Firms and aggregate dynamics

We investigate the role of permanent and transitory shocks for firms and aggregate dynamics. We find that permanent shocks to productivity and permanent shifts in the composition of output explain at least four-fifths of firms’ dynamics. However, these permanent shocks are almost uncorrelated across firms and are therefore less relevant for aggregate dynamics. Transitory shocks, on the other hand, are not very important at the firm level,but they account for most of the volatility of aggregate hours and output, because they are significantly correlated across firms. Finally, we try to make some progress on the interpretation of the shocks.

Crashes, volatility, and the equity premium: Lessons from S&P 500 options

We use a novel pricing model to imply time series of diffusive volatility and jump intensity from S&P 500 index options. These two measures capture the ex ante risk assessed by investors. Using a simple general equilibrium model, we translate the implied measures of ex ante risk into an ex ante risk premium. The average premium that compensates the investor for the ex ante risks is 70% higher than the premium for realized volatility. The equity premium implied from option prices is shown to significantly predict subsequent stock market returns.

Electrical ageing studies of polymeric insulation for power cables (estudo do envelhecimento eléctrico do isolante polimérico de cabos eléctricos

Dissertação apresentada para obtenção do Grau de Doutor em Engenharia Física - Física Aplicada pela Universidade Nova de Lisboa, Faculdade de Ciências e Tecnologia

A efectividade de um programa de exercícios terapêuticos na doença osteo-articular no idoso

RESUMO: O presente estudo teve como objectivo avaliar a efectividade de um programa de intervenção de fisioterapia comparativamente ao tratamento conservador (calor húmido, ultra-som e massagem), relativamente à dor e capacidade funcional, no utente idoso com doença osteoarticular do joelho. A amostra foi aleatória, tendo sido seleccionados 20 utentes que respeitaram os critérios de inclusão, e que foram distribuídos aleatoriamente pelos dois grupos de tratamento, 9 no grupo A (experimental) e 11 no grupo B (controle). Todos os utentes deram o seu consentimento informado. Trata-se de um estudo experimental, controlado aleatorizado (RCT). A intervenção em estudo consistiu em 15 sessões de tratamento individuais, efectuadas 3 vezes por semana. O programa terapêutico efectuado pelo grupo A incluiu o tratamento conservador (20 minutos calor húmido, 5 minutos ultra-som (contínuo; 1,5W/cm2) e aproximadamente 10 minutos de massagem local) e o protocolo de exercícios terapêuticos em estudo. Este protocolo de exercícios foi progredindo semanalmente em termos da sua intensidade. Os utentes do Grupo B efectuaram apenas o tratamento conservador (tal como no grupo A). Para avaliar a dor e a capacidade funcional foi utilizado o Questionário knee Injury and Osteoarthritis Outcome Score. A análise dos resultados foi realizada através dos testes Mann-Whitney e Kruskal-Wallis para a comparação entre grupos. Os resultados sugerem não haver diferenças estatisticamente significativos entre os grupos, embora o grupo de controle tenha obtido melhores resultados. O grupo B apresentou uma diminuição da dor de 17,33, comparativamente aos valores de -3,00 no grupo A (p=0,101), e melhoria da capacidade funcional de 13,00, mantendo-se a capacidade funcional igual, no grupo A (0,00) p=0,080). Estes resultados parecem sugerir que não há diferenças significativas entre as duas modalidades de intervenção, realçando a necessidade de continuar a investigar este protocolo de exercícios e a sua efectividade.-----------------ABSTRACT: The aims of this study was to evaluate the effectiveness of a treatment program compared with conventional treatment (post hoots, ultrasound and massage), for the outcomes pain and functional ability in elderly with knee osteoarthritis. The sample was non-probability, and 20 patients have been selected that fulfilled the criteria for inclusion and who were randomly assigned to the two treatment groups, in group A and 11 in group B. All of the patients gave their informed consent. This is an experimental, randomized controlled trial (RCT) with blinded assessment, of comparative design. This study protocol program was carry out in 15 individual treatment sessions, 3x per week. The therapeutic program made by group A consisted of the performance of conservative treatment: 20 minutes of hot packs, 5 minutes of ultrasound (continuous, 1.5 W/cm2) and 10 minutes of massage plus the exercise protocol therapy consisted of: isometric exercises of quadriceps contractions, muscle strengthening for knee and aerobic training. This exercise protocol was progressing every week in terms of its intensity. The users in Group B, only made the conservative treatment (such as in group A). In this study there were evaluated the pain and functional capacity, assessed by questionnaire knee Injury Osteoarthritis Outcome Score. For comparison between groups were used Mann-Whitney and Kruskal-Wallis tests. The results revealed that in group B was that it obtained better results, although they are not statistical significance. The group B show a decrease in pain of 17.33 compared to -3.00 in group A (p = 0.101), and improved capacity functional of 13.00, keeping in group A (0.00) (p = 0.080). However, the differences are not statistically significant. These results show that there are not statistically significant in both treatments, but more studies are needed.

