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Estratégias de diversificação de carteiras de ações com dependência assimétrica; Strategies to diversify portfolios with asymmetric dependence

Bergmann, Daniel Reed
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 04/03/2013 Português
Relevância na Pesquisa
46.18%
DeMiguel, Garlappi e Uppal (2009) fizeram a comparação da regra 1/N ou de Talmud com 14 modelos de otimização que vieram depois do trabalho de Markowitz (1952). As conclusões mostraram que todos os modelos de alocação ótima analisados tiveram um desempenho inferior ao da regra de Talmud. Tu e Zhou (2011) propuseram uma combinação entre Markowitz e Talmud para que tal modelo superasse Talmud. Os resultados obtidos foram satisfatórios. A desconsideração dos eventos extremos (dependência assimétrica ou caudal) durante o processo de construção de carteiras poderá diminuir as habilidades dos gestores de ativos em reduzir o risco através da diversificação. A modelagem de cópulas sobre os retornos dos ativos nos permite calcular uma alternativa para medir a dependência dos ativos em eventos extremos através do índice de dependência caudal inferior. Hatherley e Alcock (2007) relataram que o modelo de Markowitz tende a subestimar as perdas potenciais que venham a ocorrer na presença de eventos extremos de mercado (crashes) para um determinado nível de retorno esperado. Verificamos se as estratégias com dependência caudal superaram Talmud, o modelo de Markowitz e o modelo de Tu e Zhou (2011) através da simulação de 1.000 carteiras com 3...

Cópulas tempo-variantes em finanças

Silva Filho, Osvaldo Candido da
Fonte: Universidade Federal do Rio Grande do Sul Publicador: Universidade Federal do Rio Grande do Sul
Tipo: Tese de Doutorado Formato: application/pdf
Português
Relevância na Pesquisa
35.97%
A modelagem da estrutura de dependência é de grande importância em todos os ramos da economia onde há incerteza. Ela é um elemento crucial na análise de risco e para a tomada de decisão sob incerteza. As cópulas oferecem aos agentes que se deparam com este problema um poderoso e flexível instrumento para modelar a estrutura de dependência entre variáveis aleatórias e que é preferível ao instrumento tradicional baseado na correlação linear. Neste estudo, nós analisamos a dinâmica temporal da estrutura de dependência entre índices de mercados financeiros internacionais e propomos um novo procedimento para capturar a estrutura de dependência ao longo do tempo. Adicionalmente, estudamos alguns fatos estilizados sobre índices de mercados financeiros como a relação entre volume-volatilidade e retorno-volatilidade.; Modelling dependence is of key importance to all economic fields in which uncertainty plays a large role. It is a crucial element of risk analysis and decision making under uncertainty. Copulas offer economic agents facing uncertainty a powerful and flexible tool to model dependence between random variables and often are preferable to the traditional, correlation-based approach. In this work we analyze the time dynamics of the dependence structure between broad stock market indices and propose a novel procedure to capture dependence structure over time. Additionally...

Construção de distribuições multivariadas com dependências assimétricas : modelos hierárquicos arquimedianos, modelos pair-cópula e cópula t-sudent; Construction of multivariate distributions wits asymmetric dependence : hierarchical arquimedean copula, pair-copula and t-student copula

Caroline de Freitas Sakamoto
Fonte: Biblioteca Digital da Unicamp Publicador: Biblioteca Digital da Unicamp
Tipo: Dissertação de Mestrado Formato: application/pdf
Publicado em 28/02/2012 Português
Relevância na Pesquisa
46.14%
A construção de distribuições multivariadas com dependências assimétricas, especialmente com dependências complexas nas caudas, é um requisito necessário em muitas aplicações, particularmente em finanças. A teoria de cópulas pode ser bastante útil nesta tarefa. Neste sentido, algumas das propostas sugeridas na literatura são os modelos hierárquicos arquimedianos, os modelos pair-cópula e a cópula t-Student assimétrica. Esta dissertação está focada no estudo e aplicação de modelos de cópulas com dimensões maiores que três através dos modelos Pair-Cópula, que têm sido de fundamental importância para estender o conceito de dependência do caso bivariado para o caso multivariado. A metodologia de Pair-Cópula propõe a utilização de diagramas vine para a organização dos possíveis modelos. A ênfase é dada para o diagrama D-vine, que permite diversas permutações entre as séries. Por meio de simulação, é verificado o impacto dessas diferentes permutações do diagrama D-vine, e também do uso de diferentes funções de cópulas sob o cálculo do Valor em Risco (VaR). São realizadas comparações com cópulas multivariadas arquimedianas, normal e t-Student multivariadas. é apresentada uma aplicação de cópulas tetravariadas a dados reais de retornos financeiros.; The construction of multivariate distributions with asymmetric dependencies...

