By Paulo P. Freitas, Hugo A. Ferreira, Filipe Cardoso, Susana Cardoso, Ricardo Ferreira (auth.), Manuel Seabra Pereira (eds.)

The Technical collage of Lisbon (UTL) is celebrating this 12 months its seventy fifth anniversary. Being a jubilee get together, a whole application of occasions happened, together with a two-day Symposium at the study at UTL. This Symposium addressed the state-of-art in significant components of excellence at UTL. technology, expertise and innovation and how universities and society typically, create, use and disseminate wisdom have won a becoming signi?cance during the last many years. UTL without doubt embeds a suitable capability of excellence in numerous parts of study in uncomplicated and technologies, which bears its improvement at the foundation of a “research college” version. This ebook comprises the edited model of the invited lectures that have been added via popular researchers at UTL. This booklet brings jointly in a overview demeanour a complete precis of top of the range examine contri- tions throughout easy and technologies. The contributing papers are prepared round the following significant parts: – Emergent components (Nanosciences, Quantic Computations and Infor- tion, danger and Volatility in monetary Markets); – simple Sciences (Mathematics, Physics, Chemistry and Materials); – Social Sciences, Economics and administration Sciences; – lifestyles Sciences and Biotechnology; – Engineering and applied sciences – Nature, atmosphere and Sustainability; – Public overall healthiness, foodstuff caliber and defense; – overall healthiness and activity Sciences; – Urbanism, Transports, structure, Arts and layout. The transdisciplinary nature of so much components goals to emphasize a compelling feel of objective within the paintings developed.

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General properties (stylized facts) are well known for daily returns observed over a few years of prices. The most significant are: x The (unconditional) distribution of rt is leptokurtic and in some cases (for stock prices and indices) asymmetric; x The correlation between returns is absent or very weak; x The correlations between the magnitudes of returns on nearby days are positive and statistically significant. These features can be explained by changes through time in volatility. Volatility clustering is a typical phenomenon in financial time series.

The results of Dickey-Fuller tests are compatible with a zero drift function for X , as specified in model (18). 3. Nonparametric estimates of a x and b 2 x do not reject specification (18). 36 J. Nicolau 4. Parametric estimation of model (18) outperforms common onefactor models in terms of accuracy and parsimony. The estimation of SDE (18) is difficult since the transition (or conditional) densities of X required to construct the exact likelihood function are unknown. Several estimation approaches have been proposed under these circumstances (see Nicolau [20] for a brief survey).

Table 5 indicates that the proposed model outperforms the others in terms of accuracy and parsimony. Table 1. 1 3 A second order stochastic differential equation In economics and finance many stochastic processes can be seen as integrated stochastic processes in the sense that the current observation behaves as the cumulation of all past perturbations. In a discrete-time framework the concept of integration and differentiation of a stochastic Financial Econometric Models 37 process plays an essential role in modern econometrics analysis.

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A Portrait of State-of-the-Art Research at the Technical by Paulo P. Freitas, Hugo A. Ferreira, Filipe Cardoso, Susana
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