subject:( Fractional integration )

Universidade Nova

1. Stokes, Sofia Amaro Stattmiller de Saldanha e Albuquerque. Testing for volatility persistence change: The effect of the credit crisis on the Portuguese banks.

Degree: 2013, Universidade Nova

URL: https://www.rcaap.pt/detail.jsp?id=oai:run.unl.pt:10362/9850

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A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business… (more)

Subjects/Keywords: Credit crisis; Banking system; Stochastic volatility; Fractional integration

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APA (6^th Edition):

Stokes, S. A. S. d. S. e. A. (2013). Testing for volatility persistence change: The effect of the credit crisis on the Portuguese banks. (Thesis). Universidade Nova. Retrieved from https://www.rcaap.pt/detail.jsp?id=oai:run.unl.pt:10362/9850

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^th Edition):

Stokes, Sofia Amaro Stattmiller de Saldanha e Albuquerque. “Testing for volatility persistence change: The effect of the credit crisis on the Portuguese banks.” 2013. Thesis, Universidade Nova. Accessed April 22, 2021. https://www.rcaap.pt/detail.jsp?id=oai:run.unl.pt:10362/9850.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^th Edition):

Stokes, Sofia Amaro Stattmiller de Saldanha e Albuquerque. “Testing for volatility persistence change: The effect of the credit crisis on the Portuguese banks.” 2013. Web. 22 Apr 2021.

Vancouver:

Stokes SASdSeA. Testing for volatility persistence change: The effect of the credit crisis on the Portuguese banks. [Internet] [Thesis]. Universidade Nova; 2013. [cited 2021 Apr 22]. Available from: https://www.rcaap.pt/detail.jsp?id=oai:run.unl.pt:10362/9850.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Stokes SASdSeA. Testing for volatility persistence change: The effect of the credit crisis on the Portuguese banks. [Thesis]. Universidade Nova; 2013. Available from: https://www.rcaap.pt/detail.jsp?id=oai:run.unl.pt:10362/9850

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Vilnius University

2. Bogdanov, Andrej. Elektros kainų modeliavimas tiesioginėje rinkoje.

Degree: Master, 2014, Vilnius University

URL: http://vddb.laba.lt/obj/LT-eLABa-0001:E.02~2007~D_20140701_183942-74479 ;

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Šiame darbe atliekami elektros energijos kainų analizė ir modeliavimas. Elektros kainų kitimui ir tokioms jų charakteringoms savybėms, kaip sezoniškumas, vidurkio reversija, darbo dienų, savaitgalio ir… (more)

Subjects/Keywords: Elektros kainos; Prognozavimas; Ilga atmintis; Trupmeninis integravimas; Electricity prices; Forecasting; Long memory; Fractional integration

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APA (6^th Edition):

Bogdanov, Andrej. (2014). Elektros kainų modeliavimas tiesioginėje rinkoje. (Masters Thesis). Vilnius University. Retrieved from http://vddb.laba.lt/obj/LT-eLABa-0001:E.02~2007~D_20140701_183942-74479 ;

Note: this citation may be lacking information needed for this citation format:
Author name may be incomplete

Chicago Manual of Style (16^th Edition):

Bogdanov, Andrej. “Elektros kainų modeliavimas tiesioginėje rinkoje.” 2014. Masters Thesis, Vilnius University. Accessed April 22, 2021. http://vddb.laba.lt/obj/LT-eLABa-0001:E.02~2007~D_20140701_183942-74479 ;.

Note: this citation may be lacking information needed for this citation format:
Author name may be incomplete

MLA Handbook (7^th Edition):

Bogdanov, Andrej. “Elektros kainų modeliavimas tiesioginėje rinkoje.” 2014. Web. 22 Apr 2021.

Note: this citation may be lacking information needed for this citation format:
Author name may be incomplete

Vancouver:

Bogdanov, Andrej. Elektros kainų modeliavimas tiesioginėje rinkoje. [Internet] [Masters thesis]. Vilnius University; 2014. [cited 2021 Apr 22]. Available from: http://vddb.laba.lt/obj/LT-eLABa-0001:E.02~2007~D_20140701_183942-74479 ;.

Note: this citation may be lacking information needed for this citation format:
Author name may be incomplete

Council of Science Editors:

Bogdanov, Andrej. Elektros kainų modeliavimas tiesioginėje rinkoje. [Masters Thesis]. Vilnius University; 2014. Available from: http://vddb.laba.lt/obj/LT-eLABa-0001:E.02~2007~D_20140701_183942-74479 ;

Note: this citation may be lacking information needed for this citation format:
Author name may be incomplete

Vytautas Magnus University

3. Marcinkevičius, Matas. Finansų rinkų statistinis tyrimas.

Degree: Master, Mathematics, 2008, Vytautas Magnus University

URL: http://vddb.laba.lt/obj/LT-eLABa-0001:E.02~2008~D_20080619_130404-39498 ;

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Keliami uždaviniai: GARCH modelių klasės taikymas ilgo periodo finansiniams duomenims: modelių parametrų paieška, jų vertinimas, testavimas ir taikymas. Ilga atmintis sąlyginiame variantiškume yra viena iš… (more)

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Keliami uždaviniai: GARCH modelių klasės taikymas ilgo periodo finansiniams duomenims: modelių parametrų paieška, jų vertinimas, testavimas ir taikymas. Ilga atmintis sąlyginiame variantiškume yra viena iš empirinių savybių, kurią turi daugelis finansinių laiko eilučių. Viena modelių klasė, kuri atvaizduoja šį elgesį yra vadinama Dalinai Integruotu GARCH (Baillie, Bollerslev ir Mikkelsen 1996). Dalinės integracijos idėją pateikė ir ją pritaikė GARCH struktūrai Granger (1980) ir Hosking (1981). Šiame darbe bus surastos analitinės FIGARCH proceso antros eilės logaritminės tikėtinumo funkcijos išvestinės. Ilgo diapazono priklausomybė bus apskaičiuota parametriniu dalinai integruotu GARCH modeliu. Finansinių laiko eilučių duomenys bus įvertinti GARCH (CGARCH(1), CGARCH(2)) ir FIGARCH(1,d,1)) modeliais maksimalaus tikėtinumo metodu. Taip pat bus sukurtas NASDAQ- NYSE santykinio stiprumo indikatorius bei patikrintos jo panaudojimo sąlygos. Iiustracija yra pateikta 5 akcijų indeksais, 2 valiutų santykiais, aukso bei NNSS duomenims.

The paper deals with the problems of applying GARCH model/framework to a long term financial data, the search of the models, their evaluation, testing/validation and application. Long memory in conditional variance is one of the empirical features exhibited by many financial time series. One class of models that was suggested to capture this behavior is the so-called Fractionally Integrated GARCH (Baillie, Bollerslev and Mikkelsen 1996) in which the ideas of fractional integration originally introduced by Granger (1980) and Hosking (1981) for processes of the mean are applied to GARCH framework. In this paper we derive analytic expressions for the second-order derivatives of the log-likelihood function of FIGARCH processes. Long-range dependence is assessed through the parametric fractionally integrated GARCH model. Financial time series data will be estimated Component GARCH (CGARCH(1), CGARCH(2)) and FIGARCH models maximum likelihood method. Also we built NASDAQ- NYSE relative strength indicator and tested its usage conditions. An illustration is provided on 2 exchange rate, 5 stock index, gold and NNSS data.

Advisors/Committee Members: Krikštolaitis, Ričardas (Master’s thesis supervisor), Padvelskis, Kazimieras (Master’s thesis reviewer).

Subjects/Keywords: GARCH; CGARCH; FIGARCH; Dalinis integravimas; Santykinis stiprumas; GARCH; CGARCH; FIGARCH; Fractional integration; Relative strength

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APA (6^th Edition):

Marcinkevičius, M. (2008). Finansų rinkų statistinis tyrimas. (Masters Thesis). Vytautas Magnus University. Retrieved from http://vddb.laba.lt/obj/LT-eLABa-0001:E.02~2008~D_20080619_130404-39498 ;

Chicago Manual of Style (16^th Edition):

Marcinkevičius, Matas. “Finansų rinkų statistinis tyrimas.” 2008. Masters Thesis, Vytautas Magnus University. Accessed April 22, 2021. http://vddb.laba.lt/obj/LT-eLABa-0001:E.02~2008~D_20080619_130404-39498 ;.

MLA Handbook (7^th Edition):

Marcinkevičius, Matas. “Finansų rinkų statistinis tyrimas.” 2008. Web. 22 Apr 2021.

Vancouver:

Marcinkevičius M. Finansų rinkų statistinis tyrimas. [Internet] [Masters thesis]. Vytautas Magnus University; 2008. [cited 2021 Apr 22]. Available from: http://vddb.laba.lt/obj/LT-eLABa-0001:E.02~2008~D_20080619_130404-39498 ;.

Council of Science Editors:

Marcinkevičius M. Finansų rinkų statistinis tyrimas. [Masters Thesis]. Vytautas Magnus University; 2008. Available from: http://vddb.laba.lt/obj/LT-eLABa-0001:E.02~2008~D_20080619_130404-39498 ;

Boston University

4. Chang, Seong Yeon. Fractionally integrated processes and structural changes: theoretical analyses and bootstrap methods.

Degree: PhD, Economics, 2014, Boston University

URL: http://hdl.handle.net/2144/15098

► The first chapter considers the asymptotic validity of bootstrap methods in a linear trend model with a change in slope at an unknown time. Perron… (more)

▼ The first chapter considers the asymptotic validity of bootstrap methods in a linear trend model with a change in slope at an unknown time. Perron and Zhu (2005) analyzed the consistency, rate of convergence, and limiting distributions of the parameter estimates in this model. I provide theoretical results for the asymptotic validity of bootstrap methods related to forming confidence intervals for the break date. I consider two bootstrap schemes, the residual (for white noise errors) and the sieve bootstrap (for correlated errors). Simulation experiments confirm that confidence intervals obtained using bootstrap methods perform well in terms of exact coverage rate. The second chapter extends Perron and Zhu's (2005) analysis to cover more general fractionally integrated errors with memory parameter d in the interval (-0.5,1.5). My theoretical results uncover some interesting features. For example, with a concurrent level shift allowed, the rate of convergence of the estimate of the break date is the same for all values of d in the interval (-0.5,0.5), a feature linked to the contamination induced by allowing a level shift. In all other cases, the rate of convergence is decreasing as d increases. I also provide results about the spurious break issue. The third chapter considers constructing confidence intervals for the break date in linear regressions. I compare the performance of various procedures in terms of the exact coverage rates and lengths: Bai's (1997) based on the asymptotic distribution with shrinking shifts, Elliott and Müller's (EM) (2007) based on inverting a test locally invariant to the magnitude of the change, Eo and Morley's (2013) based on inverting a likelihood ratio test, and various bootstrap procedures. In terms of coverage rates, EM's approach is the best but with a high cost in terms of length. With serially correlated errors and a change in intercept or in the coefficient of a regressor with a high signal-to-noise ratio, or when a lagged dependent variable is present, the length approaches the whole sample as the magnitude of the change increases. This drawback is not present for the other methods. Theoretical results are provided to explain the drawbacks of EM's method.

