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Information theoretic interpretation of frequency domain connectivity measures

Takahashi, Daniel Yasumasa; Baccala, Luiz Antonio; Sameshima, Koichi
Fonte: SPRINGER Publicador: SPRINGER
Tipo: Artigo de Revista Científica
Português
Relevância na Pesquisa
26.13%
In order to provide adequate multivariate measures of information flow between neural structures, modified expressions of partial directed coherence (PDC) and directed transfer function (DTF), two popular multivariate connectivity measures employed in neuroscience, are introduced and their formal relationship to mutual information rates are proved.; FAPESP[2005/56464-9]; FAPESP[2008/08171-0]; Programa Interunidades de Pos-Graduacao em Bioinformatica da Universidade de Sao Paulo (USP); CNPq[06964/2006-6]; CNPq[3044 04/2009-8]

Current account and capital mobility hypothesis: Evidence from the G-7

Gaglianone, Wagner Piazza
Fonte: Fundação Getúlio Vargas Publicador: Fundação Getúlio Vargas
Tipo: Dissertação
Português
Relevância na Pesquisa
26.13%
None; This paper investigates an intertemporal optimization model in order to analyze the current account of the G-7 countries, measured as the present value of the future changes in net output. The study compares observed and forecasted series, generated by the model, using Campbell & Shiller’s (1987) methodology. In the estimation process, the countries are considered separately (with OLS technique) as well as jointly (SURE approach), to capture contemporaneous correlations of the shocks in net output. The paper also proposes a note on Granger causality and its implications to the optimal current account. The empirical results are sensitive to the technique adopted in the estimation process and suggest a rejection of the model in the G-7 countries, except for the USA and Japan, according to some papers presented in the literature.

Integração entre os mercados de milho e soja : uma análise através da transmissão de preços

Libera, Affonso Amaral Dalla
Fonte: Universidade Federal do Rio Grande do Sul Publicador: Universidade Federal do Rio Grande do Sul
Tipo: Dissertação Formato: application/pdf
Português
Relevância na Pesquisa
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O objetivo da presente dissertação consiste em verificar como se dá a transmissão de preços entre os mercados físico ao nível de produtor no Brasil e futuro para as commodities milho e soja, e, entre estes dois complexos produtivos. Para isso, utilizou-se o seguinte método de pesquisa: teste de raiz unitária, teste de co-integração, teste de causalidade de Granger, estimação da elasticidade de transmissão de preços e mecanismo de correção de erro. Os resultados indicam que há integração e consequentemente transmissão de preços entre os seguintes pares de variáveis (mercados), como dependentes e explicativas respectivamente: físico soja / futuro soja, físico milho / futuro milho, físico soja / futuro milho. O fato de existir co-integração entre tais pares de variáveis é condição suficiente para se afirmar a existência de uma relação linear de equilíbrio a longo prazo para o qual o sistema converge, validando os pressupostos teóricos da Lei do Preço Único e confirmando a integração. Porém, a estimação do parâmetro que corresponde ao coeficiente que mede a elasticidade de transmissão de preço não apresentou significância estatística para a relação físico milho / futuro milho. No caso da relação contemporânea entre físico soja / futuro soja a cada 1 dólar por saco de 60Kg de variação no mercado futuro de soja...

Dynamic causal modeling and Granger causality Comments on: The identification of interacting networks in the brain using fMRI: Model selection, causality and deconvolution

Friston, Karl
Fonte: Academic Press Publicador: Academic Press
Tipo: Artigo de Revista Científica
Publicado em 15/09/2011 Português
Relevância na Pesquisa
26.33%

Studies of properties of “Pain Networks” as predictors of targets of stimulation for treatment of pain

