The problem of estimating the volatility of zero coupon bond interest rate

Financial literature and financial industry use often zero coupon yield curves as input for testing hypotheses, pricing assets or managing risk. They assume this provided data as accurate. We analyse implications of the methodology and of the sample selection criteria used to estimate the zero coupon bond yield term structure on the resulting volatility of spot rates with different maturities. We obtain the volatility term structure using historical volatilities and Egarch volatilities. As input for these volatilities we consider our own spot rates estimation from GovPX bond data and three popular interest rates data sets: from the Federal Reserve Board, from the US Department of the Treasury (H15), and from Bloomberg. We find strong evidence that the resulting zero coupon bond yield volatility estimates as well as the correlation coefficients among spot and forward rates depend significantly on the data set. We observe relevant differences in economic terms when volatilities are used to price derivatives.

Predictors of infant positive, negative and self-direct coping during face to face still-face in a Portuguese preterm sample

Past studies found three types of infant coping behaviour during Face-to-Face Still-Face paradigm (FFSF): a Positive Other-Directed Coping; a Negative Other-Directed Coping and a Self-Directed Coping. In the present study, we investigated whether those types of coping styles are predicted by: infants’ physiological responses; maternal representations of their infant’s temperament; maternal interactive behaviour in free play; and infant birth and medical status. The sample consisted of 46, healthy, prematurely born infants and their mothers. At one month, infant heart rate was collected in basal. At three months old (corrected age), infant heart-rate was registered during FFSF episodes. Mothers described their infants’ temperament using a validated Portuguese temperament scale, at infants three months of corrected age. As well, maternal interactive behaviour was evaluated during a free play situation using CARE-Index. Our findings indicate that positive coping behaviours were correlated with gestational birth weight, heart rate (HR), gestational age, and maternal sensitivity in free play. Gestational age and maternal sensitivity predicted Positive Other-Direct Coping behaviours. Moreover, Positive Other-Direct coping was negatively correlated with HR during Still-Face Episode. Self-directed behaviours were correlated with HR during Still-Face Episode and Recover Episode and with maternal controlling/intrusive behaviour. However, only maternal behaviour predicted Self-direct coping. Early social responses seem to be affected by infants’ birth status and by maternal interactive behaviour. Therefore, internal and external factors together contribute to infant ability to cope and to re-engage after stressful social events.

Shear-induced lamellar ionic liquid-crystal foam

n a recent paper we reported an experimental study of two N-alkylimidazolium salts. These ionic compounds exhibit liquid crystalline behaviour with melting points above 50 degrees C in bulk. However, if they are sheared, a (possibly non-equilibrium) lamellar phase forms at room temperature. Upon shearing a thin film of the material between microscope slides, textures were observed that are strikingly similar to liquid (wet) foams. The images obtained from polarising optical microscopy (POM) were found to share many of the known quantitative properties of a two-dimensional foam coarsening process. Here we report an experimental study of this foam using a shearing system coupled with POM. The structure and evolution of the foam are investigated through the image analysis of time sequences of micrographs obtained for well-controlled sets of physical parameters (sample thickness, shear rate and temperature). In particular, we find that there is a threshold shear rate below which no foam can form. Above this threshold, a steady-state foam pattern is obtained where the mean cell area generally decreases with increasing shear rate. Furthermore, the steady-state internal cell angles and distribution of the cell number of sides deviate from their equilibrium (i.e. zero-shear) values.

Interest rate exposure of Spanish banks: A nonparametric analysis

Interest rate risk is one of the major financial risks faced by banks due to the very nature of the banking business. The most common approach in the literature has been to estimate the impact of interest rate risk on banks using a simple linear regression model. However, the relationship between interest rate changes and bank stock returns does not need to be exclusively linear. This article provides a comprehensive analysis of the interest rate exposure of the Spanish banking industry employing both parametric and non parametric estimation methods. Its main contribution is to use, for the first time in the context of banks’ interest rate risk, a nonparametric regression technique that avoids the assumption of a specific functional form. One the one hand, it is found that the Spanish banking sector exhibits a remarkable degree of interest rate exposure, although the impact of interest rate changes on bank stock returns has significantly declined following the introduction of the euro. Further, a pattern of positive exposure emerges during the post-euro period. On the other hand, the results corresponding to the nonparametric model support the expansion of the conventional linear model in an attempt to gain a greater insight into the actual degree of exposure.

A multifactor approach to the social discount rate

This work focuses on the appraisal of public and environmental projects and, more specifically, on the calculation of the social discount rate (SDR) for this kind of very long-term investment projects. As a rule, we can state that the instantaneous discount rate must be equal to the hazard rate of the public good or to the mortality rate of the population that the project is intended to. The hazard can be due to technical failures of the system, but, in this paper, we are going to consider different independent variables that can cause the hazard. That is, we are going to consider a multivariate hazard rate. In our empirical application, the Spanish forest surface will be the system and the forest fire will be the fail that can be caused by several factors. The aim of this work is to integrate the different variables that produce the fail in the calculation of the SDR from a multivariate hazard rate approach.

