not been fully investigated. In this paper, we address these issues by evaluating the performance of directed information on both simulated data sets and electroencephalogram (EEG) data to illustrate its effectiveness for quantifying the effective connectivity in the brain.

Measuring Relative Timings of Brain Activities Using FMRI

Katwal, Santosh B.; Gore, John C.; Gatenby, J. Christopher; Rogers, Baxter P.
Fonte: PubMed Publicador: PubMed
Tipo: Artigo de Revista Científica
Português
Relevância na Pesquisa
26.78%
Functional MRI (fMRI) has previously been shown to be able to measure hundreds of milliseconds differences in timings of activities in different brain regions, even though the underlying blood oxygenation level-dependent (BOLD) response is delayed and dispersed on the order of seconds. This capability may contribute towards the study of communication within the brain by assessing the temporal sequences of various brain processes (mental chronometry). The practical limit of fMRI for detecting the relative timings of brain activities is not known. We aimed to detect fine differences in the timings of brain activities beyond those previously measured from fMRI data in human subjects. We introduced known delays between the onsets of visual stimuli in a controlled, sparse event-related design and investigated if the temporal shifts in the corresponding average BOLD signals were detectable. To maximize sensitivity, we used high spatial and temporal resolution fMRI at ultrahigh field (7 Tesla), in conjunction with a novel data-driven technique for voxel selection using graph-based visualizations of self-organizing maps and Granger causality to measure relative timing. This approach detected timing differences as small as 28 ms in visual cortex in individual subjects. For signal extraction...

Mapping the Voxel-Wise Effective Connectome in Resting State fMRI

Wu, Guo-Rong; Stramaglia, Sebastiano; Chen, Huafu; Liao, Wei; Marinazzo, Daniele
Fonte: Public Library of Science Publicador: Public Library of Science
Tipo: Artigo de Revista Científica
Publicado em 12/09/2013 Português
Relevância na Pesquisa
26.78%
A network approach to brain and dynamics opens new perspectives towards understanding of its function. The functional connectivity from functional MRI recordings in humans is widely explored at large scale, and recently also at the voxel level. The networks of dynamical directed connections are far less investigated, in particular at the voxel level. To reconstruct full brain effective connectivity network and study its topological organization, we present a novel approach to multivariate Granger causality which integrates information theory and the architecture of the dynamical network to efficiently select a limited number of variables. The proposed method aggregates conditional information sets according to community organization, allowing to perform Granger causality analysis avoiding redundancy and overfitting even for high-dimensional and short datasets, such as time series from individual voxels in fMRI. We for the first time depicted the voxel-wise hubs of incoming and outgoing information, called Granger causality density (GCD), as a complement to previous repertoire of functional and anatomical connectomes. Analogies with these networks have been presented in most part of default mode network; while differences suggested differences in the specific measure of centrality. Our findings could open the way to a new description of global organization and information influence of brain function. With this approach is thus feasible to study the architecture of directed networks at the voxel level and individuating hubs by investigation of degree...

Causality and Cointegration Analysis between Macroeconomic Variables and the Bovespa

da Silva, Fabiano Mello; Coronel, Daniel Arruda; Vieira, Kelmara Mendes
Fonte: Public Library of Science Publicador: Public Library of Science
Tipo: Artigo de Revista Científica
Publicado em 28/02/2014 Português
Relevância na Pesquisa
26.77%
The aim of this study is to analyze the causality relationship among a set of macroeconomic variables, represented by the exchange rate, interest rate, inflation (CPI), industrial production index as a proxy for gross domestic product in relation to the index of the São Paulo Stock Exchange (Bovespa). The period of analysis corresponded to the months from January 1995 to December 2010, making a total of 192 observations for each variable. Johansen tests, through the statistics of the trace and of the maximum eigenvalue, indicated the existence of at least one cointegration vector. In the analysis of Granger (1988) causality tests via error correction, it was found that a short-term causality existed between the CPI and the Bovespa. Regarding the Granger (1988) long-term causality, the results indicated a long-term behaviour among the macroeconomic variables with the BOVESPA. The results of the long-term normalized vector for the Bovespa variable showed that most signals of the cointegration equation parameters are in accordance with what is suggested by the economic theory. In other words, there was a positive behaviour of the GDP and a negative behaviour of the inflation and of the exchange rate (expected to be a positive relationship) in relation to the Bovespa...