Subjects/Keywords: Economics; Bootstrap methods; Fractional integration; Non-monotonic power; Social sciences; Spurious break; Structural changes

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APA (6^th Edition):

Chang, S. Y. (2014). Fractionally integrated processes and structural changes: theoretical analyses and bootstrap methods. (Doctoral Dissertation). Boston University. Retrieved from http://hdl.handle.net/2144/15098

Chicago Manual of Style (16^th Edition):

Chang, Seong Yeon. “Fractionally integrated processes and structural changes: theoretical analyses and bootstrap methods.” 2014. Doctoral Dissertation, Boston University. Accessed April 22, 2021. http://hdl.handle.net/2144/15098.

MLA Handbook (7^th Edition):

Chang, Seong Yeon. “Fractionally integrated processes and structural changes: theoretical analyses and bootstrap methods.” 2014. Web. 22 Apr 2021.

Vancouver:

Chang SY. Fractionally integrated processes and structural changes: theoretical analyses and bootstrap methods. [Internet] [Doctoral dissertation]. Boston University; 2014. [cited 2021 Apr 22]. Available from: http://hdl.handle.net/2144/15098.

Council of Science Editors:

Chang SY. Fractionally integrated processes and structural changes: theoretical analyses and bootstrap methods. [Doctoral Dissertation]. Boston University; 2014. Available from: http://hdl.handle.net/2144/15098

5. HO KIN YIP. Modelling long memory in exchange rate volatility.

Degree: 2004, National University of Singapore

URL: http://scholarbank.nus.edu.sg/handle/10635/27705

Subjects/Keywords: Long Memory; Multivariate GARCH; Fractional Integration

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^th Edition):

YIP, H. K. (2004). Modelling long memory in exchange rate volatility. (Thesis). National University of Singapore. Retrieved from http://scholarbank.nus.edu.sg/handle/10635/27705

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^th Edition):

YIP, HO KIN. “Modelling long memory in exchange rate volatility.” 2004. Thesis, National University of Singapore. Accessed April 22, 2021. http://scholarbank.nus.edu.sg/handle/10635/27705.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^th Edition):

YIP, HO KIN. “Modelling long memory in exchange rate volatility.” 2004. Web. 22 Apr 2021.

Vancouver:

YIP HK. Modelling long memory in exchange rate volatility. [Internet] [Thesis]. National University of Singapore; 2004. [cited 2021 Apr 22]. Available from: http://scholarbank.nus.edu.sg/handle/10635/27705.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

YIP HK. Modelling long memory in exchange rate volatility. [Thesis]. National University of Singapore; 2004. Available from: http://scholarbank.nus.edu.sg/handle/10635/27705

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

University of Michigan

6. Olsen, Peder Andreas. Negative eigenvalues of the Schroedinger equation: An approach through fractional integration and Morrey spaces.

Degree: PhD, Statistics, 1996, University of Michigan

URL: http://hdl.handle.net/2027.42/129884

► The time independent Schrodinger equation has been analyzed for singular potentials. Direct estimates of the solution of the Schrodinger equation and estimates of the negative… (more)

Subjects/Keywords: Approach; Eigenvalues; Equation; Fractional; Integration; Morrey; Negative; Schroedinger; Spaces

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APA (6^th Edition):

Olsen, P. A. (1996). Negative eigenvalues of the Schroedinger equation: An approach through fractional integration and Morrey spaces. (Doctoral Dissertation). University of Michigan. Retrieved from http://hdl.handle.net/2027.42/129884

Chicago Manual of Style (16^th Edition):

Olsen, Peder Andreas. “Negative eigenvalues of the Schroedinger equation: An approach through fractional integration and Morrey spaces.” 1996. Doctoral Dissertation, University of Michigan. Accessed April 22, 2021. http://hdl.handle.net/2027.42/129884.

MLA Handbook (7^th Edition):

Olsen, Peder Andreas. “Negative eigenvalues of the Schroedinger equation: An approach through fractional integration and Morrey spaces.” 1996. Web. 22 Apr 2021.

Vancouver:

Olsen PA. Negative eigenvalues of the Schroedinger equation: An approach through fractional integration and Morrey spaces. [Internet] [Doctoral dissertation]. University of Michigan; 1996. [cited 2021 Apr 22]. Available from: http://hdl.handle.net/2027.42/129884.

Council of Science Editors:

Olsen PA. Negative eigenvalues of the Schroedinger equation: An approach through fractional integration and Morrey spaces. [Doctoral Dissertation]. University of Michigan; 1996. Available from: http://hdl.handle.net/2027.42/129884

7. YUAN YING. The integration of capital markets: Cointegration analysis of the stock market indices among China, Hong Kong, Singapore, Taiwan, Japan, UK and US economies.

Degree: 2004, National University of Singapore

URL: http://scholarbank.nus.edu.sg/handle/10635/13700

Subjects/Keywords: Cointegration; Integration of Capital Markets; Fractional Cointegration; Granger Causality

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^th Edition):

YING, Y. (2004). The integration of capital markets: Cointegration analysis of the stock market indices among China, Hong Kong, Singapore, Taiwan, Japan, UK and US economies. (Thesis). National University of Singapore. Retrieved from http://scholarbank.nus.edu.sg/handle/10635/13700

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^th Edition):

YING, YUAN. “The integration of capital markets: Cointegration analysis of the stock market indices among China, Hong Kong, Singapore, Taiwan, Japan, UK and US economies.” 2004. Thesis, National University of Singapore. Accessed April 22, 2021. http://scholarbank.nus.edu.sg/handle/10635/13700.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^th Edition):

YING, YUAN. “The integration of capital markets: Cointegration analysis of the stock market indices among China, Hong Kong, Singapore, Taiwan, Japan, UK and US economies.” 2004. Web. 22 Apr 2021.

Vancouver:

YING Y. The integration of capital markets: Cointegration analysis of the stock market indices among China, Hong Kong, Singapore, Taiwan, Japan, UK and US economies. [Internet] [Thesis]. National University of Singapore; 2004. [cited 2021 Apr 22]. Available from: http://scholarbank.nus.edu.sg/handle/10635/13700.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

YING Y. The integration of capital markets: Cointegration analysis of the stock market indices among China, Hong Kong, Singapore, Taiwan, Japan, UK and US economies. [Thesis]. National University of Singapore; 2004. Available from: http://scholarbank.nus.edu.sg/handle/10635/13700

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

8. Pérez Laborda, Alejandro. Three essays on time series and macroeconomics .

Degree: 2012, University of Alicante

URL: http://hdl.handle.net/10045/25182

Subjects/Keywords: Fractional integration; Monetary policy; Seasonality; Wage premium

…64 2.3 Seasonal fractional integration �� ….. �� …65 2.4 Simulation study… …the apparent non-invertibility produced by AMB approach within the fractional integration… …stationary with coefficients of fractional integration at seasonal frequencies smaller than 0.5… …where a dynamic specification must be assumed at the outset. Fractional integration account… …shown in Gadea and Mayoral (2006), fractional integration may appear in inflation as…

10 more images…

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APA (6^th Edition):

Pérez Laborda, A. (2012). Three essays on time series and macroeconomics . (Thesis). University of Alicante. Retrieved from http://hdl.handle.net/10045/25182

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^th Edition):

Pérez Laborda, Alejandro. “Three essays on time series and macroeconomics .” 2012. Thesis, University of Alicante. Accessed April 22, 2021. http://hdl.handle.net/10045/25182.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^th Edition):

Pérez Laborda, Alejandro. “Three essays on time series and macroeconomics .” 2012. Web. 22 Apr 2021.

Vancouver:

Pérez Laborda A. Three essays on time series and macroeconomics . [Internet] [Thesis]. University of Alicante; 2012. [cited 2021 Apr 22]. Available from: http://hdl.handle.net/10045/25182.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Pérez Laborda A. Three essays on time series and macroeconomics . [Thesis]. University of Alicante; 2012. Available from: http://hdl.handle.net/10045/25182

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

University of Canterbury

9. Tansuchat, R. Modelling Long Memory Volatility in Agricultural Commodity Futures Returns.

Degree: Department of Economics and Finance, 2012, University of Canterbury

URL: http://hdl.handle.net/10092/9795

► This paper estimates a long memory volatility model for 16 agricultural commodity futures returns from different futures markets, namely corn, oats, soybeans, soybean meal, soybean… (more)

Subjects/Keywords: long memory; agricultural commodity futures; fractional integration; asymmetric; conditional volatility; Fields of Research::38 - Economics::3801 - Applied economics::380101 - Agricultural economics

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APA (6^th Edition):

Tansuchat, R. (2012). Modelling Long Memory Volatility in Agricultural Commodity Futures Returns. (Thesis). University of Canterbury. Retrieved from http://hdl.handle.net/10092/9795

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^th Edition):

Tansuchat, R. “Modelling Long Memory Volatility in Agricultural Commodity Futures Returns.” 2012. Thesis, University of Canterbury. Accessed April 22, 2021. http://hdl.handle.net/10092/9795.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^th Edition):

Tansuchat, R. “Modelling Long Memory Volatility in Agricultural Commodity Futures Returns.” 2012. Web. 22 Apr 2021.

Vancouver:

Tansuchat R. Modelling Long Memory Volatility in Agricultural Commodity Futures Returns. [Internet] [Thesis]. University of Canterbury; 2012. [cited 2021 Apr 22]. Available from: http://hdl.handle.net/10092/9795.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Tansuchat R. Modelling Long Memory Volatility in Agricultural Commodity Futures Returns. [Thesis]. University of Canterbury; 2012. Available from: http://hdl.handle.net/10092/9795

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

10. Truchis de Varennes, Gilles de. Cointégration fractionnaire et co-mouvements des marchés financiers internationaux : Fractional cointegration analysis of comovements in international financial markets.

Degree: Docteur es, Sciences économiques, 2014, Aix Marseille Université

URL: http://www.theses.fr/2014AIXM2011

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L'objet de cette thèse est d'étudier les systèmes de cointégration fractionnaire de forme triangulaire mais également d'analyser l'apport de ces systèmes dans la modélisation des… (more)

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L'objet de cette thèse est d'étudier les systèmes de cointégration fractionnaire de forme triangulaire mais également d'analyser l'apport de ces systèmes dans la modélisation des co-mouvements au sein des marchés financiers internationaux. La thèse s'articule autour de six chapitres équitablement répartis entre contributions économétriques et économiques. Concernant l'approche économétrique, un intérêt particulier est donné à l'estimation de ces systèmes en absence d'information sur les paramètres d'intérêts. Dans cette optique, plusieurs techniques d'estimation sont analysées et développées, essentiellement dans le domaine des fréquences car celui-ci permet un traitement semi-paramétrique des paramètres de nuisances. Les performances de ses estimateurs sont étudiés à travers des simulations mais également à travers l'étude des propriétés asymptotiques. Concernant l'approche économique, une première contribution exploite la cointégration fractionnaire pour révéler l'existence d'un système de taux de change entre certains pays Asiatiques. Une deuxième contribution porte sur l'analyse des interdépendances entre le marché du pétrole et divers taux de change au niveau de la volatilité. Une troisième contribution introduit un processus d'apprentissage adaptatif dans un modèle monétaire à plusieurs pays afin d'étudier sous quelles conditions un système de taux de change peut émerger.