Pollination and breeding system of Canna paniculata(Cannaceae) in a montane Atlantic Rainforest: asymmetric dependence on a hermit hummingbird

Maruyama,Pietro Kiyoshi; Vizentin-Bugoni,Jeferson; Dalsgaard,Bo; Sazima,Marlies
Fonte: Sociedade Botânica do Brasil Publicador: Sociedade Botânica do Brasil
Tipo: Artigo de Revista Científica Formato: text/html
Publicado em 01/03/2015 Português
Relevância na Pesquisa
46%
We studied the pollination biology of Canna paniculata (Cannaceae), a plant species common in the Atlantic Rainforest of southeastern Brazil. The species presents specialized ornithophilous flowers, which in our study area are solely pollinated by the hermit hummingbird Phaethornis eurynome. Although C. paniculata is capable of bearing fruit after self-pollination, it requires pollinators for reproduction. We discuss the importance of hermit hummingbirds for the reproduction of specialized ornithophilous plants such as C. paniculata, including their asymmetric dependence on hermit hummingbirds - core pollinators in Neotropical forest ecosystems.

Asymmetric hetero-Diels–Alder reaction catalyzed by dirhodium(II) carboxamidates

Doyle, Michael P.; Valenzuela, Marcela; Huang, Penglin
Fonte: National Academy of Sciences Publicador: National Academy of Sciences
Tipo: Artigo de Revista Científica
Português
Relevância na Pesquisa
36%
Chiral dirhodium(II) carboxamidates are highly efficient catalysts for reactions between a variety of aldehydes and activated dienes. Catalyst loadings as low at 0.01 mol % have been realized with enantioselectivities up to 97%. Kinetic investigations reveal a pronounced electronic influence on the rate of the hetero-Diels–Alder reaction with a Hammett ρ value of +1.9 (versus σ+). Inhibition of the catalyst by reactant aldehyde is apparent, but reactions show first-order dependence on aldehyde and diene, and there is a variable dependence on catalyst.

Correlation Breakdown and Extreme Dependence in Emerging Equity Markets

BEKIROS, Stelios D.; GEORGOUTSOS, Dimitris A.
Fonte: Instituto Universitário Europeu Publicador: Instituto Universitário Europeu
Tipo: Trabalho em Andamento Formato: application/pdf; digital
Português
Relevância na Pesquisa
36%
This study investigates the dependence structure of extreme realization of returns between the mature markets of Japan and the U.S. and the emerging markets of Cyprus, Greece and that of six Asia- Pacific counties, with the application of multivariate Extreme Value Theory that best suits to the problem under investigation. The evidence we obtain indicates that the left tail extreme correlations (downside risk) are not substantially different from the unconditional ones or from those obtained from a multivariate Dynamic Conditional Correlation GARCH model (DCC) with asymmetric GJRGARCH univariates. Moreover, a clustering analysis shows that the examined countries do not belong to a distinct block on the basis of the extreme correlations we have estimated. The policy implications are that the benefits from portfolio diversification between the Cyprus stock market and the markets of Asia-Pacific countries, Greece, Japan and the U.S. are not eroded during crisis periods, in that no “correlation breakdown” has been witnessed.

