Testing for tail breaks in currency returns

In this work project we study the tail properties of currency returns and analyze whether changes in the tail indices of these series have occurred over time as a consequence of turbulent periods. Our analysis is based on the methods introduced by Quintos, Fan and Phillips (2001), Candelon and Straetmans (2006, 2013), and their extensions. Specifically, considering a sample of daily data from December 31, 1993 to February 13, 2015 we apply the recursive test in calendar time (forward test) and in reverse calendar time (backward test) and indeed detect falls and rises in the tail indices, signifying increases and decreases in the probability of extreme events.

Methodology for WSN communication technologies automated field tests

Wireless Sensor Networks(WSN) are networks of devices used to sense and act that applies wireless radios to communicate. To achieve a successful implementation of a wireless device it is necessary to take in consideration the existence of a wide variety of radios available, a large number of communication parameters (payload, duty cycle, etc.) and environmental conditions that may affect the device’s behaviour. However, to evaluate a specific radio towards a unique application it might be necessary to conduct trial experiments, with such a vast amount of devices, communication parameters and environmental conditions to take into consideration the number of trial cases generated can be surprisingly high. Thus, making trial experiments to achieve manual validation of wireless communication technologies becomes unsuitable due to the existence of a high number of trial cases on the field. To overcome this technological issue an automated test methodology was introduced, presenting the possibility to acquire data regarding the device’s behaviour when testing several technologies and parameters that care for a specific analysis. Therefore, this method advances the validation and analysis process of the wireless radios and allows the validation to be done without the need of specific and in depth knowledge about wireless devices.