Constructing common-factor portfolios

In this paper we construct common-factor portfolios using a novel linear transformation of standard factor models extracted from large data sets of asset returns. The simple transformation proposed here keeps the basic properties of the usual factor transformations, although some new interesting properties are further attached to them. Some theoretical advantages are shown to be present. Also, their practical importance is confirmed in two applications: the performance of common-factor portfolios are shown to be superior to that of asset returns and factors commonly employed in the finance literature.

Are defaults a family affair?: the relationship between kinship and microloan performance

A partir de uma grande base de dados fornecida por uma instituição de microcrédito do nordeste brasileiro, a relação entre parentesco e inadimplência é analisada. O presente trabalho mostra evidências de que o parentesco entre membros de um grupo solidário afeta positivamente a adimplência. Grupos em que todos os membros possuíam algum laço de parentesco entre si apresentaram uma probabilidade 24% menor de inadimplência do que grupo sem esses laços. Além disso, quando considerado apenas o primeiro empréstimo, grupos com 100% de parentesco entre os membros apresentaram uma probabilidade 45% menor de inadimplência em comparação com membros sem relações de parentesco. Os resultados deste trabalho também mostram que há uma relação negativa entre parentesco e probabilidade de mudança na formação de um grupo solidário. Essas análises permitem fazer inferências acerca dos mecanismos pelos quais o parentesco afeta o desempenho do microcrédito. Os resultados sugerem que o parentesco possui um benefício maior no processo de autosseleção do grupo. Além disso, os resultados também sugerem que o impacto positivo do parentesco nas atividades de automonitoramento compensa o enfraquecimento das atividades de enforcement.

Does monetary policy stabilize the exchange rate following a currency crisis?

This paper provides evidence on the relationship between rnonetary policy and the exchange rate in the aftermath of currency crises. It ana1yzes a large data set of currency crises in 80 countries in the period 1980 to 1998. The rnain question addressed is: can rnonetary policy significantly alter the probability of reversing the post-crisis undervaluation through nominal appreciation rather than higher int1ation? We find that tight rnonetary policy facilitates the reversal of currency undervaluation through nominal appreciation rather than inflation. When the econorny is also facing a banking crisis, depending on the specification, tight rnonetary policy rnay not have the same effect.

Estudo sistemático de estrelas variáveis na era dos grandes surveys

The interest in the systematic analysis of astronomical time series data, as well as development in astronomical instrumentation and automation over the past two decades has given rise to several questions of how to analyze and synthesize the growing amount of data. These data have led to many discoveries in the areas of modern astronomy asteroseismology, exoplanets and stellar evolution. However, treatment methods and data analysis have failed to follow the development of the instruments themselves, although much effort has been done. In present thesis, we propose new methods of data analysis and two catalogs of the variable stars that allowed the study of rotational modulation and stellar variability. Were analyzed the photometric databases fromtwo distinctmissions: CoRoT (Convection Rotation and planetary Transits) and WFCAM (Wide Field Camera). Furthermore the present work describes several methods for the analysis of photometric data besides propose and refine selection techniques of data using indices of variability. Preliminary results show that variability indices have an efficiency greater than the indices most often used in the literature. An efficient selection of variable stars is essential to improve the efficiency of all subsequent steps. Fromthese analyses were obtained two catalogs; first, fromtheWFCAMdatabase we achieve a catalog with 319 variable stars observed in the photometric bands Y ZJHK. These stars show periods ranging between ∼ 0, 2 to ∼ 560 days whose the variability signatures present RR-Lyrae, Cepheids , LPVs, cataclysmic variables, among many others. Second, from the CoRoT database we selected 4, 206 stars with typical signatures of rotationalmodulation, using a supervised process. These stars show periods ranging between ∼ 0, 33 to ∼ 92 days, amplitude variability between ∼ 0, 001 to ∼ 0, 5 mag, color index (J - H) between ∼ 0, 0 to ∼ 1, 4 mag and spectral type CoRoT FGKM. The WFCAM variable stars catalog is being used to compose a database of light curves to be used as template in an automatic classifier for variable stars observed by the project VVV (Visible and Infrared Survey Telescope for Astronomy) moreover it are a fundamental start point to study different scientific cases. For example, a set of 12 young stars who are in a star formation region and the study of RR Lyrae-whose properties are not well established in the infrared. Based on CoRoT results we were able to show, for the first time, the rotational modulation evolution for an wide homogeneous sample of field stars. The results are inagreement with those expected by the stellar evolution theory. Furthermore, we identified 4 solar-type stars ( with color indices, spectral type, luminosity class and rotation period close to the Sun) besides 400 M-giant stars that we have a special interest to forthcoming studies. From the solar-type stars we can describe the future and past of the Sun while properties of M-stars are not well known. Our results allow concluded that there is a high dependence of the color-period diagram with the reddening in which increase the uncertainties of the age-period realized by previous works using CoRoT data. This thesis provides a large data-set for different scientific works, such as; magnetic activity, cataclysmic variables, brown dwarfs, RR-Lyrae, solar analogous, giant stars, among others. For instance, these data will allow us to study the relationship of magnetic activitywith stellar evolution. Besides these aspects, this thesis presents an improved classification for a significant number of stars in the CoRoT database and introduces a new set of tools that can be used to improve the entire process of the photometric databases analysis