Trimming and tapering semi-parametric estimates in asymmetric long memory time series

Arteche, J.; Velasco, Carlos
Fonte: Blackwell Publicador: Blackwell
Tipo: Artigo de Revista Científica Formato: application/pdf
Publicado em /06/2005 Português
Relevância na Pesquisa
35.88%
This paper considers semi-parametric frequency domain inference for seasonal or cyclical time series with asymmetric long memory properties. It is shown that tapering the data reduces the bias caused by the asymmetry of the spectral density at the cyclical frequency. We provide a joint treatment of different tapering schemes and of the log-periodogram regression and Gaussian semi-parametric estimates of the memory parameters. Tapering allows for a less restrictive trimming of frequencies for the analysis of the asymptotic properties of both estimates when allowing for asymmetries. Simple rules for inference are feasible thanks to tapering and their validity in finite samples is investigated in a simulation exercise and for an empirical example.

Asymmetric long-run effects in the oil industry

Ramos, Sofía B.; Veiga, Helena; Wang, Chih-Wei
Fonte: Universidade Carlos III de Madrid Publicador: Universidade Carlos III de Madrid
Tipo: info:eu-repo/semantics/draft; info:eu-repo/semantics/workingPaper Formato: application/pdf
Publicado em 13/02/2012 Português
Relevância na Pesquisa
35.96%
This paper analyzes long term dependence between the market value of oil firms and oil prices. Applying nonlinear cointegration, the results show that in the long-run oil price hikes and falls show different adjustments to the equilibrium. Using a momentum threshold autoregressive model (MTAR), we find that for oil producing firms, the adjustment is faster for oil price falls than for oil price hikes, but we do not find a difference on the speed of adjustment for oil integrated firms. Moreover, testing for asymmetric cointegration, we also find that oil price falls impact substantially the value of oil producers and integrated firms, but the same is not found for oil price hikes. Overall, the evidence suggests that firm value stays above equilibrium relationship when there are oil price hikes.

Are Natural Resources Cursed? An Investigation of the Dynamic Effects of Resource Dependence on Institutional Quality

De Rosa, Donato; Iootty, Mariana
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Tipo: Publications & Research :: Policy Research Working Paper; Publications & Research
Português
Relevância na Pesquisa
35.97%
This paper examines whether natural resource dependence has a negative influence on various indicators of institutional quality when controlling for the potential effects of other geographic, economic and cultural initial conditions. Analysis of a panel of countries from 1996 to 2010 indicates that a high degree of resource dependence, measured as the share of mineral fuel exports in a country's total exports, is associated with worse government effectiveness, as well as with reduced levels of competition across the economy. Furthermore, estimation of long-run elasticities suggests that government effectiveness and the intensity of domestic competition decrease over time as the dependence on natural resources increases. An illustration of the Russian case shows that the negative effects accumulate in the long run, leading to a worse deterioration of government effectiveness in Russia than in Canada, a country with a comparable resource endowment but far better overall institutional quality. This result is corroborated by a significant negative correlation found between regional resource dependence and an indicator of regulatory capture in Russian regions...

Função de acoplamento t-Student assimetrica : modelagem de dependencia assimetrica; Skewed t-Student copula function : skewed dependence modelling

Erick Andrade Busato
Fonte: Biblioteca Digital da Unicamp Publicador: Biblioteca Digital da Unicamp
Tipo: Dissertação de Mestrado Formato: application/pdf
Publicado em 03/12/2008 Português
Relevância na Pesquisa
35.95%
A família de distribuições t-Student Assimétrica, construída a partir da mistura em média e variância da distribuição normal multivariada com a distribuição Inversa Gama possui propriedades desejáveis de flexibilidade para as mais diversas formas de assimetria. Essas propriedades são exploradas na construção de funções de acoplamento que possuem dependência assimétrica. Neste trabalho são estudadas as características e propriedades da distribuição t-Student Assimétrica e a construção da respectiva função de acoplamento, fazendo-se uma apresentação de diferentes estruturas de dependência que pode originar, incluindo assimetrias da dependência nas caudas. São apresentados métodos de estimação de parâmetros das funções de acoplamento, com aplicações até a terceira dimensão da cópula. Essa função de acoplamento é utilizada para compor um modelo ARMA-GARCHCópula com marginais de distribuição t-Student Assimétrica, que será ajustado para os logretornos de preços do Petróleo e da Gasolina, e log-retornos do Índice de Óleo AMEX, buscando o melhor ajuste, principalmente, para a dependência nas caudas das distribuições de preços. Esse modelo será comparado, através de medidas de Valor em Risco e AIC...