The aim of the thesis is to study a triangular form of fractional cointegration systems and to investigate whether these systems allow to model the comovements in international financial markets. The thesis is organized around six chapters. Three of them are theory-oriented and the three others are empirics-oriented. Concerning the econometric approach, a particular interest is devoted to the estimation of these systems when all parameters of interest are unknown. To this extent, several estimation techniques are investigated and introduced, essentially in frequency domain as it allows a semi-parametric treatment of the nuisance parameters. Most of times, the performance of these estimators are studied by means of simulations but the asymptotic theory is also developed. Concerning the economic approach, a first contribution applies the fractional cointegration theory to reveal the existence of an exchange rate system between several Asian countries. A second contribution deals with the risk interdependences between the crude oil market and several exchange rates. A third contribution considers an adaptive learning mechanism in a multi-country monetary model to investigate the conditions under which an exchange rate system is likely to emerge.

Advisors/Committee Members: Dufrénot, Gilles (thesis director), Aloy, Marcel (thesis director).

Subjects/Keywords: Cointégration; Intégration fractionnaire; Système déséquilibré; Mémoire longue; Analyse fréquentielle; Volatilité; Taux de change; Intégration monétaire; Cointegration; Fractional integration; Unbalanced system; Long memory; Frequency domain analysis; Volatility; Exchange rate; Monetary integration

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APA (6^th Edition):

Truchis de Varennes, G. d. (2014). Cointégration fractionnaire et co-mouvements des marchés financiers internationaux : Fractional cointegration analysis of comovements in international financial markets. (Doctoral Dissertation). Aix Marseille Université. Retrieved from http://www.theses.fr/2014AIXM2011

Chicago Manual of Style (16^th Edition):

Truchis de Varennes, Gilles de. “Cointégration fractionnaire et co-mouvements des marchés financiers internationaux : Fractional cointegration analysis of comovements in international financial markets.” 2014. Doctoral Dissertation, Aix Marseille Université. Accessed April 22, 2021. http://www.theses.fr/2014AIXM2011.

MLA Handbook (7^th Edition):

Truchis de Varennes, Gilles de. “Cointégration fractionnaire et co-mouvements des marchés financiers internationaux : Fractional cointegration analysis of comovements in international financial markets.” 2014. Web. 22 Apr 2021.

Vancouver:

Truchis de Varennes Gd. Cointégration fractionnaire et co-mouvements des marchés financiers internationaux : Fractional cointegration analysis of comovements in international financial markets. [Internet] [Doctoral dissertation]. Aix Marseille Université 2014. [cited 2021 Apr 22]. Available from: http://www.theses.fr/2014AIXM2011.

Council of Science Editors:

Truchis de Varennes Gd. Cointégration fractionnaire et co-mouvements des marchés financiers internationaux : Fractional cointegration analysis of comovements in international financial markets. [Doctoral Dissertation]. Aix Marseille Université 2014. Available from: http://www.theses.fr/2014AIXM2011

11. LIM NENG-LI. A STRATONOVICH - SKOROHOD INTEGRAL FORMULA FOR GAUSSIAN ROUGH PATHS.

Degree: 2017, National University of Singapore

URL: http://scholarbank.nus.edu.sg/handle/10635/134935

Subjects/Keywords: Rough paths; Gaussian processes; fractional Brownian motion; Stratonovich integration; Skorohod integration

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^th Edition):

NENG-LI, L. (2017). A STRATONOVICH - SKOROHOD INTEGRAL FORMULA FOR GAUSSIAN ROUGH PATHS. (Thesis). National University of Singapore. Retrieved from http://scholarbank.nus.edu.sg/handle/10635/134935

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^th Edition):

NENG-LI, LIM. “A STRATONOVICH - SKOROHOD INTEGRAL FORMULA FOR GAUSSIAN ROUGH PATHS.” 2017. Thesis, National University of Singapore. Accessed April 22, 2021. http://scholarbank.nus.edu.sg/handle/10635/134935.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^th Edition):

NENG-LI, LIM. “A STRATONOVICH - SKOROHOD INTEGRAL FORMULA FOR GAUSSIAN ROUGH PATHS.” 2017. Web. 22 Apr 2021.

Vancouver:

NENG-LI L. A STRATONOVICH - SKOROHOD INTEGRAL FORMULA FOR GAUSSIAN ROUGH PATHS. [Internet] [Thesis]. National University of Singapore; 2017. [cited 2021 Apr 22]. Available from: http://scholarbank.nus.edu.sg/handle/10635/134935.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

NENG-LI L. A STRATONOVICH - SKOROHOD INTEGRAL FORMULA FOR GAUSSIAN ROUGH PATHS. [Thesis]. National University of Singapore; 2017. Available from: http://scholarbank.nus.edu.sg/handle/10635/134935

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

12. Zayernouri, Mohsen. Spectral and Spectral Element Methods for Fractional PDEs.

Degree: PhD, Applied Mathematics, 2015, Brown University

URL: https://repository.library.brown.edu/studio/item/bdr:419400/

► We develop a new spectral theory of fractional Sturm-Liouville problems and further generalize it to a tempered class of eigen-problems. Our theory fractionalizes and then… (more)

▼ We develop a new spectral theory of fractional Sturm-Liouville problems and further generalize it to a tempered class of eigen-problems. Our theory fractionalizes and then tempers the well-known Sturm-Liouville problem. This approach extends the standard family of Jacobi polynomials to a new class of fractional orthogonal functions, namely Jacobi Polyfractonomials and tempered Jacobi Polyfractonomials, which enjoy many attractive properties. We introduce these fractional eigenfunctions as optimal basis/test functions in developing high-order Petrov Galerkin spectral/spectral-element methods for fractional ODEs/FPDEs. In addition to their high accuracy and ability to capture singularities, our numerical schemes rigorously generalize the existing standard spectral methods for PDEs to FPDEs. Next, for fast treatment of nonlinear and multi-term FPDEs such as fractional Burgers equation, we develop a new spectral method, called the fractional spectral collocation method, which introduces a new class of fractional Lagrange interpolants. For simulation of multi-dynamics systems, we also propose that by varying the differential order of a given governing equation as a function of space and/or time, we can capture a wide range of dynamics from diffusion to sub-diffusion or from wave dynamics transitioning back to diffusion. For such variable-order and distributed-order FPDEs, we have developed two fast and spectrally accurate numerical algorithms. In addition, while almost all existing methods for FPDEs are applicable only in one- or at most two-dimensional problems, we develop a unified Petrov-Galerkin spectral method that solves elliptic, hyperbolic, and parabolic FPDEs in high dimensions. We also formulate an implicit explicit (IMEX) splitting scheme for simulation of stiff problems. Moreover, we construct an implicit-explicit (IMEX) scheme of an observable second order accuracy. We employ this scheme to solve a system of Keller-Segel chemotaxis FPDEs as a biological application. Finally, we formulate a family of fractional modal expansions for non-tensorial domains such as triangle and tetrahedral elements. We test the approximability of such fractional basis function by carrying out Galerkin projection in simplex domain. This framework will be employed for efficient treatment of FPDEs in complex geometries in future. Advisors/Committee Members: Karniadakis, George (Director), Ainsworth, Mark (Reader), Hesthaven, Jan (Reader), Meerschaert, Mark (Reader).

Subjects/Keywords: Fractional PDEs

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^th Edition):

Zayernouri, M. (2015). Spectral and Spectral Element Methods for Fractional PDEs. (Doctoral Dissertation). Brown University. Retrieved from https://repository.library.brown.edu/studio/item/bdr:419400/

Chicago Manual of Style (16^th Edition):

Zayernouri, Mohsen. “Spectral and Spectral Element Methods for Fractional PDEs.” 2015. Doctoral Dissertation, Brown University. Accessed April 22, 2021. https://repository.library.brown.edu/studio/item/bdr:419400/.

MLA Handbook (7^th Edition):

Zayernouri, Mohsen. “Spectral and Spectral Element Methods for Fractional PDEs.” 2015. Web. 22 Apr 2021.

Vancouver:

Zayernouri M. Spectral and Spectral Element Methods for Fractional PDEs. [Internet] [Doctoral dissertation]. Brown University; 2015. [cited 2021 Apr 22]. Available from: https://repository.library.brown.edu/studio/item/bdr:419400/.

Council of Science Editors:

Zayernouri M. Spectral and Spectral Element Methods for Fractional PDEs. [Doctoral Dissertation]. Brown University; 2015. Available from: https://repository.library.brown.edu/studio/item/bdr:419400/

California State Polytechnic University – Pomona

13. Townsend, Sean. Numerical methods in fractional calculus.

Degree: MS, Mathematics, 2015, California State Polytechnic University – Pomona

URL: http://hdl.handle.net/10211.3/160926

► We will examine how we can use Caputo???s definition of a fractional derivative to develop a method to numerically evaluate a fractional derivative of a… (more)

Subjects/Keywords: fractional calculus

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APA (6^th Edition):

Townsend, S. (2015). Numerical methods in fractional calculus. (Masters Thesis). California State Polytechnic University – Pomona. Retrieved from http://hdl.handle.net/10211.3/160926

Chicago Manual of Style (16^th Edition):

Townsend, Sean. “Numerical methods in fractional calculus.” 2015. Masters Thesis, California State Polytechnic University – Pomona. Accessed April 22, 2021. http://hdl.handle.net/10211.3/160926.

MLA Handbook (7^th Edition):

Townsend, Sean. “Numerical methods in fractional calculus.” 2015. Web. 22 Apr 2021.

Vancouver:

Townsend S. Numerical methods in fractional calculus. [Internet] [Masters thesis]. California State Polytechnic University – Pomona; 2015. [cited 2021 Apr 22]. Available from: http://hdl.handle.net/10211.3/160926.

Council of Science Editors:

Townsend S. Numerical methods in fractional calculus. [Masters Thesis]. California State Polytechnic University – Pomona; 2015. Available from: http://hdl.handle.net/10211.3/160926

14. Rojbani, Hmida. Alignement-reconstruction simultanée de tomogramme électronique et extraction de volume de ribosome : Simultaneous alignment-reconstruction of electronic tomogram and 3D extraction of ribosome.

Degree: Docteur es, Informatique, 2016, Strasbourg; Université de Tunis El-Manar. Faculté des Sciences de Tunis (Tunisie)

URL: http://www.theses.fr/2016STRAD045

►

Ce travail de thèse aborde le problème de l'alignement d'images 2D obtenues en tomographie électronique dans la perspective d'une reconstruction tridimensionnelle et la détection des… (more)

Subjects/Keywords: Tomographie électronique; Orientations erronées; Optimisation; 3D; Analyse multifractale; Intégration fractionnaire; Electronic Tomography; Incorrect Orientations; Optimization; 3D; Multi-fractal analysis; Fractional integration; 006.6; 571.6

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^th Edition):

Rojbani, H. (2016). Alignement-reconstruction simultanée de tomogramme électronique et extraction de volume de ribosome : Simultaneous alignment-reconstruction of electronic tomogram and 3D extraction of ribosome. (Doctoral Dissertation). Strasbourg; Université de Tunis El-Manar. Faculté des Sciences de Tunis (Tunisie). Retrieved from http://www.theses.fr/2016STRAD045

Chicago Manual of Style (16^th Edition):

Rojbani, Hmida. “Alignement-reconstruction simultanée de tomogramme électronique et extraction de volume de ribosome : Simultaneous alignment-reconstruction of electronic tomogram and 3D extraction of ribosome.” 2016. Doctoral Dissertation, Strasbourg; Université de Tunis El-Manar. Faculté des Sciences de Tunis (Tunisie). Accessed April 22, 2021. http://www.theses.fr/2016STRAD045.

