Valuing American options is a central problem in option pricing since the early-exercise feature is very common among financial or insurance derivatives products. For high-dimensional American options, Monte Carlo simulation is generally regarded as the only viable approach to price them, and...

Incluye bibliografía ; In this paper I consider a model for the heterogeneity and dynamics of the conditional mean and the conditional variance of standarized individual wages. In particular, I propose a dynamic panel data model with individual effects both in the mean and in a conditional ARCH...

En este trabajo se estudia la estimación de modelos no lineales de datos de panel que incluyen efectos fijos múltiples. La estimación de estos modelos es complicada tanto por la dificultad de estimar especificaciones con miles de coeficientes, como por el problema de los parámetros...

Under the normal conditions of construction contracts, the client is obliged to pay the contractor in monthly instalments. The amount of each instalment is based on the value of construction work actually produced in the previous month and forecasts are needed in advance of the likely value of...

Studies of the value relevance of accounting number in capital market research are consistent with the simple view that, in equilibrium, book values are equal to or have some long-term relationship with market values, and that market returns are related to book returns. This dissertation...

Desde meados da década de 70, os mercados brasileiros de açúcar e álcool têm passado por importantes transformações que conduziram o país de volta à posição de líder mundial na produção de cana-de-açúcar. O objetivo deste trabalho é avaliar o papel de choques de oferta (área e...

No Estado do Rio Grande do Norte, o agronegócio é uma atividade que está crescendo cada vez mais devido ao setor fruticultura irrigada, destacando-se a produção de melão, que é um dos principais produtos agrícolas da economia norte-riograndense. Neste sentido, o objetivo do presente...

The objective of this thesis is to estimate the natural gas component of the All Urban Consumer Price Index (CP-U) using time series forecasting models. Being able to accurately predict future CPI-U values is important because it allows portfolio managers and financial institutions to properly...

Hochdimensionale Regressionsprobleme, die sich dynamisch entwickeln, sind in zahlreichen Bereichen der Wissenschaft anzutreffen. Die Dynamik eines solchen komplexen Systems wird typischerweise mittels der Zeitreiheneigenschaften einer geringen Anzahl von Faktoren analysiert. Diese Faktoren...

This study utilizes common time series forecasting methods to determine which of several simple, popular time series forecasting techniques was the best predictor of the decline in United States weekly RevPAR as the lodging industry entered its severe downturn in 2009. This study identifies the...