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).

The role of European "ro-ro" port terminals in the automotive supply chain management

The aim of this paper is concerned with the design and development of a functional framework for maritime mode integration in European automotive supply chain management when considering outbound distribution. Furthermore, it provides a readjustment of traditional concepts and terminology with findings that the role of ro-ro port terminals should be considered as decoupling points, poles and postponement platforms. Case studies examine relevant Western European ro-ro port terminals for cars and respective links to assembly/factories of vehicles localized in the hinterland and concludes that ro-ro port terminals reduce logistical friction and impedance, as well as promote space/time compression.

Constructing good deals in discrete time arbitrage-free dynamic pricing models

Recent literature has proved that many classical pricing models (Black and Scholes, Heston, etc.) and risk measures (V aR, CV aR, etc.) may lead to “pathological meaningless situations”, since traders can build sequences of portfolios whose risk leveltends to −infinity and whose expected return tends to +infinity, i.e., (risk = −infinity, return = +infinity). Such a sequence of strategies may be called “good deal”. This paper focuses on the risk measures V aR and CV aR and analyzes this caveat in a discrete time complete pricing model. Under quite general conditions the explicit expression of a good deal is given, and its sensitivity with respect to some possible measurement errors is provided too. We point out that a critical property is the absence of short sales. In such a case we first construct a “shadow riskless asset” (SRA) without short sales and then the good deal is given by borrowing more and more money so as to invest in the SRA. It is also shown that the SRA is interested by itself, even if there are short selling restrictions.

A comparative study of alternative approaches for common factors identification

Preliminary version

Portugal making a difference with children and families: the GADIF model

Portugal is a culture grounded in strong traditions and family. Yet, social changes like women returning to the workforce and a decreas ed national birth rate are impacting the traditional family structure and care giving environments of children. Female employment has been increasing steadily in P ortugal over the last three decades (Galego & Pereira, 2006) and the total fert ility rate decreasing from 4.1 to 2.8 (INE, 2006). Furthermore, extended family me mbers, like grandparents, no longer reside close by to their children and grandc hildren as in the past, because of a changing labor market. Many of the younger gen eration are leaving their rural communities to flock to urban areas because o f job opportunities, leaving behind older relatives who would have otherwise par ticipated in the daily care of children. Given these social and economic changes, children are spending more time in out-of-home care with non-familial caregive rs. Yet, government regulations and guidelines in early care and educat ion (ECCE) and early intervention (EI) are only just emerging; it contin ues to be a work in progress.

Real-time rheology of actively growing bacteria

The population growth of a Staphylococcus aureus culture, an active colloidal system of spherical cells, was followed by rheological measurements, under steady-state and oscillatory shear flows. We observed a rich viscoelastic behavior as a consequence of the bacteria activity, namely, of their multiplication and density-dependent aggregation properties. In the early stages of growth (lag and exponential phases), the viscosity increases by about a factor of 20, presenting several drops and full recoveries. This allows us to evoke the existence of a percolation phenomenon. Remarkably, as the bacteria reach their late phase of development, in which the population stabilizes, the viscosity returns close to its initial value. Most probably, this is caused by a change in the bacteria physiological activity and in particular, by the decrease of their adhesion properties. The viscous and elastic moduli exhibit power-law behaviors compatible with the "soft glassy materials" model, whose exponents are dependent on the bacteria growth stage. DOI: 10.1103/PhysRevE.87.030701.

Mould and yeast identification in archival settings: preliminary results on the use of traditional methods and molecular biology options in Portuguese archives

This project was developed to fully assess the indoor air quality in archives and libraries from a fungal flora point of view. It uses classical methodologies such as traditional culture media – for the viable fungi – and modern molecular biology protocols, especially relevant to assess the non-viable fraction of the biological contaminants. Denaturing high-performance liquid chromatography (DHPLC) has emerged as an alternative to denaturing gradient gel electrophoresis (DGGE) and has already been applied to the study of a few bacterial communities. We propose the application of DHPLC to the study of fungal colonization on paper-based archive materials. This technology allows for the identification of each component of a mixture of fungi based on their genetic variation. In a highly complex mixture of microbial DNA this method can be used simply to study the population dynamics, and it also allows for sample fraction collection, which can, in many cases, be immediately sequenced, circumventing the need for cloning. Some examples of the methodological application are shown. Also applied is fragment length analysis for the study of mixed Candida samples. Both of these methods can later be applied in various fields, such as clinical and sand sample analysis. So far, the environmental analyses have been extremely useful to determine potentially pathogenic/toxinogenic fungi such as Stachybotrys sp., Aspergillus niger, Aspergillus fumigatus, and Fusarium sp. This work will hopefully lead to more accurate evaluation of environmental conditions for both human health and the preservation of documents.

Otimização do processo de projeto de uma ferramenta progressiva para a estampagem de componentes metálicos

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

Manutenção preditiva e pró-activa: filosofias alternativas ou complementares: estudo de caso

Trabalho Final de Mestrado para obtenção do grau de Mestre em Engenharia Mecânica Ramo Manutenção e Produção

Aplicação da teoria das restrições na gestão de projectos: caso em estudo

Trabalho Final de Mestrado para obtenção do grau de Mestre em Engenharia Mecânica - Manutenção e Produção

Reabilitação sustentável de edifício de habitação, em construção tradicional, no Baixo Alentejo

Dissertação de Final de Mestrado para obtenção do grau de Mestre em Engenharia Civil Especialização em Edificações

Embedded platform for ECG biometric recognition

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

Public relations in part-time : full-time service: estratégia de comunicação para o lançamento de um novo modelo de negócio ds relações públicas em Portugal

O presente trabalho visa propor uma estratégia para a construção e lançamento de um novo modelo de negócio para a atuação das Relações Públicas em Portugal, numa proposta direcionada para as micro e pequenas empresas. Entre o serviço in house e a consultadoria clássica existe um espaço não coberto em Portugal: um serviço in house partilhado. Apresenta-se aqui este projeto de serviço de Relações Públicas para aqueles para quem é incomportável assumir nos seus quadros um Técnico de Comunicação.

A aprendizagem da leitura e da escrita partindo de texto

Projeto de Intervenção apresentado à Escola Superior de Educação de Lisboa para a obtenção de grau de Mestre em Didática da Língua Portuguesa no 1º e 2º CEB

A SON Enhanced Algorithm for Observed Time Differences Based Geolocation in Real 3G Networks

Conferência - 16th International Symposium on Wireless Personal Multimedia Communications (WPMC)- Jun 24-27, 2013