An Autoregressive Conditional Filtering Process to remove Intraday Seasonal Volatility and its Application to Testing the Noisy Rational Expectations Model

We develop a new autoregressive conditional process to capture both the changes and the persistency of the intraday seasonal (U-shape) pattern of volatility in essay 1. Unlike other procedures, this approach allows for the intraday volatility pattern to change over time without the filtering process injecting a spurious pattern of noise into the filtered series. We show that prior deterministic filtering procedures are special cases of the autoregressive conditional filtering process presented here. Lagrange multiplier tests prove that the stochastic seasonal variance component is statistically significant. Specification tests using the correlogram and cross-spectral analyses prove the reliability of the autoregressive conditional filtering process. In essay 2 we develop a new methodology to decompose return variance in order to examine the informativeness embedded in the return series. The variance is decomposed into the information arrival component and the noise factor component. This decomposition methodology differs from previous studies in that both the informational variance and the noise variance are time-varying. Furthermore, the covariance of the informational component and the noisy component is no longer restricted to be zero. The resultant measure of price informativeness is defined as the informational variance divided by the total variance of the returns. The noisy rational expectations model predicts that uninformed traders react to price changes more than informed traders, since uninformed traders cannot distinguish between price changes caused by information arrivals and price changes caused by noise. This hypothesis is tested in essay 3 using intraday data with the intraday seasonal volatility component removed, as based on the procedure in the first essay. The resultant seasonally adjusted variance series is decomposed into components caused by unexpected information arrivals and by noise in order to examine informativeness.

Seasonality of suicide in the city of Sao Paulo, Brazil, 1979-2003

OBJECTIVE: To evaluate suicide seasonality in the city of São Paulo within an urban area and tropical zone. METHOD: Suicides were evaluated using the chi-square test and analysis of variance (ANOVA) by comparing monthly, quarterly and half-yearly variations, differentiating by gender. Analyses of time series were carried out using the autocorrelation function and periodogram, while the significance level for seasonality was confirmed with the Fisher's test. RESULTS: The suicides of the period between 1979 and 2003 numbered 11,434 cases. Differences were observed in suicides occurring in Spring and Autumn for the total sample (ANOVA: p-value = 0.01), and in the male sample (ANOVA: p-value = 0.02). For the analysis of time series, seasonality was significant only for the period of 7 months in the male sample (p-value = 0.04). DISCUSSION: In this study, no significant seasonal differences were observed in the occurrences of suicides, with the exception of the male sample. The differences observed did not correspond with the pattern described in studies carried out in temperate zones. Some of the climatic particularities of the tropical zone might explain the atypical pattern of seasonality of suicides found in large populations within an urban area and tropical zone.

Effect of the kappa-casein gene polymorphism, breed and seasonality on physicochemical characteristics, composition and stability of bovine milk

The objective of this study was to evaluate the effect of genetic polymorphism of kappa-casein, breed and seasonality on the physicochemical characteristics, composition and stability of milk in commercial dairy herds. A total of 879 milk and blood samples were collected from 603 Holstein and 276 Girolando cows, obtained during rainy and dry seasons. Milk samples were analyzed to determine the physicochemical characteristics, composition and ethanol stability, while blood samples were subjected to polymerase chain reaction to identify the kappa-casein genotype. The frequencies of genotypes AA, AB and BB of k-casein were respectively, 66.83, 31.84 and 1.33% for Holstein, and 71.38, 27.90 and 0.72% for the Girolando cows, respectively. The A allele was more frequent than the B allele, both for Holstein (0.827 and 0.173) and Girolando cows (0.853 and 0.147), respectively. Cows of AB and BB genotypes showed a higher milk fat content compared to the AA genotype. There was an interaction between breed and seasonality on the concentration of milk urea with higher values for Holstein and Girolando cows in the rainy and dry season, respectively. The levels of lactose, total solids, crude protein, true protein, casein and the casein:true protein ratio were higher during the dry season, while during the rainy season, the somatic cell count and milk urea concentration were higher. There was no association between milk stability and k-casein genotypes, but Holstein cows showed higher milk stability than Girolando cows, and milk was more stable during the rainy season than during the dry season.

