Encontrados 19 documentos, a visualizar página 1 de 2
Self-similarity principle: the reduced description of randomness
Nigmatullin, Raoul R.; Machado, J. A. Tenreiro; Menezes, RuiA new general fitting method based on the Self-Similar (SS) organization of random sequences is presented. The proposed analytical function helps to fit the response of many complex systems when their recorded data form a self-similar curve. The verified SS principle opens new possibilities for the fitting of economical, meteorological and other complex data when the mathematical model is absent but the reduced...
On the globalization of stock markets: An application of Vector Error Correctio...
Menezes, Rui; Dionisio, Andreia; Hossein, HassaniThis paper analyzes stock market relationships among the G7 countries between 1973 and 2009 using three different approaches: (i) a linear approach based on cointegration, Vector Error Correction (VECM) and Granger Causality; (ii) a nonlinear approach based on Mutual Information and the Global Correlation Coefficient; and (iii) a nonlinear approach based on Singular Spectrum Analysis (SSA). While the cointegrat...
Avaliação do processo de ensino: uma abordagem multivariada
Marchesan,Teresinha Maria; Souza,Adriano Mendonça; Menezes,RuiA prática da qualidade na gestão universitária se faz com o comprometimento de toda comunidade escolar. Assim, por meio da análise multivariada, o presente trabalho objetivou identificar os pontos fortes e fracos do processo de ensino na opinião do discente. Para este estudo, foram considerados questionários que abrangeram as seguintes categorias de variáveis: autoavaliação do aluno e avaliação do docente e de ...
Globalization and long-run co-movements in the stock market for the G7: An appl...
Menezes, Rui; Dionísio, AndreiaThis paper analyzes the process of long-run co-movements and stock market globalization on the basis of cointegration tests and vector error correction (VEC) models. The cointegration tests used here allow for structural breaks to be explicitly modeled and breakpoints to be computed on a relative-time basis. The data used in our empirical analysis were drawn from Datastream and comprise the natural logarithms o...
Space of memory and representation : Bouça da Cova da Moura (Ardegães, Maia, No...
Ribeiro, André Tomé; Alves, Lara Bacelar; Bettencourt, Ana M. S.; Menezes, Rui TelesBouça da Cova da Moura is the local place-name attributed to a stretch of a plateau overlooking the Leça valley. Here, Neolithic burial mounds share their landscape setting with scatters of archaeological materials that include Bell Beaker fragments, idols and metalwork. Since these are mostly surface findings, their contexts have not yet been accurately determined. Another significant feature is the presence o...
NONLINEAR DYNAMICS WITHIN MACROECONOMIC FACTORS AND STOCK MARKET IN PORTUGAL, 1...
Dionísio, Andreia; Menezes, Rui; Mendes, Diana; Vidigal da Silva, JacintoThe main objective of this paper is to assess how mutual information as a measure of global dependence between stock markets and macroeconomic factors can overcome some of the weaknesses of the traditional linear approaches commonly used in this context. One of the advantages of mutual information is that it does not require any prior assumption regarding the specification of a theoretical probability distribut...
IS PRICE TRANSMISSION SYMMETRIC OVER TRANSNATIONALVALUE CHAINS FOR CODFISH PROD...
Menezes, Rui; Dionísio, AndreiaThis paper uses a threshold adjustment methodology to find out whether price transmission over the cod value chain between Norway and Portugal is asymmetric. The basic setting relies on price theory and the relationship between prices in the fish market. Empirical tests of price transmission use a cointegration framework similar to many other non-stationary time series analyses. However, it appears that testing...
On the integrated behaviour of non-stationary volatility in stock markets
Dionísio, Andreia; Menezes, Rui; Mendes, DianaThis paper analyses the behaviour of volatility for several international stock market indexes, namely the SP 500 (USA), the Nikkei (Japan), the PSI 20 (Portugal), the CAC 40 (France), the DAX 30 (Germany), the FTSE 100 (UK), the IBEX 35 (Spain) and the MIB 30 (Italy), in the context of non-stationarity. Our empirical results point to the evidence of the existence of integrated behaviour among several of those ...
An econophysics approach to analyse uncertainty in financial markets: an applic...
Dionísio, Andreia; Menezes, Rui; Mendes, DianaIn recent years there has been a closer interrelationship between several scientific areas trying to obtain a more realistic and rich explanation of the natural and social phenomena. Among these it should be emphasized the increasing interrelationship between physics and financial theory. In this field the analysis of uncertainty, which is crucial in financial analysis, can be made using measures of physics sta...
Entropy-Based Independence Test
Dionísio, Andreia; Menezes, Rui; Mendes, DianaThis paper presents a new test of independence (linear and non-linear) among distributions based on the entropy of Shannon. The main advantages of the presented approach are the fact that this measure does not need to assume any type of theoretical probability distribution and has the ability to capture the linear and non-linear dependencies, without requiring the specification of any kind of dependence model.
| Financiadores do RCAAP | |||||||
|
|
|
|
|
|
||