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).

Palaeomagnetic study of a subaerial volcanic ridge (Sao Jorge Island, Azores) for the past 1.3 Myr: evidence for the Cobb Mountain Subchron, volcano flank instability and tectonomagmatic implications

We present a palaeomagnetic study on 38 lava flows and 20 dykes encompassing the past 1.3 Myr on S. Jorge Island (Azores ArchipelagoNorth Atlantic Ocean). The sections sampled in the southeastern and central/western parts of the island record reversed and normal polarities, respectively. They indicate a mean palaeomagnetic pole (81.3 degrees N, 160.7 degrees E, K= 33 and A95= 3.4 degrees) with a latitude shallower than that expected from Geocentric Axial Dipole assumption, suggesting an effect of non-dipolar components of the Earth magnetic field. Virtual Geomagnetic Poles of eight flows and two dykes closely follow the contemporaneous records of the Cobb Mountain Subchron (ODP/DSDP programs) and constrain the age transition from reversed to normal polarity at ca. 1.207 +/- 0.017 Ma. Volcano flank instabilities, probably related to dyke emplacement along an NNWSSE direction, led to southwestward tilting of the lava pile towards the sea. Two spatially and temporally distinct dyke systems have been recognized on the island. The eastern is dominated by NNWSSE trending dykes emplaced before the end of the Matuyama Chron, whereas in the central/western parts the eruptive fissures oriented WNWESE controlled the westward growth of the S. Jorge Island during the Brunhes Chron. Both directions are consistent with the present-day regional stress conditions deduced from plate kinematics and tectonomorphology and suggest the emplacement of dykes along pre-existing fractures. The distinct timing and location of each dyke system likely results from a slight shift of the magmatic source.

Palaeomagnetic study of a subaerial volcanic ridge (São Jorge Island, Azores) for the cobb mountain subhron, volcano flank instability and tectonomagmatic implications

We present a palaeomagnetic study on 38 lava flows and 20 dykes encompassing the past 1.3 Myr on S. Jorge Island (Azores ArchipelagoNorth Atlantic Ocean). The sections sampled in the southeastern and central/western parts of the island record reversed and normal polarities, respectively. They indicate a mean palaeomagnetic pole (81.3 degrees N, 160.7 degrees E, K= 33 and A95= 3.4 degrees) with a latitude shallower than that expected from Geocentric Axial Dipole assumption, suggesting an effect of non-dipolar components of the Earth magnetic field. Virtual Geomagnetic Poles of eight flows and two dykes closely follow the contemporaneous records of the Cobb Mountain Subchron (ODP/DSDP programs) and constrain the age transition from reversed to normal polarity at ca. 1.207 +/- 0.017 Ma. Volcano flank instabilities, probably related to dyke emplacement along an NNWSSE direction, led to southwestward tilting of the lava pile towards the sea. Two spatially and temporally distinct dyke systems have been recognized on the island. The eastern is dominated by NNWSSE trending dykes emplaced before the end of the Matuyama Chron, whereas in the central/western parts the eruptive fissures oriented WNWESE controlled the westward growth of the S. Jorge Island during the Brunhes Chron. Both directions are consistent with the present-day regional stress conditions deduced from plate kinematics and tectonomorphology and suggest the emplacement of dykes along pre-existing fractures. The distinct timing and location of each dyke system likely results from a slight shift of the magmatic source.

Study of the production of polyesters for polyurethanes at pilot plant scale

Dissertação para obtenção do grau de Mestre em Engenharia Química

Control of predators in industrial scale microalgae cultures with Pulsed Electric Fields.

This work describes the utilization of Pulsed Electric Fields to control the protozoan contamination of a microalgae culture, in an industrial 2.7m3 microalgae photobioreactor. The contaminated culture was treated with Pulsed Electric Fields, PEF, for 6h with an average of 900V/cm, 65μs pulses of 50Hz. Working with recirculation, all the culture was uniformly exposed to the PEF throughout the assay. The development of the microalgae and protozoan populations was followed and the results showed that PEF is effective on the selective elimination of protozoa from microalgae cultures, inflicting on the protozoa growth halt, death or cell rupture, without affecting microalgae productivity. Specifically, the results show a reduction of the active protozoan population of 87% after 6h treatment and 100% after few days of normal cultivation regime. At the same time, microalgae growth rate remained unaffected. © 2014 Elsevier B.V.