Algorithms of causal inference for the analysis of effective connectivity among brain regions

Chicharro, Daniel; Panzeri, Stefano
Fonte: Frontiers Media S.A. Publicador: Frontiers Media S.A.
Tipo: Artigo de Revista Científica
Publicado em 02/07/2014 Português
Relevância na Pesquisa
26.84%
In recent years, powerful general algorithms of causal inference have been developed. In particular, in the framework of Pearl’s causality, algorithms of inductive causation (IC and IC*) provide a procedure to determine which causal connections among nodes in a network can be inferred from empirical observations even in the presence of latent variables, indicating the limits of what can be learned without active manipulation of the system. These algorithms can in principle become important complements to established techniques such as Granger causality and Dynamic Causal Modeling (DCM) to analyze causal influences (effective connectivity) among brain regions. However, their application to dynamic processes has not been yet examined. Here we study how to apply these algorithms to time-varying signals such as electrophysiological or neuroimaging signals. We propose a new algorithm which combines the basic principles of the previous algorithms with Granger causality to obtain a representation of the causal relations suited to dynamic processes. Furthermore, we use graphical criteria to predict dynamic statistical dependencies between the signals from the causal structure. We show how some problems for causal inference from neural signals (e.g....

Causas do desmatamento da Amaz?nia: uma aplica??o do teste de causalidade de Granger acerca das principais fontes de desmatamento nos munic?pios da Amaz?nia Legal brasileira

DINIZ, Marcelo Bentes; OLIVEIRA J?NIOR, Jos? Nilo de; TROMPIERI NETO, Nicolino; DINIZ, M?rcia Juc? Teixeira
Fonte: Universidade Federal do Pará Publicador: Universidade Federal do Pará
Tipo: Artigo de Revista Científica
Português
Relevância na Pesquisa
26.9%
Muitas s?o os fatores, apontadas pela literatura pertinente, acerca das causas do desmatamento da Amaz?nia Legal brasileira. Desde aspectos end?genos como as condi??es edafo-clim?ticas, a aspectos relacionados ? a??o antr?pica como os movimentos populacionais, o crescimento urbano e, em especial, as a??es aut?nomas ou induzidas dos diversos agentes econ?micos p?blicos e privados que t?m atuado na regi?o, configurando historicamente os processos de ocupa??o do solo e aproveitamento econ?mico do espa?o amaz?nico. Este artigo tem como objetivo realizar um teste de causalidade, no sentido de Granger, nas principais vari?veis sugeridas como importantes para explicar o desmatamento da Amaz?nia Legal, no per?odo de 1997 a 2006. A metodologia a ser empregada se baseia em modelos din?micos para dados em painel, desenvolvidos por Holtz-Eakin et al. (1988) e Arellano-Bond (1991), que desenvolveram um teste de causalidade baseado no artigo seminal de Granger (1969). Entre os principais resultados obtidos est? a constata??o emp?rica de que existe uma causalidade bidirecional entre desmatamento e as ?reas de culturas permanente e tempor?ria, bem como o tamanho do rebanho bovino.; ABSTRACT: Many are the factors indicated by the pertinent literature concerning the causes of deforestation in Brazilian Legal Amazon. From endogenous aspects as the edafo-climatic conditions to aspects related to anthropic action...