Seasonality Role on the Phenolics from Cultivated Baccharis dracunculifolia

Baccharis dracunculifolia is the source of Brazilian green propolis (BGP). Considering the broad spectrum of biological activities attributed to green proplis, B. dracunculifolia has a great potential for the development of new cosmetic and pharmaceutical products. In this work, the cultivation of 10 different populations of native B. dracunculifolia had been undertaken aiming to determine the role of seasonality on its phenolic compounds. For this purpose, fruits of this plant were collected from populations of 10 different regions, and 100 individuals of each population were cultivated in an experimental area of 1800 m(2). With respect to cultivation, the yields of dry plant, essential oil and crude extract were measured monthly resulting in mean values of 399 +/- 80 g, 0.6 +/- 0.1% and 20 +/- 4%, respectively. The HPLC analysis allowed detecting seven phenolic compounds: caffeic acid, ferulic acid, aromadendrin-4'-methyl ether (AME), isosakuranetin, artepillin C, baccharin and 2-dimethyl-6-carboxyethenyl-2H-1-benzopyran acid, which were the major ones throughout the 1-year monthly analysis. Caffeic acid was detected in all cultivated populations with mean of 4.0%. AME displayed the wide variation in relation to other compounds showing means values of 0.65 +/- 0.13% at last quarter. Isosakuranetin and artepillin C showed increasing concentrations with values between 0% and 1.4% and 0% and 1.09%, respectively. The obtained results allow suggesting that the best time for harvesting this plant, in order to obtain good qualitative and quantitative results for these phenolic compounds, is between December and April.

THE MONTHLY RAINFALL IN THE RIO DE JANEIRO STATE, BRAZIL: SEASONALITY AND TREND

The objective of this work was to carry a descriptive analysis in the monthly precipitation of rainfall stations from Rio de Janeiro State, Brazil, using data of position and dispersion and graphical analyses, and to verify the presence of seasonality and trend in these data, with a study about the application of models of time series. The descriptive statistics was to characterize the general behavior of the series in three stations selected which present consistent historical series. The methodology of analysis of variance in randomized blocks and the determination of models of multiple linear regression, considering years and months as predictors variables, disclosed the presence of seasonality, what allowed to infer on the occurrence of repetitive natural phenomena throughout the time and absence of trend in the data. It was applied the methodology of multiple linear regression to removal the seasonality of these time series. The original data had been deducted from the estimates made by the adjusted model and the analysis of variance in randomized blocks for the residues of regression was preceded again. With the results obtained it was possible to conclude that the monthly rainfall present seasonality and they don`t present trend, the analysis of multiple regression was efficient in the removal of the seasonality, and the rainfall can be studied by means of time series.

The role of seasonality on the inhibitory effect of Brazilian green propolis on the oxidative metabolism of neutrophils

The reactive oxygen species (ROS) produced by neutrophils are involved in the pathogenesis of several diseases, for which the intake of antioxidants could benefit patients either as a prophylactic or therapeutic treatment. Propolis is among the known antioxidants, and its chemical composition may vary under the influence of seasonality, which may interfere in its biological properties. This work evaluates the role of seasonality on the production of some important compounds of propolis samples produced monthly from November 2001 through October 2002 as well as the effect of these samples on the oxidative metabolism of stimulated neutrophils, by using both luminol and lucigenin to produce chemiluminescence (CLlum and CLluc, respectively). The cytotoxicity of the most active extracts to neutrophils was also investigated. The inhibitory effect of the propolis samples varied significantly during the studied period for both assays (3.4 +/- 1.1 to 16.0 +/- 1.1 mu g/mL for CLlum and 6.2 +/- 2.0 to 30.0 +/- 5.0 mu g/mL for CLluc), which was also observed in the quantitative profile of the main analyzed compounds (aromadendrin-4`-methyl ether, artepillin C, and baccharin). This effect started to become more prominent during the fall and, among all the studied extracts, the one obtained in May displayed the highest inhibitory effect on CL production (3.4 +/- 1.1 mu g/mL for alum and 6.2 +/- 2.0 mu g/mL for CLluc). The HPLC qualitative profiles of the extracts of propolis samples were quite similar, but there was a huge variation in terms of quantitative profile. It seems that aromadendrin-4`-methyl ether and baccharin play an essential role in the antioxidant activity, while artepillin C is not very important for this effect. The extracts presenting the highest antioxidant activity were produced in May, June, and August, and they did not display cytotoxicity at 25 mu g/mL; quercetin, used as control, was not toxic to neutrophils at 8.5 mu g/mL (C) 2010 Elsevier B.V. All rights reserved.

