Essays on mixed-frequency and casuality analysis in the frequency domain

In this thesis, we present three different studies about mixed-frequency datasets and/or causality. The literature of mixed-frequency econometrics is scarce of how discarding intermediate data, also known as temporal aggregation, impacts on estimation consistency.Programa Oficial de Doctorado en EconomíaPresidente: Uwe Hassler; Secretario: Josu Arteche González; Vocal: Jesús Gonzalo Muño

A robust test for monotonicity in asset returns

In this paper, we propose a robust test of monotonicity in asset returns that is valid under a general setting. We develop a test that allows for dependent data and is robust to conditional heteroskedasticity or heavy-tailed distributions of return differentials. Many postulated theories in economics and finance assume monotonic relationships between expected asset returns and certain underlying characteristics of an asset. Existing tests in literature fail to control the probability of a type 1 error or have low power under heavy-tailed distributions of return differentials. Monte Carlo simulations illustrate that our test statistic has a correct empirical size under all data-generating processes together with a similar power to other tests. Conversely, alternative tests are nonconservative under conditional heteroskedasticity or heavy-tailed distributions of return differentials. We also present an empirical application on the monotonicity of returns on various portfolios sorts that highlights the usefulness of our approach

Unit-Weibull Autoregressive Moving Average Models

In this work we introduce the class of unit-Weibull Autoregressive Moving Average models for continuous random variables taking values in $(0,1)$. The proposed model is an observation driven one, for which, conditionally on a set of covariates and the process' history, the random component is assumed to follow a unit-Weibull distribution parameterized through its $\rho$th quantile. The systematic component prescribes an ARMA-like structure to model the conditional $\rho$th quantile by means of a link. Parameter estimation in the proposed model is performed using partial maximum likelihood, for which we provide closed formulas for the score vector and partial information matrix. We also discuss some inferential tools, such as the construction of confidence intervals, hypotheses testing, model selection, and forecasting. A Monte Carlo simulation study is conducted to assess the finite sample performance of the proposed partial maximum likelihood approach. Finally, we examine the prediction power by contrasting our method with others in the literature using the Manufacturing Capacity Utilization from the US

Três ensaios em econofísica

Dissertação (mestrado) - Universidade Federal de Santa Catarina, Centro Sócio-Econômico, Programa de Pós-Graduação em Economia, Florianópolis, 2011Esta dissertação apresenta três ensaios distintos em Econofísica. O primeiro trata da eficiência relativa dos mercados financeiros sob a perspectiva da complexidade algorítmica. Foi demonstrado que houve uma diminuição na eficiência, para vários ativos que compõem o índice Bovespa, depois da crise financeira mundial de 2008. O segundo ensaio aborda a questão da freqüência correta para ser utilizada durante a amostragem de séries temporais financeiras, e foi discutido os problemas relacionados com a sub-amostragem. Finalmente, o último ensaio propõe o uso de Teoria das Filas para resolver a questão do nível ótimo de reservas a serem mantidas pelos bancos comerciais