Liu, C. C.; Franaszczuk, P.; Crone, N. E.; Jouny, C.; Lenz, F. A.
Fonte: Frontiers Media S.A. Publicador: Frontiers Media S.A.
Tipo: Artigo de Revista Científica
Publicado em 05/12/2011 Português
Relevância na Pesquisa
26.33%
Two decades of functional imaging studies have demonstrated pain-related activations of primary somatic sensory cortex (S1), parasylvian cortical structures (PS), and medial frontal cortical structures (MF), which are often described as modules in a “pain network.” The directionality and temporal dynamics of interactions between and within the cortical and thalamic modules are uncertain. We now describe our studies of these interactions based upon recordings of local field potentials (LFPs) carried out in an epilepsy monitoring unit over the one week period between the implantation and removal of cortical electrodes during the surgical treatment of epilepsy. These recordings have unprecedented clarity and resolution for the study of LFPs related to the experimental pain induced by cutaneous application of a Thulium YAG laser. We also used attention and distraction as behavioral probes to study the psychophysics and neuroscience of the cortical “pain network.” In these studies, electrical activation of cortex was measured by event-related desynchronization (ERD), over SI, PS, and MF modules, and was more widespread and intense while attending to painful stimuli than while being distracted from them. This difference was particularly prominent over PS. In addition...

Plasticity in the Macromolecular-Scale Causal Networks of Cell Migration

Lock, John G.; Mamaghani, Mehrdad Jafari; Shafqat-Abbasi, Hamdah; Gong, Xiaowei; Tyrcha, Joanna; Strömblad, Staffan
Fonte: Public Library of Science Publicador: Public Library of Science
Tipo: Artigo de Revista Científica
Publicado em 28/02/2014 Português
Relevância na Pesquisa
26.33%
Heterogeneous and dynamic single cell migration behaviours arise from a complex multi-scale signalling network comprising both molecular components and macromolecular modules, among which cell-matrix adhesions and F-actin directly mediate migration. To date, the global wiring architecture characterizing this network remains poorly defined. It is also unclear whether such a wiring pattern may be stable and generalizable to different conditions, or plastic and context dependent. Here, synchronous imaging-based quantification of migration system organization, represented by 87 morphological and dynamic macromolecular module features, and migration system behaviour, i.e., migration speed, facilitated Granger causality analysis. We thereby leveraged natural cellular heterogeneity to begin mapping the directionally specific causal wiring between organizational and behavioural features of the cell migration system. This represents an important advance on commonly used correlative analyses that do not resolve causal directionality. We identified organizational features such as adhesion stability and adhesion F-actin content that, as anticipated, causally influenced cell migration speed. Strikingly, we also found that cell speed can exert causal influence over organizational features...

Sparse Multivariate Autoregressive Modeling for Mild Cognitive Impairment Classification

Li, Yang; Wee, Chong-Yaw; Jie, Biao; Peng, Ziwen; Shen, Dinggang
Fonte: PubMed Publicador: PubMed
Tipo: Artigo de Revista Científica
Publicado em /07/2014 Português
Relevância na Pesquisa
26.33%
Brain connectivity network derived from functional magnetic resonance imaging (fMRI) is becoming increasingly prevalent in the researches related to cognitive and perceptual processes. The capability to detect causal or effective connectivity is highly desirable for understanding the cooperative nature of brain network, particularly when the ultimate goal is to obtain good performance of control-patient classification with biological meaningful interpretations. Understanding directed functional interactions between brain regions via brain connectivity network is a challenging task. Since many genetic and biomedical networks are intrinsically sparse, incorporating sparsity property into connectivity modeling can make the derived models more biologically plausible. Accordingly, we propose an effective connectivity modeling of resting-state fMRI data based on the multivariate autoregressive (MAR) modeling technique, which is widely used to characterize temporal information of dynamic systems. This MAR modeling technique allows for the identification of effective connectivity using the Granger causality concept and reducing the spurious causality connectivity in assessment of directed functional interaction from fMRI data. A forward orthogonal least squares (OLS) regression algorithm is further used to construct a sparse MAR model. By applying the proposed modeling to mild cognitive impairment (MCI) classification...