Nonparametric tests for conditional independence using conditional distributions

Bouezmarni, Taoufik; Taamouti, Abderrahim
Fonte: Universidade Carlos III de Madrid Publicador: Universidade Carlos III de Madrid
Tipo: info:eu-repo/semantics/draft; info:eu-repo/semantics/workingPaper Formato: text/plain; application/pdf
Publicado em 06/01/2012 Português
Relevância na Pesquisa
26.88%
The concept of causality is naturally defined in terms of conditional distribution, however almost all the empirical works focus on causality in mean. This paper aim to propose a nonparametric statistic to test the conditional independence and Granger non-causality between two variables conditionally on another one. The test statistic is based on the comparison of conditional distribution functions using an L2 metric. We use Nadaraya-Watson method to estimate the conditional distribution functions. We establish the asymptotic size and power properties of the test statistic and we motivate the validity of the local bootstrap. Further, we ran a simulation experiment to investigate the finite sample properties of the test and we illustrate its practical relevance by examining the Granger non-causality between S&P 500 Index returns and VIX volatility index. Contrary to the conventional t-test, which is based on a linear mean-regression model, we find that VIX index predicts excess returns both at short and long horizons.; Financial support from the Natural Sciences and Engineering Research Council of Canada and from the Spanish Ministry of Education through grants SEJ 2007-63098 are also acknowledged

The effect of domestic credit in the economic *development process

Ocampo Solarte, Hernan
Fonte: FIU Digital Commons Publicador: FIU Digital Commons
Tipo: Artigo de Revista Científica
Português
Relevância na Pesquisa
26.77%
A commonly held view is that creation of excessive domestic credit may lead to inflation problems, however, many economists uphold the possibility that, generous domestic credit under appropriate conditions will result in increases of output. This hypothesis is examined for Japan and Colombia for the period 1950-1993.^ Domestic credit theories are reviewed since the times of Thornton and Smith, until the recent times of Lewis, McKinnon, Stiglitz and of Japanese economists like K. Emi, Tachi R. and others. It is found that in Japan of the Post-War period, efficient financial markets and the decisive role of the government in orienting investment decisions seem to have influenced positively the effectiveness of domestic credit as an output-stimulating variable. On the contrary, in Colombia the absence of the above features seems to explain why domestic credit is not very effective as an output-stimulating variable.^ Multiple regression analyses show that domestic credit is a strong explanatory variable for output increases in Japan and a weak one for Colombia's case in the studied period. For Japan the correlation depicts a positive relationship between the two variables with a decreasing rate very similar to a typical production function. Moreover...

Níveis de educação, capital humano e crescimento econômico no Brasil

Coelho, Reinaldo de Almeida
Fonte: Florianópolis, SC Publicador: Florianópolis, SC
Tipo: Dissertação de Mestrado Formato: xv, 94 f.| grafs., tabs.
Português
Relevância na Pesquisa
26.78%
Dissertação (mestrado) - Universidade Federal de Santa Catarina, Centro Sócio-Econômico. Programa de Pós-Graduação em Economia.; Este trabalho estuda as relações entre capital humano, medido pelo número de matrículas em quatro níveis de educação, e o Produto Interno Bruto (PIB) do Brasil. Como abordagem, utiliza-se o método de Johansen de co-integração e causalidade de Granger. Consistente com isso, o estudo supõe a educação como o principal elemento de formação de capital humano e a existência de uma relação de longo prazo entre capital humano e PIB. De fato, este trabalho replica o estudo feito por Asteriou e Agiomirgianakis (2001, Journal of Policy Modeling) para a Grécia, o qual conclui que o capital humano causa, no sentido de Granger, o PIB daquele país para os níveis educacionais primário e secundário, encontrando causalidade reversa para o ensino superior. No presente estudo, o período analisado compreende 1959 a 2000, com dados sobre os números de matrícula nos níveis do ensino fundamental, ensino médio, graduação e pós graduação. Para o Brasil, o presente trabalho encontra relações de causalidade no sentido do capital humano para o crescimento econômico apenas para as séries de ensino fundamental e de graduação...