New Evidence of Asymmetric Dependence Structures in International Equity Markets

Okimoto, Tatsuyoshi
Fonte: Cambridge Journals Publicador: Cambridge Journals
Tipo: Artigo de Revista Científica
Português
Relevância na Pesquisa
36.06%
A number of recent studies finds two asymmetries in dependence structures in international equity markets; specifically, dependence tends to be high in both highly volatile markets and in bear markets. In this paper, a further investigation of asymmetric

Bias dependence of tunneling magnetoresistance in magnetic tunnel junctions with asymmetric barriers

Kalitsov, Alan; Zermatten, Pierre-Jean; Bonell, Frédéric; Gaudin, Gilles; Andrieu, Stéphane; Tiusan, Coriolan; Chshiev, Mairbek; Velev, Julian P.
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Publicado em 17/09/2013 Português
Relevância na Pesquisa
26.25%
The transport properties of magnetic tunnel junctions (MTJs) are very sensitive to interface modifications. In this work we investigate both experimentally and theoretically the effect of asymmetric barrier modifications on the bias dependence of tunneling magnetoresistance (TMR) in single crystal Fe/MgO-based MTJs with (i) one crystalline and one rough interface and (ii) with a monolayer of O deposited at the crystalline interface. In both cases we observe an asymmetric bias dependence of TMR and a reversal of its sign at large bias. We propose a general model to explain the bias dependence in these and similar systems reported earlier. The model predicts the existence of two distinct TMR regimes: (i) tunneling regime when the interface is modified with layers of a different insulator and (ii) resonant regime when thin metallic layers are inserted at the interface. We demonstrate that in the tunneling regime negative TMR is due to the high voltage which overcomes the exchange splitting in the electrodes, while the asymmetric bias dependence of TMR is due to the interface transmission probabilities. In the resonant regime inversion of TMR could happen at zero voltage depending on the alignment of the resonance levels with the Fermi surfaces of the electrodes. Moreover...

Momentum, Density, and Isospin dependence of the Symmetric and Asymmetric Nuclear Matter Properties

van Dalen, E. N. E.; Fuchs, C.; Faessler, Amand
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Publicado em 16/11/2005 Português
Relevância na Pesquisa
26.14%
Properties of symmetric and asymmetric nuclear matter have been investigated in the relativistic Dirac-Brueckner-Hartree-Fock approach based on projection techniques using the Bonn A potential. The momentum, density, and isospin dependence of the optical potentials and nucleon effective masses are studied. It turns out that the isovector optical potential depends sensitively on density and momentum, but is almost insensitive to the isospin asymmetry. Furthermore, the Dirac mass $m^*_D$ and the nonrelativistic mass $m^*_{NR}$ which parametrizes the energy dependence of the single particle spectrum, are both determined from relativistic Dirac-Brueckner-Hartree-Fock calculations. The nonrelativistic mass shows a characteristic peak structure at momenta slightly above the Fermi momentum $\kf$. The relativistic Dirac mass shows a proton-neutron mass splitting of $m^*_{D,n} m^*_{NR,p}$ which is in agreement with the results from nonrelativistic calculations.; Comment: 25 pages, 12 figures, to appear in Physical Review C

Effects of isospin and momentum dependent interactions on thermal properties of asymmetric nuclear matter