MLA Handbook (7^th Edition):

Rojbani, Hmida. “Alignement-reconstruction simultanée de tomogramme électronique et extraction de volume de ribosome : Simultaneous alignment-reconstruction of electronic tomogram and 3D extraction of ribosome.” 2016. Web. 22 Apr 2021.

Vancouver:

Rojbani H. Alignement-reconstruction simultanée de tomogramme électronique et extraction de volume de ribosome : Simultaneous alignment-reconstruction of electronic tomogram and 3D extraction of ribosome. [Internet] [Doctoral dissertation]. Strasbourg; Université de Tunis El-Manar. Faculté des Sciences de Tunis (Tunisie); 2016. [cited 2021 Apr 22]. Available from: http://www.theses.fr/2016STRAD045.

Council of Science Editors:

Rojbani H. Alignement-reconstruction simultanée de tomogramme électronique et extraction de volume de ribosome : Simultaneous alignment-reconstruction of electronic tomogram and 3D extraction of ribosome. [Doctoral Dissertation]. Strasbourg; Université de Tunis El-Manar. Faculté des Sciences de Tunis (Tunisie); 2016. Available from: http://www.theses.fr/2016STRAD045

15. Dakkak, Mustapha. Géo localisation en environnement fermé des terminaux mobiles : Indoor geo-location static and dynamic geo-location of mobile terminals in indoor environments.

Degree: Docteur es, Informatique, 2012, Université Paris-Est

URL: http://www.theses.fr/2012PEST1070

►

Récemment, la localisation statique et dynamique d'un objet ou d'une personne est devenue l'un des plus importantes fonctionnalités d'un système de communication, du fait de… (more)

▼

Récemment, la localisation statique et dynamique d'un objet ou d'une personne est devenue l'un des plus importantes fonctionnalités d'un système de communication, du fait de ses multiples applications. En effet, connaître la position d'un terminal mobile (MT), en milieu extérieur ou intérieur, est généralement d'une importance majeure pour des applications fournissant des services basés sur la localisation. Ce développement des systèmes de localisation est dû au faible coût des infrastructures de réseau sans fil en milieu intérieur (WLAN). Les techniques permettant de localiser des MTs diffèrent selon les paramètres extraits des signaux radiofréquences émis entre des stations de base (BSs) et des MTs. Les conditions idéales pour effectuer des mesures sont des environnements dépourvus de tout obstacle, permettant des émissions directes entre BS et MT. Ce n'est pas le cas en milieu intérieur, du fait de la présence continuelle d'obstacles dans l'espace, qui dispersent les rayonnements. Les mesures prises dans ces conditions (NLOS, pour Non Line of Sight) sont imprévisibles et diffèrent de celles prises en condition LOS. Afin de réduire les erreurs de mesure, différentes techniques peuvent être utilisées, comme la mitigation, l'approximation, la correction à priori, ou le filtrage. En effet, l'application de systèmes de suivi (TSs) constitue une base substantielle pour la navigation individuelle, les réseaux sociaux, la gestion du trafic, la gestion des ressources mobiles, etc. Différentes techniques sont appliquées pour construire des TSs en milieu intérieur, où le signal est bruité, faible voire inexistant. Bien que les systèmes de localisation globaux (GPS) et les travaux qui en découlent fonctionnent bien hors des bâtiments et dans des canyons urbains, le suivi d'utilisateurs en milieu intérieur est bien plus problématique. De ce fait, le problème de prédiction reste un obstacle essentiel à la construction de TSs fiable dans de tels environnements. Une étape de prédiction est inévitable, en particulier, dans le cas où l'on manque d'informations. De multiples approches ont été proposées dans la littérature, la plupart étant basées sur un filtre linéaire (LF), un filtre de Kalman (KF) et ses variantes, ou sur un filtre particulaire (PF). Les filtres de prédiction sont souvent utilisés dans des problèmes d'estimation et l'application de la dérivation non entière peut limiter l'impact de la perte de performances. Ce travail présente une nouvelle approche pour la localisation intérieure par WLAN utilisant un groupement des coordonnées. Ensuite, une étude comparative des techniques déterministes et des techniques d'apprentissage pour la localisation intérieure est présentée. Enfin, une nouvelle approche souple pour les systèmes de suivi en milieu intérieur, par application de la dérivation non entière, est présentée

Recently, the static and dynamic geo-location of a device or a person has become one of the most important aspects of communication systems because of its multiple applications. In general, knowing the…

Advisors/Committee Members: Siarry, Patrick (thesis director).

Subjects/Keywords: Indoor localisation; Tracking; Reseaux sans fils; Réseaux de neurones; Plus proches voisins; Intégration fractionnaire; Indoor localization; Tracking; Wireless networks; Neural networks; Nearest neighbor; Fractional integration

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APA (6^th Edition):

Dakkak, M. (2012). Géo localisation en environnement fermé des terminaux mobiles : Indoor geo-location static and dynamic geo-location of mobile terminals in indoor environments. (Doctoral Dissertation). Université Paris-Est. Retrieved from http://www.theses.fr/2012PEST1070

Chicago Manual of Style (16^th Edition):

Dakkak, Mustapha. “Géo localisation en environnement fermé des terminaux mobiles : Indoor geo-location static and dynamic geo-location of mobile terminals in indoor environments.” 2012. Doctoral Dissertation, Université Paris-Est. Accessed April 22, 2021. http://www.theses.fr/2012PEST1070.

MLA Handbook (7^th Edition):

Dakkak, Mustapha. “Géo localisation en environnement fermé des terminaux mobiles : Indoor geo-location static and dynamic geo-location of mobile terminals in indoor environments.” 2012. Web. 22 Apr 2021.

Vancouver:

Dakkak M. Géo localisation en environnement fermé des terminaux mobiles : Indoor geo-location static and dynamic geo-location of mobile terminals in indoor environments. [Internet] [Doctoral dissertation]. Université Paris-Est; 2012. [cited 2021 Apr 22]. Available from: http://www.theses.fr/2012PEST1070.

Council of Science Editors:

Dakkak M. Géo localisation en environnement fermé des terminaux mobiles : Indoor geo-location static and dynamic geo-location of mobile terminals in indoor environments. [Doctoral Dissertation]. Université Paris-Est; 2012. Available from: http://www.theses.fr/2012PEST1070

Queensland University of Technology

16. Volkov, Vladimir Vladimirovich. Volatility transmission in global financial markets.

Degree: 2015, Queensland University of Technology

URL: https://eprints.qut.edu.au/87087/

As financial markets have become increasingly integrated internationally, the topic of volatility transmission across these markets has become more important. This thesis investigates how the volatility patterns of the world's main financial centres differ across foreign exchange, equity, and bond markets.

Subjects/Keywords: Volatility transmission; global financial markets; realised volatility; jump diffusion; news spillovers; fractional integration; cointegration; global news stream; point processes; high frequency data; ODTA

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APA (6^th Edition):

Volkov, V. V. (2015). Volatility transmission in global financial markets. (Thesis). Queensland University of Technology. Retrieved from https://eprints.qut.edu.au/87087/

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^th Edition):

Volkov, Vladimir Vladimirovich. “Volatility transmission in global financial markets.” 2015. Thesis, Queensland University of Technology. Accessed April 22, 2021. https://eprints.qut.edu.au/87087/.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^th Edition):

Volkov, Vladimir Vladimirovich. “Volatility transmission in global financial markets.” 2015. Web. 22 Apr 2021.

Vancouver:

Volkov VV. Volatility transmission in global financial markets. [Internet] [Thesis]. Queensland University of Technology; 2015. [cited 2021 Apr 22]. Available from: https://eprints.qut.edu.au/87087/.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Volkov VV. Volatility transmission in global financial markets. [Thesis]. Queensland University of Technology; 2015. Available from: https://eprints.qut.edu.au/87087/

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

17. Guilherme de Oliveira Lima Cagliari Marques. Estruturas de memória longa em variáveis econômicas : da análise de integração e co-integração fracionária à análise de ondaletas.

Degree: 2008, University of São Paulo

URL: http://www.teses.usp.br/teses/disponiveis/12/12138/tde-14052008-103427/

►

Os modelos ARFIMA de memória longa mostraram-se nesse trabalho mais versáteis à análise da persistência em séries temporais em comparação aos modelos ARIMA. As funções… (more)

▼

Os modelos ARFIMA de memória longa mostraram-se nesse trabalho mais versáteis à análise da persistência em séries temporais em comparação aos modelos ARIMA. As funções impulso-resposta dos modelos de integração fracionária indicam que essa classe de modelos capta mais adequadamente as informações contidas nas baixas freqüências das séries e, portanto, estes modelos são mais capacitados para avaliar como os choques econômicos são acomodados no médio e longo prazo. Os estudos simulatórios mostraram que os testes de raiz unitária aplicados a processos com memória longa possuem baixo poder, e que os estimadores por máxima verossimilhança e os baseados no espectro de ondaletas são eficientes para estimar o parâmetro de integração fracionária. Os estudos empíricos encontraram componentes altamente persistentes nas séries brasileiras do produto, desemprego e consumo. A análise de co-integração fracionária refutou os resultados do arcabouço I(1)-I(0) que sugerem a não co-integração entre as séries consumo das famílias e renda disponível. A variabilidade relativa dessas séries foi analisada por meio da análise em multiresolução de ondaletas. Concluiu-se que, nas baixas escalas, a variabilidade entre as séries varia em função da escala temporal envolvida. A doutrina da paridade do poder de compra com dados brasileiros foi revisitada por meio da análise de co-integração fracionária.

The long-memory ARFIMA models proved to be more versatile in this study to the analysis of endurance in time series compare to the ARIMA models. The impulse-response functions of the fractionally integrated models indicate that this class of models more adequately gathers the data enclosed in the low frequencies of the series and thus these models are more befitted to evaluate how economic shocks are settled in the medium and long terms. Simulation studies unveiled that the unit root tests applied to long-memory processes have low power, and that the maximum likelihood estimators as well as those based on wavelet spectrum are efficient in estimating the fractional difference parameter. Empirical studies have found highly persistent components in the Brazilian series of the product, unemployment and consumption. The fractional co-integration analysis rebutted the results of the I(1)-I(0) framework, which suggest the non co-integration between the series of familiesćonsumption and the disposable income. The relative variability of these series was investigated through a wavelet multiresolution analysis. It was concluded that, in small scales, the variability between the series changes according to the time scale involved. The Purchasing Power Parity doctrine with Brazilian data has been revisited through the fractional co-integration analysis.

Advisors/Committee Members: Vera Lucia Fava, Denisard Cneio de Oliveira Alves, Heron Carlos Esvael do Carmo, Chang Chiann, Silvia Regina Costa Lopes.

Subjects/Keywords: Análise de ondaletas (wavelets); Análise de séries temporais; Econometria; Processos com memória longa; Fractional co-integration; Fractional integration; Long memory; Wavelet analysis

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APA (6^th Edition):

Marques, G. d. O. L. C. (2008). Estruturas de memória longa em variáveis econômicas : da análise de integração e co-integração fracionária à análise de ondaletas. (Doctoral Dissertation). University of São Paulo. Retrieved from http://www.teses.usp.br/teses/disponiveis/12/12138/tde-14052008-103427/

Chicago Manual of Style (16^th Edition):

Marques, Guilherme de Oliveira Lima Cagliari. “Estruturas de memória longa em variáveis econômicas : da análise de integração e co-integração fracionária à análise de ondaletas.” 2008. Doctoral Dissertation, University of São Paulo. Accessed April 22, 2021. http://www.teses.usp.br/teses/disponiveis/12/12138/tde-14052008-103427/.

