DYNAMICS OF THE SHORT TERM AND LONG TERM AVIAN DISTRIBUTIONS IN NORTH AMERICA - THE ROLES OF VEGETATION HEIGHT HETEROGENEITY AND CLIMATIC FACTORS

Understanding how biodiversity spatially distribute over both the short term and long term, and what factors are affecting the distribution, are critical for modeling the spatial pattern of biodiversity as well as for promoting effective conservation planning and practices. This dissertation aims to examine factors that influence short-term and long-term avian distribution from the geographical sciences perspective. The research develops landscape level habitat metrics to characterize forest height heterogeneity and examines their efficacies in modelling avian richness at the continental scale. Two types of novel vegetation-height-structured habitat metrics are created based on second order texture algorithms and the concepts of patch-based habitat metrics. I correlate the height-structured metrics with the richness of different forest guilds, and also examine their efficacies in multivariate richness models. The results suggest that height heterogeneity, beyond canopy height alone, supplements habitat characterization and richness models of two forest bird guilds. The metrics and models derived in this study demonstrate practical examples of utilizing three-dimensional vegetation data for improved characterization of spatial patterns in species richness. The second and the third projects focus on analyzing centroids of avian distributions, and testing hypotheses regarding the direction and speed of these shifts. I first showcase the usefulness of centroids analysis for characterizing the distribution changes of a few case study species. Applying the centroid method on 57 permanent resident bird species, I show that multi-directional distribution shifts occurred in large number of studied species. I also demonstrate, plain birds are not shifting their distribution faster than mountain birds, contrary to the prediction based on climate change velocity hypothesis. By modelling the abundance change rate at regional level, I show that extreme climate events and precipitation measures associate closely with some of the long-term distribution shifts. This dissertation improves our understanding on bird habitat characterization for species richness modelling, and expands our knowledge on how avian populations shifted their ranges in North America responding to changing environments in the past four decades. The results provide an important scientific foundation for more accurate predictive species distribution modeling in future.

Estudo sobre a memória longa na volatilidade das rendibilidades do índice Nasdaq 100: uma abordagem com base nos modelos tipo Arch

Mestrado em Controlo de Gestão e dos Negócios

Desenvolvimento e aplicação de modelo de calibração multivariada para determinação de açúcares e ácidos orgânicos em bebidas comerciais utilizando espectroscopia no infravermelho

The routine analysis for quantization of organic acids and sugars are generally slow methods that involve the use and preparation of several reagents, require trained professional, the availability of special equipment and is expensive. In this context, it has been increasing investment in research whose purpose is the development of substitutive methods to reference, which are faster, cheap and simple, and infrared spectroscopy have been highlighted in this regard. The present study developed multivariate calibration models for the simultaneous and quantitative determination of ascorbic acid, citric, malic and tartaric and sugars sucrose, glucose and fructose, and soluble solids in juices and fruit nectars and classification models for ACP. We used methods of spectroscopy in the near infrared (Near Infrared, NIR) in association with the method regression of partial least squares (PLS). Were used 42 samples between juices and fruit nectars commercially available in local shops. For the construction of the models were performed with reference analysis using high-performance liquid chromatography (HPLC) and refractometry for the analysis of soluble solids. Subsequently, the acquisition of the spectra was done in triplicate, in the spectral range 12500 to 4000 cm-1. The best models were applied to the quantification of analytes in study on natural juices and juice samples produced in the Paraná Southwest Region. The juices used in the application of the models also underwent physical and chemical analysis. Validation of chromatographic methodology has shown satisfactory results, since the external calibration curve obtained R-square value (R2) above 0.98 and coefficient of variation (%CV) for intermediate precision and repeatability below 8.83%. Through the Principal Component Analysis (PCA) was possible to separate samples of juices into two major groups, grape and apple and tangerine and orange, while for nectars groups separated guava and grape, and pineapple and apple. Different validation methods, and pre-processes that were used separately and in combination, were obtained with multivariate calibration models with average forecast square error (RMSEP) and cross validation (RMSECV) errors below 1.33 and 1.53 g.100 mL-1, respectively and R2 above 0.771, except for malic acid. The physicochemical analysis enabled the characterization of drinks, including the pH working range (variation of 2.83 to 5.79) and acidity within the parameters Regulation for each flavor. Regression models have demonstrated the possibility of determining both ascorbic acids, citric, malic and tartaric with successfully, besides sucrose, glucose and fructose by means of only a spectrum, suggesting that the models are economically viable for quality control and product standardization in the fruit juice and nectars processing industry.

