Specification and testing of multiplicative time-varying GARCH models with applications

In this article, we develop a specification technique for building multiplicative time-varying GARCH models of Amado and Teräsvirta (2008, 2013). The variance is decomposed into an unconditional and a conditional component such that the unconditional variance component is allowed to evolve smoothly over time. This nonstationary component is defined as a linear combination of logistic transition functions with time as the transition variable. The appropriate number of transition functions is determined by a sequence of specification tests. For that purpose, a coherent modelling strategy based on statistical inference is presented. It is heavily dependent on Lagrange multiplier type misspecification tests. The tests are easily implemented as they are entirely based on auxiliary regressions. Finite-sample properties of the strategy and tests are examined by simulation. The modelling strategy is illustrated in practice with two real examples: an empirical application to daily exchange rate returns and another one to daily coffee futures returns.

On the impact of overlapping access points in detecting node encounters

Data traces, consisting of logs about the use of mobile and wireless networks, have been used to study the statistics of encounters between mobile nodes, in an attempt to predict the performance of opportunistic networks. Understanding the role and potential of mobile devices as relaying nodes in message dissemination and delivery depends on the knowledge about patterns and number of encounters among nodes. Data traces about the use of WiFi networks are widely available and can be used to extract large datasets of encounters between nodes. However, these logs only capture indirect encounters between nodes, and the resulting encounters datasets might not realistically represent the spatial and temporal behaviour of nodes. This paper addresses the impact of overlapping between the coverage areas of different Access Points of WiFi networks in extracting encounters datasets from the usage logs. Simulation and real-world experimental results show that indirect encounter traces extracted directly from these logs strongly underestimate the opportunities for direct node-to- node message exchange in opportunistic networks.

Conversão sistemática do comportamento definido nos blocos funcionais da norma IEC 61 131-3 para autómatos finitos temporizados

Dissertação de mestrado integrado em Engenharia Mecânica

Algorithms and computational tools for metabolic flux analysis

PhD thesis in Biomedical Engineering

Incorporation of hybrid phase change materials in plastering mortars for increased energy efficiency in buildings

Tese de Doutoramento em Engenharia Civil.