Exploración de una relación de largo plazo entre las principales variables macroeconómicas y los retornos del mercado de valores en Colombia

Lizarazo Cabrales, Ana Milena; Mejía Pérez, Juan Sebastián
Fonte: Pontifícia Universidade Javeriana Publicador: Pontifícia Universidade Javeriana
Tipo: masterThesis; Tesis de Grado Maestría Formato: Pdf
Português
Relevância na Pesquisa
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El presente estudio explora la interacción entre algunas variables macroeconómicas y los retornos del mercado de valores, bajo un esquema de cointegración que permite determinar sus dinámicas de largo plazo. Siguiendo el enfoque tradicional de los modelos de corrección de error propuesto por Johansen (1988), encontramos que el índice del mercado de valores colombiano exhibe una relación de largo plazo con la tasa de cambio y el índice de precios al consumidor. Los test de exclusión indican que tanto la producción industrial como la oferta monetaria no hacen parte del vector cointegrante. El test de causalidad de Granger permite concluir que ni la actividad económica ni la actividad bursátil pueden ser consideradas como un indicador líder la una de la otra. Los análisis de impulso respuesta y descomposición de varianza, muestran que las relaciones de equilibrio no son significativas. Las variables del estudio fueron seleccionadas por los autores con base en una serie de criterios expertos. Es por eso que los resultados de esta investigación se encuentran sujetos al sistema de información escogido y al periodo de estudio.; This study explores the interactions between selected macroeconomic variables and stock market returns for Colombia in a VEC framework to trace out both short and long run dynamics. Following Johansen s (1988) traditional approach to vector error correction models...

A estrutura da despesa pública Cabo-verdiana no período 1991 a 2010

Andrade, Maria Jesus de Fátima Gomes
Fonte: Universidade de Évora Publicador: Universidade de Évora
Tipo: Dissertação de Mestrado
Português
Relevância na Pesquisa
26.36%
Nesta tese analisa-se a Despesa do Sector Público Administrativo Cabo-verdiano dos últimos 20 anos. A conclusão da análise descritiva segundo diferentes ópticas aponta para um ritmo de crescimento médio do Orçamento de Investimento superior ao do Funcionamento, prevalecendo este em termos estruturais. Os determinantes explicativos da tendência evolutiva foram as rubricas pessoal e operações financeiras e os principais consumidores os ministérios da Educação e da Saúde. Os governos priorizaram as funções redistributivas e de afectação e canalizaram o investimento público para impulsionar as actividades privadas. A modelização econométrica sugeriu que a taxa de variação da despesa pública foi influenciada negativamente pelas eleições, alternância governativa e taxa de variação da receita e positivamente pelas taxas de crescimento do investimento e do Produto. O teste de causalidade à Granger entre a variável de interesse e o crescimento económico indiciou a rejeição da lei de Wagner para Cabo Verde; ABSTRACT: This thesis analyzes the expenditure of the Administrative Public Sector in Cape Verde for the last 20 years The descriptive analysis, by following different optical, points to an average growth rate higher in the investment budget than in the operational budget...

The Short-term analysis of contagion variables and financial news in the United States and Colombia; Análisis de corto plazo del contagio de variables y noticias financieras en estados unidos y Colombia

César Augusto Corredor Velandia; Universidad del Norte; Stefano Vega Mazzeo; Universidad del Norte
Fonte: Revista de Economía del Caribe Publicador: Revista de Economía del Caribe
Tipo: article; publishedVersion Formato: application/pdf
Português
Relevância na Pesquisa
26.36%
This paper studies the contagion effect in financial, monetary and stock variables from the US markets on the same type of Colombian variables. It uses Granger causality test and a Vector Autorregresive model in order to obtain impulse-response functions between both countries´ variables and to determine the effect of financial news originated in the US. This research reveals that stock variables have a stronger correlation than fixed income markets. It also shows that short run shocks are more frequent and have more impact on stock markets. During turbulence periods it is found that there is a rise in volatility which follows an increase in news, shocks have a more persistent effect and expected shocks originated in the US are anticipated by investors in Colombia, which is reflected in a higher volatility in Colombian variables before it increases in US.; Este documento analiza el efecto contagio de las variables bursátiles, monetarias y financieras de Estados Unidos sobre el comportamiento de estas en Colombia a través de pruebas de causalidad de Granger y un modelo de Vectores Autorregresivos (VAR) que nos arroja los impulso-respuesta entre variables y el efecto de noticias financieras. La investigación revela una mayor correlación en las variables bursátiles que en las de renta fija y que los choques de corto plazo son más frecuentes en este mercado. Durante períodos de turbulencia se comprueba el aumento en la volatilidad debido al incremento en el número de noticias...