Identification des grands utilisateurs de soins de santé chez les patients souffrant de la douleur chronique non cancéreuse et suivis en soins de première ligne

Contexte: La douleur chronique non cancéreuse (DCNC) génère des retombées économiques et sociétales importantes. L’identification des patients à risque élevé d’être de grands utilisateurs de soins de santé pourrait être d’une grande utilité; en améliorant leur prise en charge, il serait éventuellement possible de réduire leurs coûts de soins de santé. Objectif: Identifier les facteurs prédictifs bio-psycho-sociaux des grands utilisateurs de soins de santé chez les patients souffrant de DCNC et suivis en soins de première ligne. Méthodologie: Des patients souffrant d’une DCNC modérée à sévère depuis au moins six mois et bénéficiant une ordonnance valide d’un analgésique par un médecin de famille ont été recrutés dans des pharmacies communautaires du territoire du Réseau universitaire intégré de santé (RUIS), de l’Université de Montréal entre Mai 2009 et Janvier 2010. Ce dernier est composé des six régions suivantes : Mauricie et centre du Québec, Laval, Montréal, Laurentides, Lanaudière et Montérégie. Les caractéristiques bio-psycho-sociales des participants ont été documentées à l’aide d’un questionnaire écrit et d’une entrevue téléphonique au moment du recrutement. Les coûts directs de santé ont été estimés à partir des soins et des services de santé reçus au cours de l’année précédant et suivant le recrutement et identifiés à partir de la base de données de la Régie d’Assurance maladie du Québec, RAMQ (assureur publique de la province du Québec). Ces coûts incluaient ceux des hospitalisations reliées à la douleur, des visites à l’urgence, des soins ambulatoires et de la médication prescrite pour le traitement de la douleur et la gestion des effets secondaires des analgésiques. Les grands utilisateurs des soins de santé ont été définis comme étant ceux faisant partie du quartile le plus élevé de coûts directs annuels en soins de santé dans l’année suivant le recrutement. Des modèles de régression logistique multivariés et le critère d’information d’Akaike ont permis d’identifier les facteurs prédictifs des coûts directs élevés en soins de santé. Résultats: Le coût direct annuel médian en soins de santé chez les grands utilisateurs de soins de santé (63 patients) était de 7 627 CAD et de 1 554 CAD pour les utilisateurs réguliers (188 patients). Le modèle prédictif final du risque d’être un grand utilisateur de soins de santé incluait la douleur localisée au niveau des membres inférieurs (OR = 3,03; 95% CI: 1,20 - 7,65), la réduction de la capacité fonctionnelle liée à la douleur (OR = 1,24; 95% CI: 1,03 - 1,48) et les coûts directs en soins de santé dans l’année précédente (OR = 17,67; 95% CI: 7,90 - 39,48). Les variables «sexe», «comorbidité», «dépression» et «attitude envers la guérison médicale» étaient également retenues dans le modèle prédictif final. Conclusion: Les patients souffrant d’une DCNC au niveau des membres inférieurs et présentant une détérioration de la capacité fonctionnelle liée à la douleur comptent parmi ceux les plus susceptibles d’être de grands utilisateurs de soins et de services. Le coût direct en soins de santé dans l’année précédente était également un facteur prédictif important. Améliorer la prise en charge chez cette catégorie de patients pourrait influencer favorablement leur état de santé et par conséquent les coûts assumés par le système de santé.