Possible causes of spatial variability in Diatraea saccharalis Fabr. (Lep., Crambidae) and its parasitoid populations in sugarcane fields in Brazil

Based on the large data set stored in some sugarcane mills regarding the biological control programme of Diatraea saccharalis using the parasitoids Cotesia flavipes and tachinid flies, the aim of the present study was to determine whether sugarcane varieties, number of cuts and plant ages are major determinants in promoting spatial variability in D. saccharalis, C. flavipes and tachinid fly populations in sugarcane fields in the state of São Paulo (Brazil). The data set used to support this study was provided by the Sao Joao and Barra sugarcane mills. Coefficient of variation was adopted as a measure of the spatial variability of population density. Spatial variability was estimated for the total density of D. saecharalis (parasitized + unparasitized larvae), and also for D. saccharalis larvae parasitized by tachinids and by C. flavipes. Statistical analysis revealed that the spatial variation in D. saccharalis populations was influenced by the number of cuts and by plant ages in the Barra and Sao Joao Mills, respectively. Similar results were obtained for D. saccharalis larvae parasitized by tachinids; however, in the Sao Joao Mill, the spatial variability of these populations was also influenced by the different number of varieties. Finally, considering D. saccharalis larvae parasitized by C. flavipes, no significant regressions with any of the three categories were observed for both sugarcane mills. The multitrophic implications for this agricultural system are also discussed.

Evidences of non-additive effects of multiple parasitoids on Diatraea saccharalis Fabr. (Lep., Crambidae) populations in sugarcane fields in Brazil

Biological control is a relatively benign method of pest control. However, considerable debate exists over whether multiple natural enemies often interact to produce additive or non-additive effects on their prey or host populations. Based on the large data set stored in the Sao Joao and Barra sugarcane mills (state of São Paulo, Brazil) regarding the programme of biological control of Diatraea saccharalis using the parasitoids Cotesia flavipes and tachinid flies, in the present study the author investigated whether the parasitoids released into sugarcane fields interfered significantly with the rate of parasitized D. saccharalis hosts. The author also observed whether there was an additive effect of releasing C. flavipes and tachinids on the rate of parasitized hosts, and looked for evidence of possible negative effects of the use of multiple parasitoid species in this biological control programme. Results showed that C. flavipes and the tachinids were concomitantly released in the Barra Mill, but not in the Sao Jao Mill. Furthermore, in the Barra Mill there was evidence that the parasitoids interacted because the percentage of parasitism did not increase after the release of either C. flavipes or tachinids. In the Sao Joao Mill, when both parasitoid species were released out of synchrony, both the percentage of parasitism by C. flavipes as well as that of the tachinids increased. When large numbers of tachinids were released in the Barra Mill, they caused a significant lower percentage of parasitism imposed by C. flavipes. The implications of the results as evidence of non-additive effects of C. flavipes plus tachinids on D. saccharalis populations are discussed.

Vertebrate dispersal syndromes along the Atlantic forest: broad-scale patterns and macroecological correlates