Xu, Jun; Chen, Lie-Wen; Li, Bao-An; Ma, Hong-Ru
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Publicado em 28/10/2007 Português
Relevância na Pesquisa
26.25%
Thermal properties of asymmetric nuclear matter are studied within a self-consistent thermal model using an isospin and momentum dependent interaction (MDI) constrained by the isospin diffusion data in heavy-ion collisions, a momentum-independent interaction (MID), and an isoscalar momentum-dependent interaction (eMDYI). In particular, we study the temperature dependence of the isospin-dependent bulk and single-particle properties, the mechanical and chemical instabilities, and liquid-gas phase transition in hot asymmetric nuclear matter. Our results indicate that the temperature dependence of the equation of state and the symmetry energy are not so sensitive to the momentum dependence of the interaction. The symmetry energy at fixed density is found to generally decrease with temperature and for the MDI interaction the decrement is essentially due to the potential part. It is further shown that only the low momentum part of the single-particle potential and the nucleon effective mass increases significantly with temperature for the momentum-dependent interactions. For the MDI interaction, the low momentum part of the symmetry potential is significantly reduced with increasing temperature. For the mechanical and chemical instabilities as well as the liquid-gas phase transition in hot asymmetric nuclear matter...

Using a priori knowledge to construct copulas

Mari, Dominique Drouet; Monbet, Valerie
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Publicado em 21/04/2010 Português
Relevância na Pesquisa
26.17%
Our purpose is to model the dependence between two random variables, taking into account a priori knowledge on these variables. For example, in many applications (oceanography, finance...), there exists an order relation between the two variables; when one takes high values, the other cannot take low values, but the contrary is possible. The dependence for the high values of the two variables is, therefore, not symmetric. However a minimal dependence also exists: low values of one variable are associated with low values of the other variable. The dependence can also be extreme for the maxima or the minima of the two variables. In this paper, we construct step by step asymmetric copulas with asymptotic minimal dependence, and with or without asymptotic maximal dependence, using mixture variables to get at first asymmetric dependence and then minimal dependence. We fit these models to a real dataset of sea states and compare them using Likelihood Ratio Tests when they are nested, and BIC- criterion (Bayesian Information criterion) otherwise.

Isospin-dependent properties of asymmetric nuclear matter in relativistic mean-field models

Chen, Lie-Wen; Ko, Che Ming; Li, Bao-An
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Português
Relevância na Pesquisa
26.14%
Using various relativistic mean-field models, including the nonlinear ones with meson field self-interactions, those with density-dependent meson-nucleon couplings, and the point-coupling models without meson fields, we have studied the isospin-dependent bulk and single-particle properties of asymmetric nuclear matter. In particular, we have determined the density dependence of nuclear symmetry energy from these different relativistic mean-field models and compare the results with the constraints recently extracted from analyses of experimental data on isospin diffusion and isotopic scaling in intermediate-energy heavy ion collisions as well as from measured isotopic dependence of the giant monopole resonances in even-A Sn isotopes. Among the 23 parameter sets in the relativistic mean-filed model that are commonly used for nuclear structure studies, only a few are found to give symmetry energies that are consistent with the empirical constraints. We have also studied the nuclear symmetry potential and the isospin-splitting of the nucleon effective mass in isospin asymmetric nuclear matter. We find that both the momentum dependence of the nuclear symmetry potential at fixed baryon density and the isospin-splitting of the nucleon effective mass in neutron-rich nuclear matter depend not only on the nuclear interactions but also on the definition of the nucleon optical potential.; Comment: 26 pages...

Asymmetric Bias Dependence in Double Spin Filter Tunnel Junctions

Miao, G. X.; Moodera, J. S.
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Publicado em 28/04/2009 Português
Relevância na Pesquisa
26.18%
In double spin filter (SF) tunnel junctions, the spin information is generated and analyzed purely from the SF effect with nonmagnetic electrodes. In this article we numerically evaluate the bias dependence of magnetoresistance in such tunnel junctions (nonmagnetic metal / SF / nonmagnetic insulator / SF / nonmagnetic metal), particularly in cases when different SF materials are utilized. A large magnetoresistance with nonmonotonic and asymmetric bias dependence is expected within the frame of WKB approximation. We illustrate the systematic influence of tunnel barrier height, tunnel barrier thickness, and exchange energy splitting on magnetoresistance, particularly focusing on the asymmetric behavior of the magnetoresistance bias dependence.; Comment: submitted to J. Appl. Phys. on Feb.12, 2009

