Estimating value at risk and optimal hedge ratio in Latin markets: a copula-based GARCH approach

In this paper we use a copula-based GARCH model to estimate conditional variances and covariances of the bivariate relationships between U.S. market with Brazilian, Argentinean and Mexican markets. To that we used daily prices of S&P500, Ibovespa, Merval and IPC from January 2009 to December 2010, totaling 483 observations. The results allows to conclude that both the volatility of Latin markets, such as its dependence with the U.S. decreased in the period, resulting in lower estimates for the VaR and Hedge, compared with those based on the unconditional variance and covariance, emphasizing that after theeffects of the 2007/2008 U.S. crisis, these Latin markets can again be considered as options for international diversification for investors with assets of the U.S. market in their portfolio.Value at risk, Hedge ratio, Copula, Latin markets

Risk transmission between Latin America stock markets and the US: impacts of the 2007/2008 Crisis

The aim of this paper is to investigate whether the US subprime financial turmoil has had any statistically significant effect on the conditional volatility of stock prices in Latin America for which the BEKK methodology is adopted, developed by Engle and Kroner (1995). The t-student distribution is employed as it can provide a best fit for financial data. In order to do this study, we will investigate four Latin America emerging capital markets (Brazil, Argentina, Chile and Mexico) and the United States, considering the period of the recent financial crisis of 2007/2008, analyzing before, during and after the crisis period. Our results show that before the crisis there is no evidence of volatility spillovers from the North American stock market to Latin American ones. During the crisis, there is evidence of volatility spillover effects on some countries. Brazil and Chile affect the US volatility and Argentina, Chile and Mexico are affected by the US's. After the crisis, the volatility of all Latin American stock markets affect and are affected by the US market. These results show an increase in spillover effects from a shock to US stock market to Latin American countries after the 2007/2008 financial crisis.financial crisis, volatility spillover, Latin America

Analyzing the structural behavior of volatility in the Major European Markets during the Greek crisis

In this paper we use a copula-based GARCH model to estimate conditional variances and covariances of the multivariate relationship among English, German and French markets. To that, we used daily prices of FTSE100, DAX and CAC from July 2009 to July 2011, totalizing 508 observations. The volatility of markets and their dependences indicate vestiges of the current European financial crisis, presenting a cluster of volatility and decrease of correlations near to dates of important events. Further, we used CUSUM, MOSUM and F tests to verify the presence of structural change in the volatility of these markets. The results allow concluding that the three markets had the same estimated break point, which coincided with start of Greek crisis. After the peak of turbulence, the risk of these markets returned to lower levels, so they can again be considered as relevant options for international diversification.Risk Management, Multivariate Volatility, Structural Change, European markets.

European Fears and the French Revolution: Was There a Turning Point?

The essay addresses the issue of the birth of the concept of "European fears", meaning fears for the survival of Europe and its values. It locates the origin of this concept in counter-revolutionary thought. The French Revolution – by overturning the political and social arrangements of the old regime and by destroying the European political balances - seemed to bring Europe to the brink of catastrophe. Faced with the tragic prospect of the dissolution of Europe, counterrevolutionary thinkers reacted, on one side, by reflecting on the constituent features of Europe and, on the other, by transforming Europe into a polemical concept, a rhetorical weapon to wield against the supporters of the nation and the sovereignty of the people. The historiographical myth of medieval Europe - model of peace, harmony and social cohesion – was born in the framework of this heated controversy. Keywords: fear; Europe; values; French Revolution; balances; cohesion Il saggio affronta la questione della nascita del concetto di "paure europee", nel senso di paure per la sopravvivenza dell'Europa e dei suoi valori, individuando la loro origine nel pensiero controrivoluzionario. La Rivoluzione francese – rovesciando gli assetti politici e sociali del vecchio regime e gli equilibri europei - sembrò condurre l'Europa sull'orlo della catastrofe. Di fronte alla tragica prospettiva della dissoluzione dell'Europa e dei suoi sistemi tradizionali, i pensatori controrivoluzionari reagirono, da una parte, mettendo in discussione i tratti costitutivi dell'Europa e il suo destino e, dall'altra, trasformando l'Europa in un concetto polemico, un’arma retorica da usare contro i sostenitori della nazione e della sovranità popolare. Generato nel quadro di questa animata polemica, il mito storiografico dell'Europa medievale costituì un modello di pace, armonia e coesione sociale. Parole chiave: Europa, Paura, Rivoluzione Francese, Contro-rivoluzion

Alterações comportamentais e neuroquímicas associadas ao diabetes : evidências a partir de um modelo animal e de uma amostra clínica

