Structural Time Series Models
Mostrando 1-12 de 18 artigos, teses e dissertações.
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1. Using Common Features to Understand the Behavior of Metal-Commodity Prices and Forecast them at Different Horizons
The objective of this article is to study (understand and forecast) spot metal price levels and changes at monthly, quarterly, and annual horizons. The data to be used consists of metal-commodity prices in a monthly frequency from 1957 to 2012 from the International Financial Statistics of the IMF on individual metal series. We will also employ the (relative
Escola de Pós-Graduação em Economia da FGV. Publicado em: 03/01/2013
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2. A Methodology to forecast air transportation demand with alternative econometric models
This thesis presents a methodology using a portfolio of time-series models, from conventional ARMA to a regime-changing framework. The objective is to develop an air transportation demand modeling to inspect potential structural breaks in the Brazilian market, due to solve underlying issues of new demand creation. Out-of-sample forecasting is used to generat
IBICT - Instituto Brasileiro de Informação em Ciência e Tecnologia. Publicado em: 30/05/2012
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3. ESTIMATION OF PETROLEUM FUTURE CONTRACTS USING THE KALMAN FILTER METHOD / ESTIMATIVA DE PREÇOS DE CONTRATOS FUTUROS SOBRE PETRÓLEO UTILIZANDO O MÉTODO DO FILTRO DE KALMAN
The Future Market is becoming increasingly important in the global scenario of Corporate Finance. The main interest in this segment of finance is the need of being protected against the volatility of financial markets. Accordingly, one of the most traded commodity is oil. Because of difficulty in determine the value of future contracts on oil barrel, many mo
Publicado em: 2009
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4. Previsão da arrecadação de receitas federais: aplicações de modelos de séries temporais para o estado de São Paulo / Federal revenue collection forecast: application of time series models at the state of Sao Paulo
O objetivo principal do presente trabalho é oferecer métodos alternativos de previsão da arrecadação tributária federal, baseados em metodologias de séries temporais, inclusive com a utilização de variáveis explicativas, que reflitam a influência do cenário macroeconômico na arrecadação tributária, com o intuito de melhorar a acurácia da pre
Publicado em: 2009
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5. Structural damage detection using time series analysis and piezoelectries actuators and sensors / Detecção de danos estruturais usando analise de series temporais e atuadores e sensores piezeletricos
This work proposes a novel approach to detect and locate incipient damage in structures by using only acceleration responses and coupled piezoelectric actuators and sensors. Though the major focus in smart damage detection is given by on the monitoring of the electrical impedance in the frequency domain, the current contribution applies a novel technique bas
Publicado em: 2008
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6. Methodology of structural analysis and post-processing from offshore system simulations. / Metodologia de análise estrutural e pós-processamento a partir de simulações do comportamento de sistemas oceânicos.
This work presents a methodology developed to treat the hydrodynamic analysis of an offshore system conjointly with its structural analysis; the same methodology also allows for combined post-processing of data. Programming routines were created so as to enable the use of the time series of the forces present at the risers and mooring lines as input data for
Publicado em: 2007
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7. Assets Pricing in the Brazilian Stock market: CAPM and variants application. / PrecificaÃÃo de ativos com risco no mercado acionÃrio brasileiro: aplicaÃÃo do modelo CAPM e variantes.
The assets pricing models assist in the correct evaluation of the investments, as well as, to comprehend the relationship between the assets expected return and its risk. The Capital Asset Pricing Model (CAPM) and the Downside Capital Asset Pricing Model (D-CAPM), in their conditional and static versions, were tested in this study with time and cross-section
Publicado em: 2007
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8. Dominância fiscal ou dominância monetária no Brasil?: uma análise de causalidade
Brazils inflation targeting regime, which requires a floating exchange rate regime, coupled with high primary fiscal surpluses, helped absorb the external and domestic shocks that hit the economy in post-Real Plan period, maintaining inflation under control. However, a number of authors, such as Blanchard, Tanner e Ramos, and others advocate the predominance
Publicado em: 2006
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9. Modelagem paramétrica de pórticos rolantes: estabilidade estrutural e otimização. / Gantry cranes parametric modeling: structural stability and optimization.
The objective of this work is to develop a tool to generate an automatic structural design of gantry cranes. With an automatic generation of finite element models and also a design report, this routine allows a fast verification against yield of material and structural instability. The use of the finite element method was chosen for the structural design bec
Publicado em: 2005
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10. LOCAL SCALE MODEL: AN MULTIPLICATIVE ALTERNATIVE SPECIFICATION TO VOLATILITY ESTIMATION AND FORECASTING FOR FINANCIAL RETIVEN SERIES / MODELO DE ESCALA LOCAL: UMA ALTERNATIVA DE ESPECIFICAÇÃO MULTIPLICATIVA PARA ESTIMAÇÃO E PREVISÃO DE VOLATILIDADE DE SÉRIES FINANCEIRAS
Este trabalho apresenta um modelo de volatilidade estocástica com especificação multiplicativa, chamado modelo de escala local. O modelo trabalha com a precisão (recíproca da variância) de uma série temporal. A precisão é tratada como componente não observável, caracterizando o modelo como estrutural, e é suposta evoluir segundo um filtro Gama, c
Publicado em: 1998
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11. SOME IMPROVEMENTS ON THE LM TEST APPLIED TO STRUCTURAL TIME SERIE MODELS / APERFEIÇOAMENTO DO TESTE MULTIPLICADOR DE LAGRANGE APLICADO A MODELOS ESTRUTURAIS DE SÉRIES TEMPORAIS
O presente trabalho trata da melhoria da estatística-teste Multiplicador de Lagrange com distribuição qui-quadrado até ordem n (-1) , baseando-se na expansão de Harris (1985) e na melhoria obtida para os testes Escore, fornecida por Cordeiro e Ferrari (1991 e 1994), Apresentamos uma abordagem totalmente ambientada aos modelos estruturais de séries te
Publicado em: 1996
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12. STATE SPACE MODELS: MULTIVARIATE FORMULATION APPLIED TO LOAD FORECASTING / MODELOS EM ESPAÇO DE ESTADO: FORMULAÇÃO MULTIVARIADA APLICADA À PREVISÃO DE CARGA ELÉTRICA
The analysis of time series is, nowadays one of the most important tools in the decision making process, due mainly to the globalization of the world. As an illustration of that we can mention the recent contract signed between NEC/PUC-Rio and CEPEL/Eletrobrás, where time series techniques are to be used in the planning process of the brazilian sector. The
Publicado em: 1996