Copulas for High Dimensions: Models, Estimation, Inference, and Applications

Oh, Dong Hwan
Fonte: Universidade Duke Publicador: Universidade Duke
Tipo: Dissertação
Publicado em //2014 Português
Relevância na Pesquisa
36.04%

The dissertation consists of four chapters that concern topics on copulas for high dimensions. Chapter 1 proposes a new general model for high dimension joint distributions of asset returns that utilizes high frequency data and copulas. The dependence between returns is decomposed into linear and nonlinear components, which enables the use of high frequency data to accurately measure and forecast linear dependence, and the use of a new class of copulas designed to capture nonlinear dependence among the resulting linearly uncorrelated residuals. Estimation of the new class of copulas is conducted using a composite likelihood, making the model feasible even for hundreds of variables. A realistic simulation study verifies that multistage estimation with composite likelihood results in small loss in efficiency and large gain in computation speed.

Chapter 2, which is co-authored with Professor Andrew Patton, presents new models for the dependence structure, or copula, of economic variables based on a factor structure. The proposed models are particularly attractive for high dimensional applications, involving fifty or more variables. This class of models generally lacks a closed-form density, but analytical results for the implied tail dependence can be obtained using extreme value theory...

Electron Correlations and Spin in Asymmetric GaAs Quantum Point Contacts and Signatures of Structural Transitions in Hall Effect of FeSe

Wu, Phillip M.
Fonte: Universidade Duke Publicador: Universidade Duke
Tipo: Dissertação Formato: 56641939 bytes; application/pdf
Publicado em //2010 Português
Relevância na Pesquisa
36.11%

The 1D Wigner crystal is a long sought after strongly correlated quantum state. Here we present electronic transport data of asymmetric quantum point contacts (QPC) tuned to the spin-incoherent regime, which provides evidence for achieving the 1D Wigner state. Our result can be distinguished in several particularly noticeable ways. First, we utilize an asymmetric point contact geometry that is simple to fabricate and has not been studied previously. We are able to tune to the conductance anomalies simply by asymmetrically applying voltages to the gates. Second, we observe clear suppression of the first plateau and direct jumps to the second in these asymmetric QPCs at liquid helium temperatures (4.2 K). Such conductance behavior is indicative of Wigner crystal row formation.

This thesis suggests that the novel geometry and gating scheme allows for a novel way to search for strongly correlated electronic behavior in quasi-1D quantum wires. A key finding is the importance of asymmetric QPCs for observation of anomalous transport characteristics. We have observed a strongly developed e2/h feature under asymmetric voltage gating and zero applied magnetic field. Such a feature is attributed to enhanced spin energies in the system. We believe the asymmetric design allows for a relaxing of the 1D confinement so that a quasi-1D electron conformation develops...

On the out-of-sample importance of skewness and asymetric dependence for asset allocation

Patton, Andrew J.
Fonte: Financial Markets Group, London School of Economics and Political Science Publicador: Financial Markets Group, London School of Economics and Political Science
Tipo: Monograph; NonPeerReviewed Formato: application/pdf
Publicado em /12/2002 Português
Relevância na Pesquisa
35.97%
Recent studies in the empirical finance literature have reported evidence of two types of asymmetries in the joint distribution of stock returns. The Þrst is skewness in the distribution of individual stock returns, while the second is an asymmetry in the dependence between stocks: stock returns appear to be more highly correlated during market downturns than during market upturns. In this paper we examine the economic and statistical significance of these asymmetries for asset allocation decisions in an out-of-sample setting. We consider the problem of a CRRA investor allocating wealth between the risk-free asset, a small-cap and a large-cap portfolio, using monthly data. We use models that can capture time-varying means and variances of stock returns, and also the presence of time-varying skewness and kurtosis. Further, we use copula theory to construct models of the time-varying dependence structure that allow for greater dependence during bear markets than bull markets. The importance of these two asymmetries for asset allocation is assessed by comparing the performance of a portfolio based on a normal distribution model with a portfolio based on a more ßexible distribution model. For a variety of performance measures and levels of risk aversion our results suggest that capturing skewness and asymmetric dependence leads to gains that are economically signiÞcant...