MLA Handbook (7^th Edition):

Marques, Guilherme de Oliveira Lima Cagliari. “Estruturas de memória longa em variáveis econômicas : da análise de integração e co-integração fracionária à análise de ondaletas.” 2008. Web. 22 Apr 2021.

Vancouver:

Marques GdOLC. Estruturas de memória longa em variáveis econômicas : da análise de integração e co-integração fracionária à análise de ondaletas. [Internet] [Doctoral dissertation]. University of São Paulo; 2008. [cited 2021 Apr 22]. Available from: http://www.teses.usp.br/teses/disponiveis/12/12138/tde-14052008-103427/.

Council of Science Editors:

Marques GdOLC. Estruturas de memória longa em variáveis econômicas : da análise de integração e co-integração fracionária à análise de ondaletas. [Doctoral Dissertation]. University of São Paulo; 2008. Available from: http://www.teses.usp.br/teses/disponiveis/12/12138/tde-14052008-103427/

Mississippi State University

18. KrishnasamySaraswathy, Vidhya. The numerical solutions of fractional differential equations with fractional Taylor vector.

Degree: PhD, Mathematics and Statistics, 2016, Mississippi State University

URL: http://sun.library.msstate.edu/ETD-db/theses/available/etd-03312016-122458/ ;

► In this dissertation, a new numerical method for solving fractional calculus problems is presented. The method is based upon the fractional Taylor vector approximations.… (more)

Subjects/Keywords: numerical solution; fractional differential equations; operational matrix; fractional integral operator; fractional derivative; fractional Taylor vector

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APA (6^th Edition):

KrishnasamySaraswathy, V. (2016). The numerical solutions of fractional differential equations with fractional Taylor vector. (Doctoral Dissertation). Mississippi State University. Retrieved from http://sun.library.msstate.edu/ETD-db/theses/available/etd-03312016-122458/ ;

Chicago Manual of Style (16^th Edition):

KrishnasamySaraswathy, Vidhya. “The numerical solutions of fractional differential equations with fractional Taylor vector.” 2016. Doctoral Dissertation, Mississippi State University. Accessed April 22, 2021. http://sun.library.msstate.edu/ETD-db/theses/available/etd-03312016-122458/ ;.

MLA Handbook (7^th Edition):

KrishnasamySaraswathy, Vidhya. “The numerical solutions of fractional differential equations with fractional Taylor vector.” 2016. Web. 22 Apr 2021.

Vancouver:

KrishnasamySaraswathy V. The numerical solutions of fractional differential equations with fractional Taylor vector. [Internet] [Doctoral dissertation]. Mississippi State University; 2016. [cited 2021 Apr 22]. Available from: http://sun.library.msstate.edu/ETD-db/theses/available/etd-03312016-122458/ ;.

Council of Science Editors:

KrishnasamySaraswathy V. The numerical solutions of fractional differential equations with fractional Taylor vector. [Doctoral Dissertation]. Mississippi State University; 2016. Available from: http://sun.library.msstate.edu/ETD-db/theses/available/etd-03312016-122458/ ;

19. Schensul, Daniel M. Remaking an Apartheid City: State-Led Spatial Transformation in Post-Apartheid Durban, South Africa.

Degree: PhD, Sociology, 2009, Brown University

URL: https://repository.library.brown.edu/studio/item/bdr:83/

► Durban, South Africa contains the most pervasively planned areas of racial and economic exclusion in the world. Apartheid's effectiveness was not just in segregating race… (more)

▼ Durban, South Africa contains the most pervasively planned areas of racial and economic exclusion in the world. Apartheid's effectiveness was not just in segregating race groups, but in keeping them so geographically distinct from one another as to entrench completely different paths of political, social, and economic development within the same urban boundaries. With South Africa's new democratic regime came the dissolution of the legal underpinnings of apartheid planning. However, disparate developmental paths remained, held in place through the spatial distribution of access, infrastructure, and residential race and class mobility ? what I call the city's "spatial hierarchy." The African National Congress empowered Durban's local government to intervene to transform apartheid space, targeting public investment in infrastructure and services as the primary strategy. At the same time, high inequality, the power of capital vis-à-vis the state, the skills gap between the African and white populations, and the lack of engagement between the state and civil society all acted in concert with spatial path dependencies to prevent fundamental spatial change. As a result, much of the state's infrastructure program heightened spatial lock-in of poor Africans in economically stagnant townships, while the city's core continued to develop, resulting in increased inequality. However, I find areas of spatial transformation in Durban, tightly linked to state investment in public housing. These areas, which I call "bridging communities," contain both race and class diversity ? including access for poor Africans ? and provide access to economic opportunity. I argue that Durban's state resources, coupled with geographies of power and state-society interactions, meant that the state could create bridging communities through well located public housing, despite the difficulty of impacting established communities in the core and townships. Quantitative data for this dissertation came from the 1985, 1996, and 2001 South African censuses, geocoded by community in Durban, and from geocoded data on municipal infrastructure and services. I displayed the quantitative results on maps of Durban's communities, and used these maps to drive workshops with over 50 local key informants, including municipal officials, planners, policy makers, and academics. Advisors/Committee Members: Heller, Patrick (director), Logan, John (reader), Itzigsohn, Jose (reader), Henry, Paget (reader), Baiocchi, Gianpaolo (reader).

Subjects/Keywords: integration

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APA (6^th Edition):

Schensul, D. M. (2009). Remaking an Apartheid City: State-Led Spatial Transformation in Post-Apartheid Durban, South Africa. (Doctoral Dissertation). Brown University. Retrieved from https://repository.library.brown.edu/studio/item/bdr:83/

Chicago Manual of Style (16^th Edition):

Schensul, Daniel M. “Remaking an Apartheid City: State-Led Spatial Transformation in Post-Apartheid Durban, South Africa.” 2009. Doctoral Dissertation, Brown University. Accessed April 22, 2021. https://repository.library.brown.edu/studio/item/bdr:83/.

MLA Handbook (7^th Edition):

Schensul, Daniel M. “Remaking an Apartheid City: State-Led Spatial Transformation in Post-Apartheid Durban, South Africa.” 2009. Web. 22 Apr 2021.

Vancouver:

Schensul DM. Remaking an Apartheid City: State-Led Spatial Transformation in Post-Apartheid Durban, South Africa. [Internet] [Doctoral dissertation]. Brown University; 2009. [cited 2021 Apr 22]. Available from: https://repository.library.brown.edu/studio/item/bdr:83/.

Council of Science Editors:

Schensul DM. Remaking an Apartheid City: State-Led Spatial Transformation in Post-Apartheid Durban, South Africa. [Doctoral Dissertation]. Brown University; 2009. Available from: https://repository.library.brown.edu/studio/item/bdr:83/

Université de Neuchâtel

20. Zhang, Xiqian. Essays on the globalization of firm ownership.

Degree: 2017, Université de Neuchâtel

URL: http://doc.rero.ch/record/324210

► Cette dissertation est constituée de trois chapitres distincts. Le premier chapitre vise à résoudre un récent débat sur la question de savoir si les fonds… (more)

▼ Cette dissertation est constituée de trois chapitres distincts. Le premier chapitre vise à résoudre un récent débat sur la question de savoir si les fonds souverains(SWFs) ont des objectifs non financiers et faussent politiquement la performance des entreprises. Je trouve que, après avoir examiné la taille de la participation détenue par SWFs, la croyance antérieure que SWFs affecteraient la performance de l'entreprise devrait être reformulée. SWFs cherchent rarement une participation influente dans les sociétés cotées. Même dans les entreprises où SWFs detiennent une participation significative, SWFs n'affectent pas la performance globale de l'entreprise. Mais au niveau de l'usine, ce chapitre fournit deux études de cas qui font une allusion à l'influence des SWFs sur les choix du lieu de l'usine des entreprises. Dans l'ensemble, les conclusions de ce chapitre indiquent que SWFs n'affectent pas le gain économique des investisseurs mondiaux. Elles indiquent également qu’il est intéressant à voir comment SWFs et les autres parties prenantes répartissent les gains économiques en termes de transfert de technologie, d'emploi et de recettes fiscales. Le deuxième chapitre examine si les acquéreurs financiers exploitent la sous-évaluation comme motif des acquisitions en étudiant les échecs d’acquisition, c'est-à-dire les offres d'acquisition qui ne parviennent pas à se terminer. Toute réévaluation subsistante après un échec d’acquisition ne devrait pas être liée à la création de valeur envisagée par la tentative d'acquisition. Dans cette optique, elle pourrait s'explique par une sous-évaluation. Nous constatons un rendement anormal cumulatif de 30% de l'offre d'achat à l'échec de l’acquisition aux entreprises qui sont ciblées par les acquéreurs financiers et souffrent d’une asymétrie d'information sévère. Par rapport aux acquéreurs financiers, nous constatons en outre que les acquéreurs stratégiques ont d'autres motifs des acquisitions et ne parviennent pas à tirer profit de la sous-évaluation en tant que facteur déterminant dans le choix des entreprises cibles. Ces résultats indiquent que les acquéreurs financiers se spécialisent ou sont plus compétents dans l'identification et l'exploitation de la sous-évaluation. Ce travail aborde avec succès un défi empirique de longue date consistant à séparer la sélection de valeur et de la création de valeur dans les acquisitions, en fournissant la preuve que l'un des motifs pour les acquéreurs financiers est de profiter de la sous-évaluation. Le troisième chapitre prend la perspective du processus d'acquisition et se concentre sur les acquisitions verticales transfrontalières. Je montre que la productivité au niveau des pays cibles dans les chaînes de valeur mondiales est importante pour expliquer l'étendue du contrôle transféré des cibles aux acquéreurs étrangers. Le contrôle étranger est moins courant dans les pays cibles où la productivité relative est plus élevée. Cette conclusion est robuste aux déterminants alternatifs des décisions d'acquisition transfrontalières.… Advisors/Committee Members: Carolina (Dir.).

Subjects/Keywords: Integration

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^th Edition):

Zhang, X. (2017). Essays on the globalization of firm ownership. (Thesis). Université de Neuchâtel. Retrieved from http://doc.rero.ch/record/324210

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^th Edition):

Zhang, Xiqian. “Essays on the globalization of firm ownership.” 2017. Thesis, Université de Neuchâtel. Accessed April 22, 2021. http://doc.rero.ch/record/324210.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^th Edition):

Zhang, Xiqian. “Essays on the globalization of firm ownership.” 2017. Web. 22 Apr 2021.

Vancouver:

Zhang X. Essays on the globalization of firm ownership. [Internet] [Thesis]. Université de Neuchâtel; 2017. [cited 2021 Apr 22]. Available from: http://doc.rero.ch/record/324210.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Zhang X. Essays on the globalization of firm ownership. [Thesis]. Université de Neuchâtel; 2017. Available from: http://doc.rero.ch/record/324210

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

21. Keddad, Benjamin. Four essays on monetary and financial integration in Asia : Quatre essais sur l'intégration monétaire et financière en Asie.