Análisis de la relación entre el precio de la acción de Ecopetrol y los precios internacionales del petróleo

Bocanegra, Daniel
Fonte: Facultad de economía Publicador: Facultad de economía
Tipo: info:eu-repo/semantics/bachelorThesis; info:eu-repo/semantics/acceptedVersion Formato: application/pdf
Publicado em 07/05/2012 Português
Relevância na Pesquisa
26.36%
Este documento analiza mediante la metodología de cointegración de Johansen, la relación de largo plazo entre el precio de la acción de Ecopetrol en la Bolsa de Valores de Colombia y los precios del petróleo WTI y Brent. Los resultados del modelo indican que aunque no existe una relación de largo plazo entre cada uno de los precios de referencia y la acción, hay evidencia de una relación en el corto plazo entre el precio del crudo Brent y la acción, demostrada por una prueba de causalidad de Granger. Este resultado puede ser útil para el Gobierno y otros accionistas.; This paper analyzes through the Johansen cointegration methodology, the long-term relation between the stock price of Ecopetrol, listed on the Colombian Stock Exchange, and the WTI and Brent crude oil prices. The model results indicate that although the long-term relation between each of the reference oil brands and the stock price does not exist, there is evidence for a short-term relation between the Brent crude price and the price of Ecopetrol stock, as evidenced by the Granger causality test. This result can be useful for the policy maker and the shareholders.

Brain Networks Shaping Religious Belief

Kapogiannis, Dimitrios; Deshpande, Gopikrishna; Krueger, Frank; Thornburg, Matthew P.; Grafman, Jordan Henry
Fonte: Mary Ann Liebert, Inc. Publicador: Mary Ann Liebert, Inc.
Tipo: Artigo de Revista Científica
Publicado em 01/02/2014 Português
Relevância na Pesquisa
26.36%
We previously demonstrated with functional magnetic resonance imaging (fMRI) that religious belief depends upon three cognitive dimensions, which can be mapped to specific brain regions. In the present study, we considered these co-activated regions as nodes of three networks each one corresponding to a particular dimension, corresponding to each dimension and examined the causal flow within and between these networks to address two important hypotheses that remained untested in our previous work. First, we hypothesized that regions involved in theory of mind (ToM) are located upstream the causal flow and drive non-ToM regions, in line with theories attributing religion to the evolution of ToM. Second, we hypothesized that differences in directional connectivity are associated with differences in religiosity. To test these hypotheses, we performed a multivariate Granger causality-based directional connectivity analysis of fMRI data to demonstrate the causal flow within religious belief-related networks. Our results supported both hypotheses. Religious subjects preferentially activated a pathway from inferolateral to dorsomedial frontal cortex to monitor the intent and involvement of supernatural agents (SAs; intent-related ToM). Perception of SAs engaged pathways involved in fear regulation and affective ToM. Religious beliefs are founded both on propositional statements for doctrine...