Impact of increasing the re-supply interval on the seasonality of subsidised prescription use in Australia

Objective: To evaluate the impact of increasing the minimum resupply period for prescriptions on the Pharmaceutical Benefits Scheme (PBS) in November 1994. The intervention was designed to reduce the stockpiling of medicines used for chronic medical conditions under the PBS safety net. Methods: Interrupted times series regression analyses were performed on 114 months of PBS drug utilisation data from January 1991 to June 2000. These analyses assessed whether there had been a significant interaction between the onset of the intervention in November 1994 and the extreme levels of drug utilisation in the months of December (peak utilisation) and January (lowest utilisation) respectively. Both serial and 12-month lag autocorrelations were controlled for. Results: The onset of the intervention was associated with a significant reduction in the December peak in drug utilisation; after the introduction of the policy there were 1,150,196 fewer proscriptions on average or that month (95% Cl 708,333-1,592,059). There was, however, no significant change in the low level of utilisation in January. The effect of the policy appears to be decreasing across successive postintervention years. though the odds of a prescription being dispensed in December remained significantly lower in 1999 compared to each of the pre-intervention years (11% vs. 14%) Conclusion: Analysis of the impact of increasing the re-supply period for PBS prescriptions showed that the magnitude of peak utilisation in December had been markedly reduced by the policy, though this effect appears to be decreasing over time. Continued monitoring and policy review is warranted in order to ensure that the initial effect of the intervention be maintained.

Nestmate recognition in a Neotropical swarm-founding wasp: no effect of seasonality on tolerance of alien conspecifics

Previous study revealed that the swarm-founding wasp Polybia paulista is accurately able to distinguish nestmates from non-nestmates in the summer. However, the risk of accepting alien intruders is considered to be low in winter colonies, and additionally brood production is limited in 30-40% of colonies during the winter in this species. Thus, it is expected that colonies might lower their acceptance threshold and accept some conspecific wasps from alien colonies in winter. We conducted field experiments to examine tolerance of conspecific (nestmate and non-nestmate) females in winter. In contrast to our prediction, our colonies did not accept any individuals from alien colonies. We suggest that P. paulista exhibits the colony-specific acceptance threshold in winter, and colonies that produced brood in their nests may have raised the acceptance threshold even if the risk of accepting alien intruders is low in winter.

Effect of beta-lactoglobulin polymorphism and seasonality on bovine milk composition

The objective was to evaluate the effect of beta-lactoglobulin (beta-lg) polymorphism and seasonality on milk composition (fat, lactose, total solids, milk urea nitrogen, total protein, true protein, casein and somatic cell counts) of Holstein and Girolando cows. Milk and blood samples from 278 Holsteins cows and 156 Girolando cows were taken during two dry seasons and two rainy seasons, for milk composition analysis and to determine beta-lg genotypes, respectively. BB genotype was the most frequent for both breeds, followed by AA genotype for Holstein (BB>AA>AB) and by AB for Girolando cows (BB>AB>AA). No differences were found in milk compositional characteristics among genetic variants of beta-lg (AA, AB and BB) either between Holstein or Girolando cows. No association between milk composition and beta-lg genetic polymorphism was observed. During the dry season, independently of the breed considered, higher contents of lactose, true protein, casein and casein :true protein ratio were found.

Seasonality of Monomachus Klug (Hymenoptera, Monomachidae) in the Biological Reserve of Duas Bocas, Espírito Santo State, Brazil

A survey of Monomachidae species was carried out in anarea of Atlantic rain forest of the Biological Reserve of Duas Bocas, Espírito Santo State, Brazil between September, 1996 and August, 1997. Two species of Mollomachus Klug, 1841, M. fuscator Perty, 1833 and M. eurycephalus Schletterer, 1890 were collected from May to September. Both species are typical of winter time and showed the same parttern of seasonality.

Pricing intraday dynamics across EUAS and CERS markets

The relative contribution of European Union Allowances (EUAs) and Certified Emission Reductions (CERs) to the price discovery of their common true value has been empirically studied using daily data with inconclusive results. In this paper, we study the short-run and long-run price dynamics between EUAs and CERs future contracts using intraday data. We report a bidirectional feedback causality relationship both in the short-run and in the long-run, with the EUA's market being the leader.

Intraday volatility

A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and Economics

Seasonality, parity rates and transmission indices of Mansonella ozzardi (Manson) (Nematoda: Onchocercidae) by Cerqueirellum argentiscutum (Shelley & Luna Dias) (Diptera: Simulidae) in a lower Solimões River community, Amazonas, Brazil

Mansonella ozzardi is transmitted by two dipterian families, Ceratopogonidae (midges) and Simuliidae (black flies). In Brazil, black flies are vectors for this filariasis until now. In this paper, we determined the seasonality, parity capacity and parasitic infection rate of Cerqueirellum argentiscutum. The work was carried out in the Porto Japão community, Lower Solimões River, Amazonas, Brazil. Results show that the black flies were more abundant during the rainy season (from December to May). The number of parous flies was higher in every sampling during the course of year. Monthly Biting Rate (MBR1 123742.00, MBR2 86701.50) was high, although Parasitic Infection Rate (PIR1 0.06, PIR2 0.08) and Annual Transmission Potential (ATP 7.25) were low in numbers.