Degree: Docteur es, Sciences économiques, 2013, Aix Marseille Université

URL: http://www.theses.fr/2013AIXM1096

►

Dans cette thèse, nous proposons quatre contributions originales à l'étude de l'intégration monétaire et financière des pays asiatiques.Dans le premier chapitre nous déterminons la sensibilité… (more)

▼

Dans cette thèse, nous proposons quatre contributions originales à l'étude de l'intégration monétaire et financière des pays asiatiques.Dans le premier chapitre nous déterminons la sensibilité relative des devises asiatiques (ASEAN-5, Corée du Sud) face aux chocs simulés sur le dollar, l'euro et l'ACU. Nous mettons en évidence la volonté de ces pays de se détourner d'une politique de change exclusivement centrée sur le dollar vers une politique plus flexible, où le poids de l'ACU semble avoir gagné en importance.Le deuxième chapitre met l'accent sur la synchronisation entre les cycles des affaires de l'ASEAN-5. Nous montrons que la corrélation entre les cycles est plus forte durant les phases de contraction mais que la dynamique d'ajustement est propre à chaque pays. Par ailleurs, certains cycles des affaires de l'ASEAN-5 contiennent des informations pertinentes pour prédire les changements de régime des autres pays.Le troisième chapitre examine le co-mouvement entre les taux de change réels de l'ASEAN-5 du point de vue de la parité de pouvoir d'achat généralisé (Enders and Hurns, 1994, 1997). Nous montrons que les taux de change réels sont liés par un processus à mémoire longue, ce qui soutient l'idée d'une intégration monétaire plus poussée entre différents sous-groupes de pays. Enfin dans le dernier chapitre, nous examinons le degré d'intégration des marchés boursiers en Asie (ASEAN-5, Hong Kong, Japon). Nos résultats montrent que la volatilité des marchés boursiers internationaux partagent une tendance stochastique commune. En revanche, les marchés boursiers des pays émergents apparaissent encore segmentés tant au niveau global que régional.

This thesis proposes four contributions to the study of Asian monetary and financial integration.The first chapter examines to what extent the East Asian exchange rates (ASEAN-5, South Korea) are sensitive to shocks simulated on the US dollar, the euro and the ACU. We show that these countries have moved from a US dollar-based pegging system to a more flexible exchange rate policy, where the weight of the ACU has increased over the last years. The second chapter attempts to analyze the correlation among the ASEAN-5 business cycles. Estimates reveal that correlations are higher during downturns but the process of adjustment to shocks displays idiosyncratic features. We also provide evidence that the signals contained in some leading ASEAN-5 business cycles help predict regime switching in other countries. The third chapter examines the co-movement among the ASEAN-5 real exchange rates through the generalized purchasing power parity (Enders and Hurns, 1994, 1997). We find that real exchange rates are tied through a long memory process, supporting further monetary integration among different sub-groups of the ASEAN-5.In the last chapter, we investigate to what extent the stock markets in Asia (Hong Kong, Japan, ASEAN-5) are integrated. Our results reveal that the stock market volatilities in developed countries share a common stochastic trend. Conversely, emerging markets…

Advisors/Committee Members: Dufrénot, Gilles (thesis director).

Subjects/Keywords: Intégration monétaire; Intégration financière; Zone monétaire optimale; Asie; Unité monétaire asiatique; Taux de change réel; Cycle des affaires; Volatilité des marchés boursiers; Cointégration fractionnaire; Modèle Markov-switching; Monetary integration; Financial integration; Optimum currency area; Asia; Asian Currency Unit; Real exchange rate; Business cycle; Stock market volatility; Fractional cointegration; Markov-switching model

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^th Edition):

Keddad, B. (2013). Four essays on monetary and financial integration in Asia : Quatre essais sur l'intégration monétaire et financière en Asie. (Doctoral Dissertation). Aix Marseille Université. Retrieved from http://www.theses.fr/2013AIXM1096

Chicago Manual of Style (16^th Edition):

Keddad, Benjamin. “Four essays on monetary and financial integration in Asia : Quatre essais sur l'intégration monétaire et financière en Asie.” 2013. Doctoral Dissertation, Aix Marseille Université. Accessed April 22, 2021. http://www.theses.fr/2013AIXM1096.

MLA Handbook (7^th Edition):

Keddad, Benjamin. “Four essays on monetary and financial integration in Asia : Quatre essais sur l'intégration monétaire et financière en Asie.” 2013. Web. 22 Apr 2021.

Vancouver:

Keddad B. Four essays on monetary and financial integration in Asia : Quatre essais sur l'intégration monétaire et financière en Asie. [Internet] [Doctoral dissertation]. Aix Marseille Université 2013. [cited 2021 Apr 22]. Available from: http://www.theses.fr/2013AIXM1096.

Council of Science Editors:

Keddad B. Four essays on monetary and financial integration in Asia : Quatre essais sur l'intégration monétaire et financière en Asie. [Doctoral Dissertation]. Aix Marseille Université 2013. Available from: http://www.theses.fr/2013AIXM1096

22. Gbaguidi, David. Modeles économétriques pour l'inflation : anticipations rationnelles et croyances adaptatives dans le cadre de la nouvelle courbe de philips keynesienne : Econometric models for the inflation : rational expectations and adaptive beliefs in the new keynesian phillips curve framework.

Degree: Docteur es, Sciences économiques, 2011, Aix-Marseille 2

URL: http://www.theses.fr/2011AIX24014

► Le premier chapitre consiste en une brève revue de littérature dont les éléments sont repris dans les différentes introductions des études empiriques proposées dans la… (more)

▼ Le premier chapitre consiste en une brève revue de littérature dont les éléments sont repris dans les différentes introductions des études empiriques proposées dans la suite de la thèse. L'objet de cet état des lieux est de fixer le cadre général des analyses macro-économétriques opérées dans la thèse. Ce cadre nous permet d'une part, d'envisager une adéquate intégration des anticipations des agents économiques dans le raisonnement ayant mené aux modèles keynésiens actuels et d'autre part, d'effectuer des estimations des principales versions de la courbe de Phillips introduites dans la littérature macro-économique post-seconde guerre mondiale. Dans cette optique, la thèse est constituée de trois études empiriques. Dans la première de ces études, nous nous plaçons au sein d'un cadre uni-varié et tentons de discriminer entre plusieurs spécifications, proposant différentes caractérisations économétriques de la dynamique du taux d'inflation U.S. Essentiellement, trois types de spécifications, théoriquement associés à trois évolutions possibles du taux d'inflation espéré (anticipé), sont mis à l'épreuve. Les résultats de cette première étude montrent que la dynamique du taux d'inflation peut être pertinemment décrite à l'aide d'un modèle à changements de (trois) régimes markoviens dans les dérives (Intercepts) d'un processus autorégressif (d'ordre deux), soit le modèle MSI(3)-AR(2). La deuxième étude s'opère dans le cadre multi-varié d'une Nouvelle Courbe de Phillips Keynésienne à Inflation tendancielle Positive (NKPC-PI). Au sein de ce cadre, la relation d'arbitrage Inflation/Activité réelle est estimée suivant une procédure en deux étapes. Dans la première, nous identifions des régimes distincts du taux d'inflation U.S. à l'aide d'un modèle à changements de (trois) régimes markoviens dans les dérives d'un processus vectoriel autorégressif (d'ordre deux), soit le modèle MSI(3)-VAR(2). Dans la seconde étape, nous estimons les paramètres structurels de cette économie keynésienne afin d'extraire la courbe de Phillips résultante des changements de régimes initialement identifiés. Les résultats de cette deuxième étude nous amènent à conclure à une non-négligeable instabilité de la courbe de Phillips au cours de la période post-seconde guerre mondiale. La troisième étude se présente comme un prolongement et/ou un approfondissement des deux premières. Aussi, dans sa première partie, nous revenons sur les dynamiques tendancielles individuelles des quatre variables intervenant dans le cadre de modélisation NKPC-PI. Les résultats issus de ces premières estimations en contextes uni-variés montrent que seule la dynamique du taux d'inflation et, dans une moindre mesure, celle du coût marginal réel semble obéir à des changements de régimes. La spécification retenue pour l'inflation est celle de la première étude (MSI(3)-AR(2)), tandis que la dynamique du coût marginal réel pourrait être approchée à l'aide d'un modèle à changements de (deux) régimes dans les dérives d'un processus autorégressif (d'ordre deux), soit le modèle… Advisors/Committee Members: Boutahar, Mohamed (thesis director).

Subjects/Keywords: Inflation; Nouvelle Courbe de Phillips Keynésienne; Changements de Régimes Markoviens; Vecteur Auto Régressif; Paramètres Variables dans le Temps; Bris Structurels Inconnus; Intégration Fractionnelle; Inflation; New Keynesian Phillips Curve; Markov Switching; Vectorial Auto Regressive models; Time Varying Parameters; Unkown Structural Breaks; Fractional Integration

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^th Edition):

Gbaguidi, D. (2011). Modeles économétriques pour l'inflation : anticipations rationnelles et croyances adaptatives dans le cadre de la nouvelle courbe de philips keynesienne : Econometric models for the inflation : rational expectations and adaptive beliefs in the new keynesian phillips curve framework. (Doctoral Dissertation). Aix-Marseille 2. Retrieved from http://www.theses.fr/2011AIX24014

Chicago Manual of Style (16^th Edition):

Gbaguidi, David. “Modeles économétriques pour l'inflation : anticipations rationnelles et croyances adaptatives dans le cadre de la nouvelle courbe de philips keynesienne : Econometric models for the inflation : rational expectations and adaptive beliefs in the new keynesian phillips curve framework.” 2011. Doctoral Dissertation, Aix-Marseille 2. Accessed April 22, 2021. http://www.theses.fr/2011AIX24014.

MLA Handbook (7^th Edition):

Gbaguidi, David. “Modeles économétriques pour l'inflation : anticipations rationnelles et croyances adaptatives dans le cadre de la nouvelle courbe de philips keynesienne : Econometric models for the inflation : rational expectations and adaptive beliefs in the new keynesian phillips curve framework.” 2011. Web. 22 Apr 2021.

Vancouver:

Gbaguidi D. Modeles économétriques pour l'inflation : anticipations rationnelles et croyances adaptatives dans le cadre de la nouvelle courbe de philips keynesienne : Econometric models for the inflation : rational expectations and adaptive beliefs in the new keynesian phillips curve framework. [Internet] [Doctoral dissertation]. Aix-Marseille 2; 2011. [cited 2021 Apr 22]. Available from: http://www.theses.fr/2011AIX24014.

Council of Science Editors:

Gbaguidi D. Modeles économétriques pour l'inflation : anticipations rationnelles et croyances adaptatives dans le cadre de la nouvelle courbe de philips keynesienne : Econometric models for the inflation : rational expectations and adaptive beliefs in the new keynesian phillips curve framework. [Doctoral Dissertation]. Aix-Marseille 2; 2011. Available from: http://www.theses.fr/2011AIX24014

Brno University of Technology

23. Domanský, Ondřej. Syntéza obvodových prvků s fraktální dynamikou: Synthesis of circuit element with fractal dynamics.

Degree: 2019, Brno University of Technology

URL: http://hdl.handle.net/11012/58901

► The first aim of this diploma thesis is to clarify problems with circuit elements described by the fractional-order dynamics, show their basic properties and possible… (more)

Subjects/Keywords: Fraktální dynamika; syntéza pasivních dvojpólů; prvek s konstantním fázovým posuvem (CPE); PID regulátor; proporční člen; integrační dvojbran; derivační dvojbran.; Fractional-order dynamics; synthesis of the passive two-terminals; constant phase element (CPE); PID controller; proportional element; integration two-port; differentiator two-port.