Eficiência e razão de hedge: uma análise dos mercados futuro brasileiros de boi, café, etanol, milho e soja

This research aims to investigate the Hedge Efficiency and Optimal Hedge Ratio for the future market of cattle, coffee, ethanol, corn and soybean. This paper uses the Optimal Hedge Ratio and Hedge Effectiveness through multivariate GARCH models with error correction, attempting to the possible phenomenon of Optimal Hedge Ratio differential during the crop and intercrop period. The Optimal Hedge Ratio must be bigger in the intercrop period due to the uncertainty related to a possible supply shock (LAZZARINI, 2010). Among the future contracts studied in this research, the coffee, ethanol and soybean contracts were not object of this phenomenon investigation, yet. Furthermore, the corn and ethanol contracts were not object of researches which deal with Dynamic Hedging Strategy. This paper distinguishes itself for including the GARCH model with error correction, which it was never considered when the possible Optimal Hedge Ratio differential during the crop and intercrop period were investigated. The commodities quotation were used as future price in the market future of BM&FBOVESPA and as spot market, the CEPEA index, in the period from May 2010 to June 2013 to cattle, coffee, ethanol and corn, and to August 2012 to soybean, with daily frequency. Similar results were achieved for all the commodities. There is a long term relationship among the spot market and future market, bicausality and the spot market and future market of cattle, coffee, ethanol and corn, and unicausality of the future price of soybean on spot price. The Optimal Hedge Ratio was estimated from three different strategies: linear regression by MQO, BEKK-GARCH diagonal model, and BEKK-GARCH diagonal with intercrop dummy. The MQO regression model, pointed out the Hedge inefficiency, taking into consideration that the Optimal Hedge presented was too low. The second model represents the strategy of dynamic hedge, which collected time variations in the Optimal Hedge. The last Hedge strategy did not detect Optimal Hedge Ratio differential between the crop and intercrop period, therefore, unlikely what they expected, the investor do not need increase his/her investment in the future market during the intercrop

Forecasting errors, directional accuracy and profitability of currency trading: The case of EUR/USD exchange rate

We provide a comprehensive study of out-of-sample forecasts for the EUR/USD exchange rate based on multivariate macroeconomic models and forecast combinations. We use profit maximization measures based on directional accuracy and trading strategies in addition to standard loss minimization measures. When comparing predictive accuracy and profit measures, data snooping bias free tests are used. The results indicate that forecast combinations, in particular those based on principal components of forecasts, help to improve over benchmark trading strategies, although the excess return per unit of deviation is limited.

Joint value at risk: a new conditional risk measure

In this PhD thesis a new firm level conditional risk measure is developed. It is named Joint Value at Risk (JVaR) and is defined as a quantile of a conditional distribution of interest, where the conditioning event is a latent upper tail event. It addresses the problem of how risk changes under extreme volatility scenarios. The properties of JVaR are studied based on a stochastic volatility representation of the underlying process. We prove that JVaR is leverage consistent, i.e. it is an increasing function of the dependence parameter in the stochastic representation. A feasible class of nonparametric M-estimators is introduced by exploiting the elicitability of quantiles and the stochastic ordering theory. Consistency and asymptotic normality of the two stage M-estimator are derived, and a simulation study is reported to illustrate its finite-sample properties. Parametric estimation methods are also discussed. The relation with the VaR is exploited to introduce a volatility contribution measure, and a tail risk measure is also proposed. The analysis of the dynamic JVaR is presented based on asymmetric stochastic volatility models. Empirical results with S&P500 data show that accounting for extreme volatility levels is relevant to better characterize the evolution of risk. The work is complemented by a review of the literature, where we provide an overview on quantile risk measures, elicitable functionals and several stochastic orderings.

Censored Linear Regression Models For Irregularly Observed Longitudinal Data Using The Multivariate-t Distribution.

In acquired immunodeficiency syndrome (AIDS) studies it is quite common to observe viral load measurements collected irregularly over time. Moreover, these measurements can be subjected to some upper and/or lower detection limits depending on the quantification assays. A complication arises when these continuous repeated measures have a heavy-tailed behavior. For such data structures, we propose a robust structure for a censored linear model based on the multivariate Student's t-distribution. To compensate for the autocorrelation existing among irregularly observed measures, a damped exponential correlation structure is employed. An efficient expectation maximization type algorithm is developed for computing the maximum likelihood estimates, obtaining as a by-product the standard errors of the fixed effects and the log-likelihood function. The proposed algorithm uses closed-form expressions at the E-step that rely on formulas for the mean and variance of a truncated multivariate Student's t-distribution. The methodology is illustrated through an application to an Human Immunodeficiency Virus-AIDS (HIV-AIDS) study and several simulation studies.