Eficiência informacional no mercado de ações do Brasil

Guttler, Caio Nor
Fonte: Florianópolis, SC Publicador: Florianópolis, SC
Tipo: Dissertação de Mestrado Formato: 95 f.| grafs., tabs.
Português
Relevância na Pesquisa
26.8%
Dissertação (mestrado) - Universidade Federal de Santa Catarina, Centro Sócio-Econômico. Programa de Pós-Graduação em Economia; Este trabalho se propõe a testar a hipótese de eficiência no mercado de ações brasileiro com base nas informações divulgadas sobre variáveis macroeconômicas do país, mediante a análise de cointegração e teste de causalidade de Granger. Em geral, na literatura, os países desenvolvidos são classificados como eficientes, enquanto os em desenvolvimentos, como ineficientes. Além dos testes de cointegração, que apresentam controvérsias quanto a sua eficácia em testar a eficiência de mercado, e de causalidade de Granger padrão, foram realizados os testes de causalidade de Granger com mecanismo de correção de erro (MCE) e pela metodologia de Toda e Yamamoto (1995). Para contornar o problema de defasagem na divulgação das informações todos estes testes foram estimados também a partir das expectativas das séries, obtidas por meio de modelos de previsão. Para verificar a relação com o Ibovespa foram utilizadas nos testes as seguintes variáveis macroeconômicas: o Produto Interno Bruto (PIB), a produção industrial, a taxa de inflação (medida pelo IPCA), o risco país, a taxa Selic...

Causal Measures of Structure and Plasticity in Simulated and Living Neural Networks

Cadotte, Alex J.; DeMarse, Thomas B.; He, Ping; Ding, Mingzhou
Fonte: Public Library of Science Publicador: Public Library of Science
Tipo: Artigo de Revista Científica
Publicado em 07/10/2008 Português
Relevância na Pesquisa
26.85%
A major goal of neuroscience is to understand the relationship between neural structures and their function. Recording of neural activity with arrays of electrodes is a primary tool employed toward this goal. However, the relationships among the neural activity recorded by these arrays are often highly complex making it problematic to accurately quantify a network's structural information and then relate that structure to its function. Current statistical methods including cross correlation and coherence have achieved only modest success in characterizing the structural connectivity. Over the last decade an alternative technique known as Granger causality is emerging within neuroscience. This technique, borrowed from the field of economics, provides a strong mathematical foundation based on linear auto-regression to detect and quantify “causal” relationships among different time series. This paper presents a combination of three Granger based analytical methods that can quickly provide a relatively complete representation of the causal structure within a neural network. These are a simple pairwise Granger causality metric, a conditional metric, and a little known computationally inexpensive subtractive conditional method. Each causal metric is first described and evaluated in a series of biologically plausible neural simulations. We then demonstrate how Granger causality can detect and quantify changes in the strength of those relationships during plasticity using 60 channel spike train data from an in vitro cortical network measured on a microelectrode array. We show that these metrics can not only detect the presence of causal relationships...

Risco soberano brasileiro, crises internacionais e fluxos de investimentos estrangeiros em carteiras de ações; El riesgo soberano de brasil, crisis internacionales y flujos de inversión extranjera en cartera; Brazilian sovereign risk, international crises and foreign portfolio investment flows

Callado, Antônio André Cunha; Moller, Horst Dieter
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; ; ; ; ; ; Formato: application/pdf
Publicado em 01/06/2009 Português
Relevância na Pesquisa
26.83%
O objetivo deste artigo é descrever o comportamento do risco soberano brasileiro de 1995 a 2005, para avaliar a influência das crises financeiras internacionais sobre o risco soberano brasileiro nesse período. A influência das crises financeiras internacionais é analisada por métodos econométricos. O risco soberano pode ser modelado econometricamente mediante regressões com variáveis explicativas, tais como IBOVESPA, taxa de juros SELIC de curto prazo, reservas internacionais brasileiras, taxa de câmbio do Real em relação ao dólar americano e fluxos de investimentos estrangeiros para portfólios de ações e renda fixa. As primeiras quatro variáveis são usadas para a construção de um índice de pressão do mercado de câmbio que identifique e mensure períodos de crise financeira internacional e modele suas influências sobre o risco soberano. Outro modelo explica as mudanças no risco soberano em razão do índice de pressão do mercado de câmbio e dos fluxos de investimentos estrangeiros em portfólios de ações, obtendo bons resultados em uma projeção dinâmica sobre a variável dependente risco soberano brasileiro. Dados mensais foram usados em um teste de causalidade de Granger para identificar relações defasadas. Os resultados mostraram que as variáveis de mercado são determinadas simultaneamente...