Nowcasting the Bitcoin Market with Twitter Signals

Kaminski, Jermain
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Português
Relevância na Pesquisa
26.36%
This paper analyzes correlations and causalities between Bitcoin market indicators and Twitter posts containing emotional signals on Bitcoin. Within a timeframe of 104 days (November 23rd 2013 - March 7th 2014), about 160,000 Twitter posts containing "bitcoin" and a positive, negative or uncertainty related term were collected and further analyzed. For instance, the terms "happy", "love", "fun", "good", "bad", "sad" and "unhappy" represent positive and negative emotional signals, while "hope", "fear" and "worry" are considered as indicators of uncertainty. The static (daily) Pearson correlation results show a significant positive correlation between emotional tweets and the close price, trading volume and intraday price spread of Bitcoin. However, a dynamic Granger causality analysis does not confirm a statistically significant effect of emotional Tweets on Bitcoin market values. To the contrary, the analyzed data shows that a higher Bitcoin trading volume Granger causes more signals of uncertainty within a 24 to 72-hour timeframe. This result leads to the interpretation that emotional sentiments rather mirror the market than that they make it predictable. Finally, the conclusion of this paper is that the microblogging platform Twitter is Bitcoin's virtual trading floor...

Inflation as a function of labor force change rate: cointegration test for the USA

Kitov, Ivan O.; Kitov, Oleg I.; Dolinskaya, Svetlana A.
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Publicado em 06/11/2008 Português
Relevância na Pesquisa
26.36%
A linear and lagged relationship between inflation and labor force change rate, p(t)= A1dLF(t-t1)/LF(t-t1)+A2 was found for developed economies. For the USA, A1=4.0, A2=-0.03075, and t1=2 years. It provides a RMS forecasting error (RMFSE) of 0.8% at a two-year horizon for the period between 1965 and 2002 (the best among other inflation forecasting models). This relationship is tested for cointegration. Both variables are integrated of order one according to the presence of a unit root in the series and its absence in their first differences. Two methods of cointegration testing are applied: the Engle-Granger one based on the unit root test of the residuals including a variety of specification tests and the Johansen cointegration rank test based on the VAR representation. Both approaches demonstrate that the variables are cointegrated and the long-run equilibrium relation revealed in previous study holds. According to the Granger causality test, the labor force change is proved to be a weakly exogenous variable - a natural result considering the time lead and the existence of a cointegrating relation. VAR and VECM representations do not provide any significant improvement in RMSFE. There are numerous applications of the equation: from purely theoretical - a robust fundamental relation between macroeconomic and population variables...

Causal Network Inference by Optimal Causation Entropy

Sun, Jie; Taylor, Dane; Bollt, Erik M.
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Português
Relevância na Pesquisa
26.33%
The broad abundance of time series data, which is in sharp contrast to limited knowledge of the underlying network dynamic processes that produce such observations, calls for a rigorous and efficient method of causal network inference. Here we develop mathematical theory of causation entropy, an information-theoretic statistic designed for model-free causality inference. For stationary Markov processes, we prove that for a given node in the network, its causal parents forms the minimal set of nodes that maximizes causation entropy, a result we refer to as the optimal causation entropy principle. Furthermore, this principle guides us to develop computational and data efficient algorithms for causal network inference based on a two-step discovery and removal algorithm for time series data for a network-couple dynamical system. Validation in terms of analytical and numerical results for Gaussian processes on large random networks highlight that inference by our algorithm outperforms previous leading methods including conditioned Granger causality and transfer entropy. Interestingly, our numerical results suggest that the number of samples required for accurate inference depends strongly on network characteristics such as the density of links and information diffusion rate and not necessarily on the number of nodes.

Casual Compressive Sensing for Gene Network Inference

Deng, Mo; Emad, Amin; Milenkovic, Olgica
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Publicado em 25/02/2012 Português
Relevância na Pesquisa
26.36%
We propose a novel framework for studying causal inference of gene interactions using a combination of compressive sensing and Granger causality techniques. The gist of the approach is to discover sparse linear dependencies between time series of gene expressions via a Granger-type elimination method. The method is tested on the Gardner dataset for the SOS network in E. coli, for which both known and unknown causal relationships are discovered.

