Extreme Value Theory versus traditional GARCH approaches applied to financial data: a comparative evaluation

Although stock prices fluctuate, the variations are relatively small and are frequently assumed to be normal distributed on a large time scale. But sometimes these fluctuations can become determinant, especially when unforeseen large drops in asset prices are observed that could result in huge losses or even in market crashes. The evidence shows that these events happen far more often than would be expected under the generalized assumption of normal distributed financial returns. Thus it is crucial to properly model the distribution tails so as to be able to predict the frequency and magnitude of extreme stock price returns. In this paper we follow the approach suggested by McNeil and Frey (2000) and combine the GARCH-type models with the Extreme Value Theory (EVT) to estimate the tails of three financial index returns DJI,FTSE 100 and NIKKEI 225 representing three important financial areas in the world. Our results indicate that EVT-based conditional quantile estimates are much more accurate than those from conventional AR-GARCH models assuming normal or Student’s t-distribution innovations when doing out-of-sample estimation (within the insample estimation, this is so for the right tail of the distribution of returns).

A Voltage Limiter Circuit for Indoor Light Energy Harvesting Applications

A voltage limiter circuit for indoor light energy harvesting applications is presented. This circuit is a part of a bigger system, whose function is to harvest indoor light energy, process it and store it, so that it can be used at a later time. This processing consists on maximum power point tracking (MPPT) and stepping-up, of the voltage from the photovoltaic (PV) harvester cell. The circuit here described, ensures that even under strong illumination, the generated voltage will not exceed the limit allowed by the technology, avoiding the degradation, or destruction, of the integrated die. A prototype of the limiter circuit was designed in a 130 nm CMOS technology. The layout of the circuit has a total area of 23414 mu m(2). Simulation results, using Spectre, are presented.

Avaliação da tonopaquimetria como exame de rastreio de glaucoma primário de ângulo aberto

Mestrado em Gestão e Avaliação de Tecnologias em Saúde

Avaliação do impacto da contratação pública eletrónica na eficiência do processo de compras do Hospital Distrital de Santarém

Mestrado em Intervenção Sócio-Organizacional na Saúde. Área de especialização: Políticas de Administração e Gestão de Serviços de Saúde.

Modelo de data mining para detecção de tumores em exames de rastreio

Dissertação para obtenção do grau de Mestre em Engenharia Informática

A biosignal embedded system for physiological computing

Thesis submitted in the fulfilment of the requirements for the Degree of Master in Electronic and Telecomunications Engineering

Fungal contamination in two Portuguese wastewater treatment plants

The presence of filamentous fungi was detected in wastewater and air collected at wastewater treatment plants (WWTP) from several European countries. The aim of the present study was to assess fungal contamination in two WWTP operating in Lisbon. In addition, particulate matter (PM) contamination data was analyzed. To apply conventional methods, air samples from the two plants were collected through impaction using an air sampler with a velocity air rate of 140 L/min. Surfaces samples were collected by swabbing the surfaces of the same indoor sites. All collected samples were incubated at 27°C for 5 to 7 d. After lab processing and incubation of collected samples, quantitative and qualitative results were obtained with identification of the isolated fungal species. For molecular methods, air samples of 250 L were also collected using the impinger method at 300 L/min airflow rate. Samples were collected into 10 ml sterile phosphate-buffered saline with 0.05% Triton X-100, and the collection liquid was subsequently used for DNA extraction. Molecular identification of Aspergillus fumigatus and Stachybotrys chartarum was achieved by real-time polymerase chain reaction (RT-PCR) using the Rotor-Gene 6000 qPCR Detection System (Corbett). Assessment of PM was also conducted with portable direct-reading equipment (Lighthouse, model 3016 IAQ). Particles concentration measurement was performed at five different sizes: PM0.5, PM1, PM2.5, PM5, and PM10. Sixteen different fungal species were detected in indoor air in a total of 5400 isolates in both plants. Penicillium sp. was the most frequently isolated fungal genus (58.9%), followed by Aspergillus sp. (21.2%) and Acremonium sp. (8.2%), in the total underground area. In a partially underground plant, Penicillium sp. (39.5%) was also the most frequently isolated, also followed by Aspergillus sp. (38.7%) and Acremonium sp. (9.7%). Using RT-PCR, only A. fumigatus was detected in air samples collected, and only from partial underground plant. Stachybotrys chartarum was not detected in any of the samples analyzed. The distribution of particle sizes showed the same tendency in both plants; however, the partially underground plant presented higher levels of contamination, except for PM2.5. Fungal contamination assessment is crucial to evaluating the potential health risks to exposed workers in these settings. In order to achieve an evaluation of potential health risks to exposed workers, it is essential to combine conventional and molecular methods for fungal detection. Protective measures to minimize worker exposure to fungi need to be adopted since wastewater is the predominant internal fungal source in this setting.