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^th Edition):

Domanský, O. (2019). Syntéza obvodových prvků s fraktální dynamikou: Synthesis of circuit element with fractal dynamics. (Thesis). Brno University of Technology. Retrieved from http://hdl.handle.net/11012/58901

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^th Edition):

Domanský, Ondřej. “Syntéza obvodových prvků s fraktální dynamikou: Synthesis of circuit element with fractal dynamics.” 2019. Thesis, Brno University of Technology. Accessed April 22, 2021. http://hdl.handle.net/11012/58901.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^th Edition):

Domanský, Ondřej. “Syntéza obvodových prvků s fraktální dynamikou: Synthesis of circuit element with fractal dynamics.” 2019. Web. 22 Apr 2021.

Vancouver:

Domanský O. Syntéza obvodových prvků s fraktální dynamikou: Synthesis of circuit element with fractal dynamics. [Internet] [Thesis]. Brno University of Technology; 2019. [cited 2021 Apr 22]. Available from: http://hdl.handle.net/11012/58901.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Domanský O. Syntéza obvodových prvků s fraktální dynamikou: Synthesis of circuit element with fractal dynamics. [Thesis]. Brno University of Technology; 2019. Available from: http://hdl.handle.net/11012/58901

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

University of Waterloo

24. Hines, Jonathan. A Comparative Study of the SIMPLE and Fractional Step Time Integration Methods for Transient Incompressible Flows.

Degree: 2008, University of Waterloo

URL: http://hdl.handle.net/10012/4162

► Time integration methods are necessary for the solution of transient flow problems. In recent years, interest in transient flow problems has increased, leading to a… (more)

▼ Time integration methods are necessary for the solution of transient flow problems. In recent years, interest in transient flow problems has increased, leading to a need for better understanding of the costs and benefits of various time integration schemes. The present work investigates two common time integration schemes, namely the Semi-Implicit Method for Pressure-Linked Equations (SIMPLE) and the Fractional Step (FS) method. Three two-dimensional, transient, incompressible flow problems are solved using a cell centered, finite volume code. The three test cases are laminar flow in a lid-driven skewed cavity, laminar flow over a square cylinder, and turbulent flow over a square cylinder. Turbulence is modeled using wall functions and the k - ε turbulence model with the modifications suggested by Kato and Launder. Solution efficiency as measured by the effort carried out by the flow equation solver and CPU time is examined. Accuracy of the results, generated using the SIMPLE and FS time integration schemes, is analyzed through a comparison of the results with existing experimental and/or numerical solutions. Both the SIMPLE and FS algorithms are shown to be capable of solving benchmark flow problems with reasonable accuracy. The two schemes differ slightly in their prediction of flow evolution over time, especially when simulating very slowly changing flows. As the time step size decreases, the SIMPLE algorithm computational cost (CPU time) per time step remains approximately constant, while the FS method experiences a reduction in cost per time step. Also, the SIMPLE algorithm is numerically stable for time steps approaching infinity, while the FS scheme suffers from numerical instability if the time step size is too large. As a result, the SIMPLE algorithm is recommended to be used for transient simulations with large time steps or steady state problems while the FS scheme is better suited for small time step solutions, although both time-stepping schemes are found to be most efficient when their time steps are at their maximum stable value.

Subjects/Keywords: time integration; CFD; URANS; SIMPLE; Fractional Step; square cylinder; skewed cavity; time stepping; transient flow; incompressible

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^th Edition):

Hines, J. (2008). A Comparative Study of the SIMPLE and Fractional Step Time Integration Methods for Transient Incompressible Flows. (Thesis). University of Waterloo. Retrieved from http://hdl.handle.net/10012/4162

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^th Edition):

Hines, Jonathan. “A Comparative Study of the SIMPLE and Fractional Step Time Integration Methods for Transient Incompressible Flows.” 2008. Thesis, University of Waterloo. Accessed April 22, 2021. http://hdl.handle.net/10012/4162.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^th Edition):

Hines, Jonathan. “A Comparative Study of the SIMPLE and Fractional Step Time Integration Methods for Transient Incompressible Flows.” 2008. Web. 22 Apr 2021.

Vancouver:

Hines J. A Comparative Study of the SIMPLE and Fractional Step Time Integration Methods for Transient Incompressible Flows. [Internet] [Thesis]. University of Waterloo; 2008. [cited 2021 Apr 22]. Available from: http://hdl.handle.net/10012/4162.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Hines J. A Comparative Study of the SIMPLE and Fractional Step Time Integration Methods for Transient Incompressible Flows. [Thesis]. University of Waterloo; 2008. Available from: http://hdl.handle.net/10012/4162

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

25. Antunes Neto, José Parreiras. Testing for extreme long-memory common features in volatility processes.

Degree: 2020, Brazil

URL: http://hdl.handle.net/10438/29188

►

A agregação de processos de baixa dependência gera uma elevação na memória da variável agregada. Muitos modelos capturam esta memória longa e foram utilizados para… (more)

▼

A agregação de processos de baixa dependência gera uma elevação na memória da variável agregada. Muitos modelos capturam esta memória longa e foram utilizados para modelar volatilidade. Destes, os que mais se destacam são baseados no modelo de integração fracionada. Entretando, dependendo do modod em que as séries são agregadas, os modelos de integração fracionada não conseguem aproximar da melhor forma a função de autocorrelação. Nós assumimos uma forma mais flexível para a função de autocorrelação de modo a acomodar a memória longa existente nos processos de volatilidade. Neste artigo, propomos um estimador para séries de memória longa e derivamos o seu comportamento assintótico. Baseado no nosso estimador, construímos um teste para a identificação de componentes comuns em várias medidas de volatilidade que apresentam alta persistência. Nós aplicamos a nossa metodologia a medidas observáveis de volatilidade de mercado (especificamente VIX e VXO), onde a memória longa é um problema frequente. Encontramos evidência a favor da existência de um componente comum de memória longa nestas séries que pode ser relacionado à volatilidade natural de mercado.

Cross-sectional aggregation of short-memory processes may generate long memory in the resulting time series. Many time-series models capture long-memory and have already been used to model volatility, of which the most popular relies on fractional integration. However, depending on how aggregation occurs, fractional integration does not provide a good approximation for the autocorrelation function. Accordingly, we assume a very flexible form for the autocorrelation function in order to accommodate long-memory in volatility processes. In this article, we propose an estimator for long-memory processes and derive its asymptotic behavior. We construct a test for the identification of a common feature among multiple volatility measures that exhibit high persistence. We apply our methodology to observed market volatility (namely VIX and VXO), where long-memory is a frequent concern, and find evidence suggesting that the natural market volatility appears as a long-memory feature in our data.

Advisors/Committee Members: Escolas::EESP, Chague, Fernando Daniel, Dias, Gustavo Fruet, Fernandes, Marcelo.

Subjects/Keywords: Memória longa; Volatilidade; Componentes comuns; Integração fracionada; Autocorrelação; Estimador de distância mínima; Agregação; Long memory; Volatility; Common features; Fractional integration; Autocorrelation; Minimum distance estimator; Aggregation; Economia; Volatilidade (Finanças); Análise de séries temporais; Autocorrelação (Estatística); Agregação (Economia)

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^th Edition):

Antunes Neto, J. P. (2020). Testing for extreme long-memory common features in volatility processes. (Masters Thesis). Brazil. Retrieved from http://hdl.handle.net/10438/29188

Chicago Manual of Style (16^th Edition):

Antunes Neto, José Parreiras. “Testing for extreme long-memory common features in volatility processes.” 2020. Masters Thesis, Brazil. Accessed April 22, 2021. http://hdl.handle.net/10438/29188.

MLA Handbook (7^th Edition):

Antunes Neto, José Parreiras. “Testing for extreme long-memory common features in volatility processes.” 2020. Web. 22 Apr 2021.

Vancouver:

Antunes Neto JP. Testing for extreme long-memory common features in volatility processes. [Internet] [Masters thesis]. Brazil; 2020. [cited 2021 Apr 22]. Available from: http://hdl.handle.net/10438/29188.

Council of Science Editors:

Antunes Neto JP. Testing for extreme long-memory common features in volatility processes. [Masters Thesis]. Brazil; 2020. Available from: http://hdl.handle.net/10438/29188

Universidade Estadual de Campinas

26. Oliveira, Altenize dos Santos Cordeiro, 1982-. Cálculo fracionário : contribuições históricas e aplicações físicas.

Degree: Instituto de Matemática, Estatística e Computação Científica; Programa de Pós-Graduação em Matemática Aplicada e Computacional, 2018, Universidade Estadual de Campinas

URL: OLIVEIRA, Altenize dos Santos Cordeiro. Cálculo fracionário: contribuições históricas e aplicações físicas. 2018. 1 recurso online (60 p.). Dissertação (mestrado profissional) - Universidade Estadual de Campinas, Instituto de Matemática Estatística e Computação Científica, Campinas, SP. Disponível em: <http://www.repositorio.unicamp.br/handle/REPOSIP/331213>. Acesso em: 3 set. 2018. ; http://repositorio.unicamp.br/jspui/handle/REPOSIP/331213

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Orientador: Felix Silva Costa

Dissertação (mestrado profissional) - Universidade Estadual de Campinas, Instituto de Matemática Estatística e Computação Científica

Made available in DSpace on 2018-09-03T10:20:36Z… (more)

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Orientador: Felix Silva Costa

Dissertação (mestrado profissional) - Universidade Estadual de Campinas, Instituto de Matemática Estatística e Computação Científica

Made available in DSpace on 2018-09-03T10:20:36Z (GMT). No. of bitstreams: 1 Oliveira_AltenizeDosSantosCordeiro_M.pdf: 2767794 bytes, checksum: 34cfb3ccfdf2916b3a565b67d3956b7c (MD5) Previous issue date: 2018

Resumo: O cálculo de ordem arbitrária, popularmente conhecido como cálculo fracionário tem se tornado tão importante quanto o cálculo de ordem inteira. Seu estudo tem sido utilizado em vários campos da ciência e engenharia, neste trabalho é feito um levantamento histórico desde sua origem, que se deu na troca de correspondências entre Leibniz e L'Hôpital até os dias atuais, com objetivo de apresentar as grandes contribuições de pesquisadores e estudiosos que foram primordiais para que o seu desenvolvimento fosse possível e crescente até hoje e também mostrar que durante essas contribuições existiram algumas controvérsias. Depois de apresentados os fatos históricos, apresentam-se as principais definições e propriedades que são indispensáveis para a compreensão do Cálculo Fracionário e algumas aplicações concentradas na física

The Arbitrary Order Calculus (AOC) also known as Fractional Calculus (FC) has become as important as the Integral Order calculus (IOC). Studies involving this topic have been used in many fields within Sciences and Engineering. For this work, a historical survey was made upon it and its origin, which is a result of the personal correspondence exchange between Leibniz and Guillaume L¿Hôspital and therefore it has been used until now. The main purpose of this work is to present the great contributions of researchers and experts who were crucial to its development, what has made it possible and kept in constant improvement until the present days. On the other hand, it also revealed that along with these contributions, some controversies were detected. After the historical facts have been exposed, the main definitions and properties necessary to the comprehension of the Fractional Calculus and its effective use by Scientists and Engineers were fully presented and explained here

Mestrado

Matematica Aplicada e Computacional

Mestra em Matemática Aplicada e Computacional

Advisors/Committee Members: UNIVERSIDADE ESTADUAL DE CAMPINAS, Costa, Felix Silva, 1982-, Oliveira, Edmundo Capelas de, Contharteze, Eliana.