Volatility forecasting with range models: An evaluation of new alternatives to the CARR model

The aim of this paper is to analyze the forecasting ability of the CARR model proposed by Chou (2005) using the S&P 500. We extend the data sample, allowing for the analysis of different stock market circumstances and propose the use of various range estimators in order to analyze their forecasting performance. Our results show that there are two range-based models that outperform the forecasting ability of the GARCH model. The Parkinson model is better for upward trends and volatilities which are higher and lower than the mean while the CARR model is better for downward trends and mean volatilities.

Well-posedness and invariant measures for HJM models with deterministic volatility and Lévy noise

We give sufficient conditions for existence, uniqueness and ergodicity of invariant measures for Musiela's stochastic partial differential equation with deterministic volatility and a Hilbert space valued driving Lévy noise. Conditions for the absence of arbitrage and for the existence of mild solutions are also discussed.

Revisiting the Dollar-Euro Permanent Equilibrium Exchange Rate: Evidence from Multivariate Unobserved Components Models

We propose an alternative approach to obtaining a permanent equilibrium exchange rate (PEER), based on an unobserved components (UC) model. This approach offers a number of advantages over the conventional cointegration-based PEER. Firstly, we do not rely on the prerequisite that cointegration has to be found between the real exchange rate and macroeconomic fundamentals to obtain non-spurious long-run relationships and the PEER. Secondly, the impact that the permanent and transitory components of the macroeconomic fundamentals have on the real exchange rate can be modelled separately in the UC model. This is important for variables where the long and short-run effects may drive the real exchange rate in opposite directions, such as the relative government expenditure ratio. We also demonstrate that our proposed exchange rate models have good out-of sample forecasting properties. Our approach would be a useful technique for central banks to estimate the equilibrium exchange rate and to forecast the long-run movements of the exchange rate.

Modelling dependence in a ratemaking procedure with multivariate Poisson regression models

When actuaries face with the problem of pricing an insurance contract that contains different types of coverage, such as a motor insurance or homeowner's insurance policy, they usually assume that types of claim are independent. However, this assumption may not be realistic: several studies have shown that there is a positive correlation between types of claim. Here we introduce different regression models in order to relax the independence assumption, including zero-inflated models to account for excess of zeros and overdispersion. These models have been largely ignored to multivariate Poisson date, mainly because of their computational di±culties. Bayesian inference based on MCMC helps to solve this problem (and also lets us derive, for several quantities of interest, posterior summaries to account for uncertainty). Finally, these models are applied to an automobile insurance claims database with three different types of claims. We analyse the consequences for pure and loaded premiums when the independence assumption is relaxed by using different multivariate Poisson regression models and their zero-inflated versions.

Multivariate contemporaneous-threshold autoregressive models

This paper proposes a contemporaneous-threshold multivariate smooth transition autoregressive (C-MSTAR) model in which the regime weights depend on the ex ante probabilities that latent regime-specific variables exceed certain threshold values. A key feature of the model is that the transition function depends on all the parameters of the model as well as on the data. Since the mixing weights are also a function of the regime-specific innovation covariance matrix, the model can account for contemporaneous regime-specific co-movements of the variables. The stability and distributional properties of the proposed model are discussed, as well as issues of estimation, testing and forecasting. The practical usefulness of the C-MSTAR model is illustrated by examining the relationship between US stock prices and interest rates.

On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility

In this paper we use Malliavin calculus techniques to obtain an expression for the short-time behavior of the at-the-money implied volatility skew for a generalization of the Bates model, where the volatility does not need to be neither a difussion, nor a Markov process as the examples in section 7 show. This expression depends on the derivative of the volatility in the sense of Malliavin calculus.