Demixing instability in coil-rod blends undergoing polycondensation reactions

The authors extend their earlier work on the stability of a reacting binary polymer blend with respect to demixing [D. J. Read, Macromolecules 31, 899 (1998); P. I. C. Teixeira , Macromolecules 33, 387 (2000)] to the case where one of the polymers is rod-like and may order nematically. As before, the authors combine the random phase approximation for the free energy with a Markov chain model for the chemistry to obtain the spinodal as a function of the relevant degrees of reaction. These are then calculated by assuming a simple second-order chemical kinetics. Results are presented, for linear systems, which illustrate the effects of varying the proportion of coils and rods, their relative sizes, and the strength of the nematic interaction between the rods. (c) 2007 American Institute of Physics.

Contributos para a compreensão das dimensões e características do Capital Intelectual valorizadas por uma Empresa líder no Sector dos Seguros em Portugal

Mestrado em Gestão e Empreendedorismo

Sistema WDM de 4 canais

Trabalho Final de Mestrado para obtenção do grau de Mestre em Engenharia de Electrónica e Telecomunicações

Análise por ultra-sons no controlo de condição

Trabalho Final de Mestrado para obtenção do grau de Mestre em Engenharia Mecânica

Integração de reacção e deliberação em agentes inteligentes

Trabalho Final de Mestrado para obtenção do grau de Mestre em Engenharia de Redes de Comunicação e Multimédia

Liderança transformacional/transacional: que impacto no cinismo organizacional?

Dissertação apresentada à Escola Superior de Comunicação Social como parte dos requisitos para obtenção de grau de mestre em Gestão Estratégica das Relações Públicas.

Detection and diagnosis solutions for fault-tolerant VSI

This paper presents solutions for fault detection and diagnosis of two-level, three phase voltage-source inverter (VSI) topologies with IGBT devices. The proposed solutions combine redundant standby VSI structures and contactors (or relays) to improve the fault-tolerant capabilities of power electronics in applications with safety requirements. The suitable combination of these elements gives the inverter the ability to maintain energy processing in the occurrence of several failure modes, including short-circuit in IGBT devices, thus extending its reliability and availability. A survey of previously developed fault-tolerant VSI structures and several aspects of failure modes, detection and isolation mechanisms within VSI is first discussed. Hardware solutions for the protection of power semiconductors with fault detection and diagnosis mechanisms are then proposed to provide conditions to isolate and replace damaged power devices (or branches) in real time. Experimental results from a prototype are included to validate the proposed solutions.

Optical nonlinearity in Tandem SI-C photodetectors

The behavior of tandem pin heterojunctions based on a-SiC: H alloys is investigated under different optical and electrical bias conditions. The devices are optimized to act as optically selective wavelength filters. Depending on the device configuration (optical gaps, thickness, sequence of cells in the stack structure) and on the applied voltage (positive or negative) and optical bias (wavelength, intensity, frequency) it is possible to combine the wavelength discrimination function with the self amplification of the signal. This wavelength nonlinearity allows the amplification or the rejection of a weak signal-impulse. The device works as an active tunable optical filter for wavelength selection and can be used as an add/drop multiplexer (ADM) which enables data to enter and leave an optical network bit stream without having to demultiplex the stream. Results show that, even under weak transient input signals, the background wavelength controls the output signal. This nonlinearity, due to the transient asymmetrical light penetration of the input channels across the device together with the modification on the electrical field profile due to the optical bias, allows tuning an input channel without demultiplexing the stream. This high optical nonlinearity makes the optimized devices attractive for the amplification of all optical signals. Transfer characteristics effects due to changes in steady state light, control d.c. voltage and applied light pulses are presented. Based on the experimental results and device configuration an optoelectronic model is developed. The transfer characteristics effects due to changes in steady state light, dc control voltage or applied light pulses are simulated and compared with the experimental data. A good agreement was achieved.