Tese apresentada ao Programa de Pós-Graduação em Ciências da Saúde da Universidade do Extremo Sul Catarinense - UNESC, para obtenção do titulo de Doutor em Ciências da Saúde.Muitos estudos têm destacado uma relação entre diabetes e transtornos do humor. Além de alterações no metabolismo energético, estresse oxidativo e neurotrofinas. Assim, o objetivo do presente estudo foi avaliar essas alterações em um modelo animal de diabetes e em pacientes com diabetes do tipo 2. Para isso o estudo foi dividido em 3 etapas. A primeira teve como objetivo avaliar a prevalência de transtornos do humor, risco de suícidio e a qualidade de vida de pacientes com diabetes do tipo 2. Os resultados mostraram que pacientes com diabetes tiveram uma maior prevalência de transtornos do humor, maior risco de suícidio e uma pior qualidade de vida, quando comparado a pessoas não diabéticas. A segunda parte do estudo avaliou parâmetros de memória, metabolismo energético e de estresse oxidativo em cérebro de ratos Wistar submetidos a um modelo animal de diabetes induzido por aloxano. Os resultados mostraram que esses animais não tiveram alterações na memória de reconhecimento, porém tiveram alterações na atividade dos complexos da cadeia respiratória mitocondrial, creatina quinase e citrato sintase. Além de um aumento na peroxidação lípidica, carbonilação de proteínas, e alterações nas enzimas antioxidantes, superóxido dismutase (SOD) e catalase (CAT). Já a terceira parte do estudo investigou os efeitos da imipramina, um antidepressivo tricíclico, no modelo animal de diabetes. Os ratos com diabetes tiveram comportamento do tipo depressivo no teste do nado forçado, e a imipramina reverteu este efeito. Além disso, a imipramina aumentou os níveis do fator neurotrófico-derivado do cérebro (BDNF) no córtex pré-frontal. Concluindo, os dados encontrados no presente estudo mostraram alterações do humor a partir de uma amostra clínica e alterações comportamentais e neuroquímicas em um modelo animal de diabetes.Many studies have highlighted a link between diabetes and mood disorders. Also, changes in energy metabolism, oxidative stress and neurotrophins. The objective of this study was to evaluate these changes in an animal model of diabetes and in patients with type 2 diabetes. For this, the study was divided in three parts. The first was to evaluate the prevalence of mood disorders, suicide risk and quality of life in patients with type 2 diabetes. The results showed that patients with diabetes had a higher prevalence of mood disorders, increased risk of suicide and poorer quality of life, when compared to non-diabetics. The second part of the study evaluated memory, energy metabolism and oxidative stress parameters in brain of Wistar rats subjected to an animal model of diabetes induced by alloxan. The results showed that these animals had no changes in recognition memory, however there were changes in the mitochondrial respiratory chain complexes, creatine kinase and citrate synthase activities. Still, there was an increase in lipid peroxidation, protein carbonylation, and changes in antioxidant enzymes, superoxide dismutase (SOD) and catalase (CAT). The third part of the study investigated the effects of imipramine, a tricyclic antidepressant, in an animal model of diabetes. Rats with diabetes had depressive-like in the forced swimming test, and imipramine reversed this effect. In addition, imipramine increased the levels of brain derived-neurotrophic factor (BDNF) in prefrontal cortex. Finally, our findings showed alterations on mood disorder in humans with type 2 diabetes. In addition, the animal model of diabetes induced by alloxan led to behavioral and neurochemical changes related with diabetes

Stockmarket comovements revisited

We revisit the issue of comovements of emerging and developed stockmarkets, and provide a simultaneous treatment of data for the eighties and nineties. We show that while emerging markets experience greater instability in the long term than their developed counterparts, there is room for short-term strategies to take advantage of profit opportunities in the emerging markets, especially in India.

NON-LINEAR MODELLING IN BRAZILIAN MARKET: EVALUATING THE FORECASTING PERFORMANCE OF NN (UNIVARIATE NEAREST NEIGHBOR) AND SNN (SIMULTANEOUS NEAREST NEIGHBOR) FORECASTING ALGORITHM

The predictability of stock market’s behavior is a topic studied by different academic circles for long time. A popular tool to make predictions about the stock market behavior on short term is the technical analysis. Such tool is based on the analysis of quantitative indicators and also chart patterns in order to identify the time to entry (buy) or exit the market (sell). A quantitative approach that is related to charting is the use of the non-parametric approach of nearest neighbor algorithm in order to produce forecasts of the time series on t+1. The main objective of this paper is to study the forecasting performance of the nearest neighbor method for the Brazilian Equity data in two versions, the univariate and also the multivariate case, which is also called simultaneous nearest neighbor. The main conclusion of the paper is that the ability of the algorithm in forecasting the values of the stock prices is mixed. A comparative analysis with the random walk model showed that this naïve approach has more explicative power in numerical accuracy. For the case of directional forecasts, the NN presented better results, resulting in correct directional forecasts moderately higher than 50% for most of the assets and with a maximum of approximately 60% correct market direction forecasts, which indicates that the method may add value in quantitative trading strategies. Comparing the results for both versions of the algorithm, its clear that both presented very similar results, but the univariate case was slightly better