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.

Sistema de posicionamento baseado em redes de sensores sem fios

Dissertação de mestrado integrado em Engenharia Eletrónica Industrial e Computadores

Mother’s anxiety and depression and associated risk factors during early pregnancy: effects on fetal growth and activity at 20–22 weeks of gestation

To examine effects of mother's anxiety and depression and associated risk factors during early pregnancy on fetal growth and activity. Repeated measures of mother's anxiety (State-Anxiety Inventory (STAI-S)) and depression (Edinburgh Postnatal Depression Scale (EPDS)) and related socio demographics and substance consumption were obtained at the 1st and 2nd pregnancy trimesters, and fetus' (N = 147) biometric data and behavior was recorded during ultrasound examination at 20-22 weeks of gestation. Higher anxiety symptoms were associated to both lower fetal growth and higher fetal activity. While lower education, primiparity, adolescent motherhood, and tobacco consumption predicted lower fetal growth, coffee intake predicted lower fetal activity. Vulnerability of fetal development to mother's psychological symptoms as well as to other sociodemographic and substance consumption risk factors during early and mid pregnancy is suggested.