A reliability-based measure of robustness for concrete structures subjected to corrosion

This work is a contribution to the definition and assessment of structural robustness. Special emphasis is given to reliability of reinforced concrete structures under corrosion of longitudinal reinforcement. On this communication several authors’ proposals in order to define and measure structural robustness are analyzed and discussed. The probabilistic based robustness index is defined, considering the reliability index decreasing for all possible damage levels. Damage is considered as the corrosion level of the longitudinal reinforcement in terms of rebar weight loss. Damage produces changes in both cross sectional area of rebar and bond strength. The proposed methodology is illustrated by means of an application example. In order to consider the impact of reinforcement corrosion on failure probability growth, an advanced methodology based on the strong discontinuities approach and an isotropic continuum damage model for concrete is adopted. The methodology consist on a two-step analysis: on the first step an analysis of the cross section is performed in order to capture phenomena such as expansion of the reinforcement due to the corrosion products accumulation and damage and cracking in the reinforcement surrounding concrete; on the second step a 2D deteriorated structural model is built with the results obtained on the first step of the analysis. The referred methodology combined with a Monte Carlo simulation is then used to compute the failure probability and the reliability index of the structure for different corrosion levels. Finally, structural robustness is assessed using the proposed probabilistic index.

Algorithm for the Parkinson’s disease behavioural models characterization using a biosensor

Dissertação para obtenção do Grau de Mestre em Engenharia Biomédica

Using cilia mutants to study left-right asymmetry in zebrafish

A thesis submitted in fulfillment of the requirements for the degree of the Masters in Molecular Genetics and Biomedicine

State detection in a financial portfolio: a self-organizing maps approach for financial time series

This study analyses financial data using the result characterization of a self-organized neural network model. The goal was prototyping a tool that may help an economist or a market analyst to analyse stock market series. To reach this goal, the tool shows economic dependencies and statistics measures over stock market series. The neural network SOM (self-organizing maps) model was used to ex-tract behavioural patterns of the data analysed. Based on this model, it was de-veloped an application to analyse financial data. This application uses a portfo-lio of correlated markets or inverse-correlated markets as input. After the anal-ysis with SOM, the result is represented by micro clusters that are organized by its behaviour tendency. During the study appeared the need of a better analysis for SOM algo-rithm results. This problem was solved with a cluster solution technique, which groups the micro clusters from SOM U-Matrix analyses. The study showed that the correlation and inverse-correlation markets projects multiple clusters of data. These clusters represent multiple trend states that may be useful for technical professionals.

Flexible multivariate GARCH modeling with an application to international stock markets

This paper offers a new approach to estimating time-varying covariance matrices in the framework of the diagonal-vech version of the multivariate GARCH(1,1) model. Our method is numerically feasible for large-scale problems, produces positive semidefinite conditional covariance matrices, and does not impose unrealistic a priori restrictions. We provide an empirical application in the context of international stock markets, comparing the nev^ estimator with a number of existing ones.

O emprego de uma força de segurança de natureza militar nas missões de paz

The conflicts currently taking place around the world demand that the international intervention fits the intensity and extent of the threat. This is particularly important in post-conflict scenarios, leading to a greater participation of the Security Forces in those scenarios, in order to foster lasting peace, enforce the order and improve law enforcement services in those regions. The transition from armed conflict to peacekeeping may entail high risk situations and greater instability periods, so-called “intermediate situations”. Accordingly, in the face of persisting high volatility, a robust response is still required post-conflict. Therefore, it is appropriate to deploy Security Forces with military nature and status, the gendarmeries, which have training and response capabilities similar to Armed Forces in peacekeeping operations. Their double facet as police and military forces enables them to perform police duties in high risk and unsafe environments. In light of these features, the Portuguese gendarmerie, Guarda Nacional Republicana (GNR), is able to carry out tasks in these scenarios, which it has been doing through individual operatives or larger units. This dissertation focuses on the use of Security Forces of military nature in peacekeeping missions, in particular the Portuguese GNR, relying mostly on the inductive approach and using literature research, document analysis, interviews and statistics. After a brief description of international peacekeeping missions, we describe the contribution of Security Forces of a military nature in such operations. Then we introduce and analyse the GNR, focusing on its deployment in different kinds of peacekeeping operations, from its first participation in 1995 until today. We also report some reactions to the performance of GNR. Finally, we discuss whether there is indeed a unique role for this type of forces in international peacekeeping missions.