Subjects/Keywords: Cálculo fracionário; Cálculo fracionário - História; Cálculo fracionário - Aplicações científicas; Integrais fracionárias; Modelos fracionários; Derivadas fracionárias; Fractional calculus; Fractional calculus - History; Fractional calculus - Scientific applications; Fractional integrals; Fractional models; Fractional derivatives

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^th Edition):

Oliveira, Altenize dos Santos Cordeiro, 1. (2018). Cálculo fracionário : contribuições históricas e aplicações físicas. (Doctoral Dissertation). Universidade Estadual de Campinas. Retrieved from OLIVEIRA, Altenize dos Santos Cordeiro. Cálculo fracionário: contribuições históricas e aplicações físicas. 2018. 1 recurso online (60 p.). Dissertação (mestrado profissional) - Universidade Estadual de Campinas, Instituto de Matemática Estatística e Computação Científica, Campinas, SP. Disponível em: <http://www.repositorio.unicamp.br/handle/REPOSIP/331213>. Acesso em: 3 set. 2018. ; http://repositorio.unicamp.br/jspui/handle/REPOSIP/331213

Chicago Manual of Style (16^th Edition):

Oliveira, Altenize dos Santos Cordeiro, 1982-. “Cálculo fracionário : contribuições históricas e aplicações físicas.” 2018. Doctoral Dissertation, Universidade Estadual de Campinas. Accessed April 22, 2021. OLIVEIRA, Altenize dos Santos Cordeiro. Cálculo fracionário: contribuições históricas e aplicações físicas. 2018. 1 recurso online (60 p.). Dissertação (mestrado profissional) - Universidade Estadual de Campinas, Instituto de Matemática Estatística e Computação Científica, Campinas, SP. Disponível em: <http://www.repositorio.unicamp.br/handle/REPOSIP/331213>. Acesso em: 3 set. 2018. ; http://repositorio.unicamp.br/jspui/handle/REPOSIP/331213.

MLA Handbook (7^th Edition):

Oliveira, Altenize dos Santos Cordeiro, 1982-. “Cálculo fracionário : contribuições históricas e aplicações físicas.” 2018. Web. 22 Apr 2021.

Vancouver:

Oliveira, Altenize dos Santos Cordeiro 1. Cálculo fracionário : contribuições históricas e aplicações físicas. [Internet] [Doctoral dissertation]. Universidade Estadual de Campinas; 2018. [cited 2021 Apr 22]. Available from: OLIVEIRA, Altenize dos Santos Cordeiro. Cálculo fracionário: contribuições históricas e aplicações físicas. 2018. 1 recurso online (60 p.). Dissertação (mestrado profissional) - Universidade Estadual de Campinas, Instituto de Matemática Estatística e Computação Científica, Campinas, SP. Disponível em: <http://www.repositorio.unicamp.br/handle/REPOSIP/331213>. Acesso em: 3 set. 2018. ; http://repositorio.unicamp.br/jspui/handle/REPOSIP/331213.

Council of Science Editors:

Oliveira, Altenize dos Santos Cordeiro 1. Cálculo fracionário : contribuições históricas e aplicações físicas. [Doctoral Dissertation]. Universidade Estadual de Campinas; 2018. Available from: OLIVEIRA, Altenize dos Santos Cordeiro. Cálculo fracionário: contribuições históricas e aplicações físicas. 2018. 1 recurso online (60 p.). Dissertação (mestrado profissional) - Universidade Estadual de Campinas, Instituto de Matemática Estatística e Computação Científica, Campinas, SP. Disponível em: <http://www.repositorio.unicamp.br/handle/REPOSIP/331213>. Acesso em: 3 set. 2018. ; http://repositorio.unicamp.br/jspui/handle/REPOSIP/331213

Linnaeus University

27. Feng, Zijie. Stock-Price Modeling by the Geometric Fractional Brownian Motion: A View towards the Chinese Financial Market.

Degree: Mathematics, 2018, Linnaeus University

URL: http://urn.kb.se/resolve?urn=urn:nbn:se:lnu:diva-78375

► As an extension of the geometric Brownian motion, a geometric fractional Brownian motion (GFBM) is considered as a stock-price model. The modeled GFBM is… (more)

Subjects/Keywords: geometric fractional Brownian motion; fractional Brownian motion; fractional Gaussian noise; Hurst exponent; Mathematics; Matematik

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APA (6^th Edition):

Feng, Z. (2018). Stock-Price Modeling by the Geometric Fractional Brownian Motion: A View towards the Chinese Financial Market. (Thesis). Linnaeus University. Retrieved from http://urn.kb.se/resolve?urn=urn:nbn:se:lnu:diva-78375

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^th Edition):

Feng, Zijie. “Stock-Price Modeling by the Geometric Fractional Brownian Motion: A View towards the Chinese Financial Market.” 2018. Thesis, Linnaeus University. Accessed April 22, 2021. http://urn.kb.se/resolve?urn=urn:nbn:se:lnu:diva-78375.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^th Edition):

Feng, Zijie. “Stock-Price Modeling by the Geometric Fractional Brownian Motion: A View towards the Chinese Financial Market.” 2018. Web. 22 Apr 2021.

Vancouver:

Feng Z. Stock-Price Modeling by the Geometric Fractional Brownian Motion: A View towards the Chinese Financial Market. [Internet] [Thesis]. Linnaeus University; 2018. [cited 2021 Apr 22]. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:lnu:diva-78375.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Feng Z. Stock-Price Modeling by the Geometric Fractional Brownian Motion: A View towards the Chinese Financial Market. [Thesis]. Linnaeus University; 2018. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:lnu:diva-78375

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Colorado School of Mines

28. Gladkina, Anastasia. Realizing fractional derivatives of elementary and composite functions through the generalized Euler's integral transform and integer derivative series: building the mathematical framework to model the fractional Schrödinger equation in fractional spacetime.

Degree: MS(M.S.), Physics, 2018, Colorado School of Mines

URL: http://hdl.handle.net/11124/172416

► Since the engenderment of fractional derivatives in 1695 as a continuous transformation between integer order derivatives, the physical applicability of fractional derivatives has been questioned.… (more)

Subjects/Keywords: fractional calculus; fractional Schroedinger equation; nonlocality; fractional derivative; Euler's integral transform; multiscale material

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^th Edition):

Gladkina, A. (2018). Realizing fractional derivatives of elementary and composite functions through the generalized Euler's integral transform and integer derivative series: building the mathematical framework to model the fractional Schrödinger equation in fractional spacetime. (Masters Thesis). Colorado School of Mines. Retrieved from http://hdl.handle.net/11124/172416

Chicago Manual of Style (16^th Edition):

Gladkina, Anastasia. “Realizing fractional derivatives of elementary and composite functions through the generalized Euler's integral transform and integer derivative series: building the mathematical framework to model the fractional Schrödinger equation in fractional spacetime.” 2018. Masters Thesis, Colorado School of Mines. Accessed April 22, 2021. http://hdl.handle.net/11124/172416.

MLA Handbook (7^th Edition):

Gladkina, Anastasia. “Realizing fractional derivatives of elementary and composite functions through the generalized Euler's integral transform and integer derivative series: building the mathematical framework to model the fractional Schrödinger equation in fractional spacetime.” 2018. Web. 22 Apr 2021.

Vancouver:

Gladkina A. Realizing fractional derivatives of elementary and composite functions through the generalized Euler's integral transform and integer derivative series: building the mathematical framework to model the fractional Schrödinger equation in fractional spacetime. [Internet] [Masters thesis]. Colorado School of Mines; 2018. [cited 2021 Apr 22]. Available from: http://hdl.handle.net/11124/172416.

Council of Science Editors:

Gladkina A. Realizing fractional derivatives of elementary and composite functions through the generalized Euler's integral transform and integer derivative series: building the mathematical framework to model the fractional Schrödinger equation in fractional spacetime. [Masters Thesis]. Colorado School of Mines; 2018. Available from: http://hdl.handle.net/11124/172416

Tulane University

29. Li, Hui. Wavelet-based Estimation for Gaussian and Non-Gaussian Mixed Fractional Processes.

Degree: 2017, Tulane University

URL: https://digitallibrary.tulane.edu/islandora/object/tulane:77021

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In this thesis, we tackle the statistical problem of demixing a multivariate stochastic process made up of independent, fractional process entries. We consider both Gaussian… (more)

Subjects/Keywords: fractional processes; wavelet transform

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^th Edition):

Li, H. (2017). Wavelet-based Estimation for Gaussian and Non-Gaussian Mixed Fractional Processes. (Thesis). Tulane University. Retrieved from https://digitallibrary.tulane.edu/islandora/object/tulane:77021

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^th Edition):

Li, Hui. “Wavelet-based Estimation for Gaussian and Non-Gaussian Mixed Fractional Processes.” 2017. Thesis, Tulane University. Accessed April 22, 2021. https://digitallibrary.tulane.edu/islandora/object/tulane:77021.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^th Edition):

Li, Hui. “Wavelet-based Estimation for Gaussian and Non-Gaussian Mixed Fractional Processes.” 2017. Web. 22 Apr 2021.

Vancouver:

Li H. Wavelet-based Estimation for Gaussian and Non-Gaussian Mixed Fractional Processes. [Internet] [Thesis]. Tulane University; 2017. [cited 2021 Apr 22]. Available from: https://digitallibrary.tulane.edu/islandora/object/tulane:77021.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Li H. Wavelet-based Estimation for Gaussian and Non-Gaussian Mixed Fractional Processes. [Thesis]. Tulane University; 2017. Available from: https://digitallibrary.tulane.edu/islandora/object/tulane:77021

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

University of Alberta

30. Kang, Jiayin. Financial Model Estimation And Portfolio Rebalancing.

Degree: MS, Department of Mathematical and Statistical Sciences, 2015, University of Alberta

URL: https://era.library.ualberta.ca/files/gm80hz041

► In this thesis we organize the contents in three parts. The first part is about portfolio rebalancing with changing benchmarks and the second part is… (more)

Subjects/Keywords: Portfolio Rebalancing, Fractional Brownian Motion

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^th Edition):

Kang, J. (2015). Financial Model Estimation And Portfolio Rebalancing. (Masters Thesis). University of Alberta. Retrieved from https://era.library.ualberta.ca/files/gm80hz041

Chicago Manual of Style (16^th Edition):

Kang, Jiayin. “Financial Model Estimation And Portfolio Rebalancing.” 2015. Masters Thesis, University of Alberta. Accessed April 22, 2021. https://era.library.ualberta.ca/files/gm80hz041.

MLA Handbook (7^th Edition):

Kang, Jiayin. “Financial Model Estimation And Portfolio Rebalancing.” 2015. Web. 22 Apr 2021.

Vancouver:

Kang J. Financial Model Estimation And Portfolio Rebalancing. [Internet] [Masters thesis]. University of Alberta; 2015. [cited 2021 Apr 22]. Available from: https://era.library.ualberta.ca/files/gm80hz041.

Council of Science Editors:

Kang J. Financial Model Estimation And Portfolio Rebalancing. [Masters Thesis]. University of Alberta; 2015. Available from: https://era.library.ualberta.ca/files/gm80hz041

Open Access Theses and Dissertations