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 length of bank-firm relationships: an empirical application to a major French bank

NIPE - WP 01/ 2016

Cortisol, family coping and burden in informal caregivers of addicts

This study focuses on the prospective mediation role of family coping between burden and cortisol levels in informal caregivers of addicts as well as on the feasible use of two different ways to analyse the salivary cortisol levels. Participants were 120 Portuguese informal caregivers of addicts. The cortisol samples were collected at awakening, 45 minutes later and after a 30 minute presentation of images taken from the International Affective Picture System. Family coping and caregiver burden were measured using the Portuguese versions of the Caregiver Reaction Assessment, and the Family Crisis Oriented Personal Evaluation Scale. Cortisol samples were collected in salivettes and the results were computed in order to determine the Area Under the Curve scores (AUCg, AUCi). Results found family coping to be negatively correlated with burden and AUCg levels (i.e. overall intensity) and positively correlated with either AUCg and AUCi (i.e. change over time). The mediation model revealed that family coping was a partial mediator in the relationship between the burden and AUCg levels. Therefore, Family Coping appears to be an essential variable in understanding the stress response and should be considered in further studies and interventions. In addition, the use of two different formulas for calculating cortisol levels provided important new information concerning the relationship between cortisol, burden and family coping. It seems that burden has a more profound effect on the overall intensity of the neuroendocrine response to caregiver stress and not so much on the sensitivity of the system.

A multi–physics approach applied to masonry structures with non–hydraulic lime mortars

Tese de Doutoramento em Engenharia Civil (área de especialização em Engenharia de Estruturas).