A conduta de política monetária do Banco Central e o efeito calendário no Brasil

Teixeira, Anderson Mutter; Dias, Maria Helena Ambrosio; Dias, Joilson
Fonte: Universidade de São Paulo. Faculdade de Economia, Administração e Contabilidade de RP Publicador: Universidade de São Paulo. Faculdade de Economia, Administração e Contabilidade de RP
Tipo: info:eu-repo/semantics/article; info:eu-repo/semantics/publishedVersion; ; ; Formato: application/pdf
Publicado em 01/09/2010 Português
Relevância na Pesquisa
26.36%
Monetary policy conduct has officially become inflation targeting in Brazil since 1999. In this regime, expectations play a special role, and the interest rate is usually operated as instrument. This paper estimates the time structure of the inflation rate expectations (calendar effect) in the Brazilian economy, from 2001 to 2008, monthly. The empirical analysis applies the method of Auto-Regression Vectors (VAR) to account for the effects of six months ahead forward-looking inflation expectations to interest rate determination, from a reaction function suggested by new macroeconomic consensus. Yet, it takes Granger causality functions, impulse-response analysis and variance decomposition to reach the conclusions. The results suggest that calendar effect has relatively low performance in determining interest rate. Moreover, Brazilian Central Bank is aware of the variations of output gap.; O objetivo principal deste trabalho é estimar uma equação para captar o efeito calendário da conduta de política monetária, via a variável expectativa de inflação na determinação da taxa de juros, com dados mensais para o período de janeiro de 2001 até julho de 2008. Para contemplar este objetivo realiza-se a análise das funções impulso-resposta...

Fundamental Volatility's Effect on Asset Volatility

Beard, Evan Allen
Fonte: Universidade Duke Publicador: Universidade Duke
Formato: 280951 bytes; application/pdf
Publicado em 15/04/2009 Português
Relevância na Pesquisa
26.36%
This paper examines the e ect of macroeconomic variable volatility on implied and realized asset price level volatilities in the U.S. using monthly data from 1986 - 2008. Two approaches are taken: An autoregressive distributed lag model us- ing rolling standard deviations and a GARCH model. The S&P 500's volatility is used as a proxy for historical (actual) volatility and the VIX is used as a proxy for implied volatility. For the distributed lag model, each linear regression tests granger causality (using Newey-West robust standard errors) of a single macroeconomic variable by in- corporating lagged values (as determined by comparing Bayesian Information Criteria of both the constructed macroeconomic variable and the dependent asset volatility variable). Capacity utilization, PPI, and employment volatility are found to be sig- ni cant for predicting S&P volatility, while PPI and M2 volatility are signi cant for the VIX. For the GARCH regressions, terms of trade, employment, and capacity uti- lization volatility are statistically signi cant. Forecasts are then constructed using those variables shown to be granger casual, but a two-sided t-test rejects the null hypothesis that forecast errors are zero in every case.; Honors thesis, Department of Economics

Is the Export-Lead Growth Hypothesis Valid for Canada?

Awokuse, Titus
Fonte: Department of Food and Resource Economics Publicador: Department of Food and Resource Economics
Tipo: Staff Paper Formato: 511567 bytes; application/pdf
Português
Relevância na Pesquisa
26.36%
Empirical evidence linking exports to economic growth has been mixed and inconclusive. This study re-examine the export-led growth (ELG) hypothesis for Canada by testing for Granger causality from exports to national output growth using vector error correction models (VECM) and the augmented vector autoregressive (VAR) methodology developed in Toda and Yamamoto (1995). Application of recent developments in time series modeling and the inclusion of relevant variables omitted in previous studies help clarify the contradictory results from prior studies on the Canadian economy. The empirical results suggest that a long-run steady state exists among the model???s six variables and that Granger causal flow is unidirectional from real exports to real GDP.

Anthropogenic and natural causes of climate change

Stern, David; Kaufmann, R K
Fonte: Kluwer Academic Publishers Publicador: Kluwer Academic Publishers
Tipo: Artigo de Revista Científica
Português
Relevância na Pesquisa
26.33%
We test for causality between radiative forcing and temperature using multivariate time series models and Granger causality tests that are robust to the non-stationary (trending) nature of global climate data. We find that both natural and anthropogenic f