20 documents found, page 1 of 2
Smooth transition regression models: theory and applications in JMulti
Menezes, Rui; Ferreira, Nuno; Souza, Adriano Mendonça; Souza, F. M.This tutorial aims to analyze nonlinear models of Smooth Transition Regression with JMulTi and contribute to the understanding of STR specification, from the estimation until the evaluation cycle of these models. It provides pedagogical explanations, combining theoretical concepts and empirical results coherently. Especially in economic relationships, where an asymmetric behaviour with distinct effects is often...
Canine and feline cutaneous mast cell tumour: a comprehensive review of treatme...
Oliveira, Teresa; Campos, Marcos; Lamego, Luís; Magalhães, Diogo; Menezes, Rui; Oliveira, Ricardo; Patanita, Fernando; Ferreira, DavidMast cell tumour (MCT) or mastocytoma is one of the most frequent malignant cutaneous tumours in the dog and the second most frequent in the cat. In dogs, some factors, like age and breed, are known to be related to the occurrence of this tumour, while no gender tendency was identified. In cats, the Siamese has demonstrated differential predisposition to the disease. An increased MCT frequency is also suggested...
Is there volatility in tourism demand?
Mendes, Alexandra Sofia; Brochado, Ana; Menezes, RuiModelling tourism demand is essential when tourism policymakers plan tourism activities. The tourism industry is extremely susceptible to specific events’ effects, so good models must be found that reflect volatility. This study sought to review systematically the recent literature on this topic, specifically targeting models used to analyse tourism demand. The literature reveals some determinants of volatility...
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...
A Entropia como Medida de Informação na Modelação Económica
Dionísio, Andreia; Menezes, Rui; Mendes, DianaNeste artigo, é analisada a entropia como medida de informação e incerteza na modelação económica. Tal aplicação é justificada pelas limitações apresentadas pelos tradicionais modelos económico-financeiros, nomeadamente quanto à forma como é medida a incerteza, e pelas similaridades existentes entre a física, a teoria da informação e a teoria económico-financeira. A forma como a entropia é adoptada pela teoria ...
Informação Mútua: Uma Medida de Dependência Não-Linear
Dionísio, Andreia; Menezes, Rui; Mendes, DianaA questão que se coloca neste artigo é: “Será que é possível avaliar a dependência global (linear e não-linear) nas taxas de rendibilidade de índices bolsistas internacionais, sem necessidade de especificar à priori quaisquer modelos ou distribuição de probabilidade? Pretende-se mostrar que a informação mútua apresenta propriedades que a tornam uma medida de dependência interessante, residindo a sua principal v...
O Princípio da Entropia Máxima
Dionísio, Andreia; Menezes, Rui; Mendes, DianaMuitos métodos baseados na entropia de Shannon (1948) são cada vez mais utilizados em várias áreas cientíÞcas, nomeadamente na econometria, na economia e nas Þnanças. Na aplicação e desenvolvimento da entropia e suas variantes são de realçar as noções de incerteza, de informação e de "distância" ou "divergência" entre distribuições como principais tópicos no desenvolvimento estatístico, sendo de referenciar os ...
Entropic information theory applied to uncertainty in financial markets
Dionísio, Andreia; Menezes, Rui; Mendes, DianaOne of the most popular concepts used to measure the risk and the uncertainty is the variance and/or the standard-deviation. In this paper we explore the potentialities of the entropy as a measure of uncertainty in financial markets, and simultaneously verify if this measure take into account some basic assumptions of the portfolio management theory, namely the effect of diversification.
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...