Estudo da função sistólica do ventrículo direito por ecocardiografia transtorácica: relatório de projecto

Mestrado em Tecnologia de Diagnóstico e Intervenção Cardiovascular. Área de especialização - Ultrassonografia Cardiovascular

Deformação miocárdica em atletas de diferentes modalidades – Um estudo por 2D Speckle Tracking: projecto de investigação

Mestrado em Tecnologia de Diagnóstico e Intervenção Cardiovascular. Área de Especialização: Ultrassonografia Cardiovascular

Biodegradation rate constants in different NF/UF fractions of cork processing wastewaters

Cork processing wastewater is an aqueous complex mixture of organic compounds that have been extracted from cork planks during the boiling process. These compounds, such as polysaccharides and polyphenols, have different biodegradability rates, which depend not only on the natureof the compound but also on the size of the compound. The aim of this study is to determine the biochemical oxygen demands (BOD) and biodegradationrate constants (k) for different cork wastewater fractions with different organic matter characteristics. These wastewater fractions were obtained using membrane separation processes, namely nanofiltration (NF) and ultrafiltration (UF). The nanofiltration and ultrafiltration membranes molecular weight cut-offs (MWCO) ranged from 0.125 to 91 kDa. The results obtained showed that the biodegradation rate constant for the cork processing wastewater was around 0.3 d(-1) and the k values for the permeates varied between 0.27-0.72 d(-1), being the lower values observed for permeates generated by the membranes with higher MWCO and the higher values observed for the permeates generated by the membranes with lower MWCO. These higher k values indicate that the biodegradable organic matter that is permeated by the membranes with tighter MWCO is more readily biodegradated.

O efeito de um programa de fisioterapia na estabilização do prematuro

Mestrado em Fisioterapia.

Avaliação da aptidão física funcional em idosos hipertensos da Cidade da Praia - Cabo Verde

Mestrado em Fisioterapia.

Improved matching criterion for frame rate upconversion with trilateral filtering

Frame rate upconversion (FRUC) is an important post-processing technique to enhance the visual quality of low frame rate video. A major, recent advance in this area is FRUC based on trilateral filtering which novelty mainly derives from the combination of an edge-based motion estimation block matching criterion with the trilateral filter. However, there is still room for improvement, notably towards reducing the size of the uncovered regions in the initial estimated frame, this means the estimated frame before trilateral filtering. In this context, proposed is an improved motion estimation block matching criterion where a combined luminance and edge error metric is weighted according to the motion vector components, notably to regularise the motion field. Experimental results confirm that significant improvements are achieved for the final interpolated frames, reaching PSNR gains up to 2.73 dB, on average, regarding recent alternative solutions, for video content with varied motion characteristics.

Design of a Multiband Full-Rate Ultra-Wideband Receiver in FPGA

MultiBand OFDM (MB-OFDM) UWB [1] is a short-range promising wireless technology for high data rate communications up to 480 Mbps. In this paper, we have designed and implemented in an Virtex-6 FPGA an MB-OFDM UWB receiver for the highest data rate of 480 Mbps. To test the system, we have also implemented an MB-OFDM transmitter and an AWGN generator in VHDL and determined the bit error rates at the receiver running in an FPGA.

Adaptive mutations in bacteria: high rate and small effects

Evolution by natural selection is driven by the continuous generation of adaptive mutations. We measured the genomic mutation rate that generates beneficial mutations and their effects on fitness in Escherichia coli under conditions in which the effect of competition between lineages carrying different beneficial mutations is minimized. We found a rate on the order of 10–5 per genome per generation, which is 1000 times as high as previous estimates, and a mean selective advantage of 1%. Such a high rate of adaptive evolution has implications for the evolution of antibiotic resistance and pathogenicity.

Exposure to fungi in dockers

Several activities are ensured by dockers increase occupational exposure to several risk factors. being one of them the fungal burden from the load. In this study we aim at characterizing fungal contamination in one warehouse that storage sugar cane from a ship, and also in one crane cabinet that unload the same sugar cane from the ship. Air samples were collected from the warehouse and from inside the crane cabinet. An outdoor sample was also collected, from each sampling site, and regarding as reference. Sampling volume was selected depending in the contamination expected and the air samples were collect through an impaction method in a flow rate of 140 L/min onto malt extract agar (MEA) supplemented with chloramphenicol (0.05%), using the Millipore air Tester (Millipore). Surfaces samples from the warehouse were collected by swabbing the surfaces of the same indoor sites, using a 10 by 10cm square stencil according to the International Standard ISO 18593 (2004). The obtained swabs were then plated onto MEA. All the collected samples were incubated at 27ºC for 5 to 7 days. After laboratory processing and incubation of the collected samples, quantitative (colony-forming units - CFU/m3 and CFU/m2) and qualitative results were obtained with identification of the isolated fungal species. Aspergillus fumigatus present the highest fungal load and WHO guideline was overcome in both indoor sampling sites. The results obtained in this study highlight the need to know better the exposure burden from dockers, and specifically to fungi contamination.

The impact of financial disclosures in the measurement of notional interest rate swaps in the period of 2007-2012

Mestrado em Contabilidade