Aim To assess the geographical variation in the relative importance of vertebrates, and more specifically of birds and mammals, as seed dispersal agents in forest communities, and to evaluate the influence of geographical and climatic factors on the observed trends.Location One hundred and thirty-five forest communities in the Brazilian Atlantic forest.Methods We collected data on dispersal modes for 2292 woody species. By combining species x site with species x trait matrices, we obtained the percentages of endozoochory, ornithochory, mastozoochory and the mean fruit diameter for the local forest communities. We used Spearman's correlation to assess bivariate relationships between variables. Subsequently, we performed paired t-tests to verify if variations in frequency of dispersal modes and mean fruit diameter were influenced by altitude or temperature. Then, we applied multiple linear regressions to evaluate the effect of geographical and climatic variables on variation in the relative frequency of dispersal modes and mean fruit diameter across communities.Results We found no consistent latitudinal or longitudinal trend in the percentage of vertebrate-dispersed species, neither bird- nor mammal-dispersed species along the Atlantic forest. Endozoochory was affected chiefly by annual mean rainfall, increasing towards moister sites. Forest communities located at higher altitudes had a higher percentage of bird-dispersed species. Even when sites with identical values of annual mean temperature were compared, altitude had a positive effect on ornithochory. Conversely, we found a higher percentage of mammal-dispersed species in warmer forests, even when locations at the same altitudinal belts were contrasted. Fruit diameter was clearly related to altitude, decreasing towards higher elevations.Main conclusions This is the first analysis of a large data set on dispersal syndromes in tropical forest communities. Our findings support the hypotheses that: (1) geographical variation in the relative number of fleshy fruit species is mainly driven by moisture conditions and is relatively independent of geographical location, and (2) broad-scale trends in fruit size correspond to geographical variation in the relative importance of mammals and birds as seed dispersal agents at the community level.

Temporal patterns of parasitism in Diatraea saccharalis Fabr. (Lep., Crambidae) populations at different spatial scales in sugarcane fields in Brazil

Biological control of Diatraea saccharalis is regarded as one of the best examples of successful classical biological control in Brazil. Since the introduction of the exotic parasitoid, Cotesia flavipes, from Pakistan at the beginning of the 1970s, decrease in D. saccharalis infestation in sugarcane fields has been attributed to the effectiveness of this agent. Recently, the native Tachinidae fly parasitoids (Lydella minense and Paratheresia claripalpis) have also been implicated in this success. However, quantitative data confirming the actual contribution of these agents to the control of D. saccharalis are rather limited. The purpose of this study was to investigate the dynamics of the interactions between D. saccharalis and its parasitoids, emphasizing the temporal patterns of parasitism. To investigate this question, a large data set comprising information collected from two sugarcane mills located in the state of São Paulo, Brazil (Barra and Sao Joao sugarcane mills), was analysed. Basically, the data set contained monthly information about the number of D. saccharalis larvae and their parasitoids in each sample (man-hour per sample), the sugarcane varieties cultivated, the age of the sugarcane plants (only at the Sao Joao sugarcane mill) as well as the sugarcane cut at sampling time. The data were collected from March 1984 to March 1997 and from May 1982 to December 1996 for the Barra and Sao Joao sugarcane mills, respectively. Temporal inverse density-dependent parasitism was predominant for both parasitoid species with respect to all spatial scales. Although the temporal pattern of parasitism was not directly density dependent, it was evident that the tachinids and C. flavipes presented positive numerical responses according to variations in D. saccharalis densities through time.

Spatial and temporal population interactions between the parasitoids Cotesia flavipes and Tachinidae flies: considerations on the adverse effects of biological control practice

Biological control of Diatraea saccharalis is regarded as one of the best examples of successful classical biological control in Brazil. Since the introduction of the exotic parasitoid Cotesia flavipes, the decrease of D. saccharalis infestation in sugarcane fields has been attributed to the effectiveness of this agent. Recently, the native tachinid fly parasitoids (Lydella minense and Paratheresia claripalpis) have also been implicated in the success. Here, we investigated the spatial and temporal population interactions between C. flavipes and the tachinid flies, and provide a critical analysis of the biological control practice, focusing on the undesirable effects of introductions of exotic natural enemies. To investigate these questions, a large data set comprising information from two sugarcane mills located in the state of São Paulo, Brazil (Barra and Sao Joao Mills), was analysed. Analysis of the correlation between C. flavipes and tachinid fly population densities through time revealed that such populations were inversely correlated in the Sao Joao Mill and not correlated in the Barra Mill. Logistic regressions were computed to investigate the proportion of sites occupied by the parasitoid species at both mills as a function of time. An increasing trend in the proportion of sites occupied by C. flavipes was observed, with a concomitant decrease of the sites occupied by tachinid flies. This effect was more intense in the Sao Joao Mill. Thus, there is a convincing possibility that constant releases of C. flavipes decreased the tachinid fly populations, resulting in an undesirable effect of biological control practice.

Long term economic relationships from cointegration maps

We employ the Bayesian framework to define a cointegration measure aimed to represent long term relationships between time series. For visualization of these relationships we introduce a dissimilarity matrix and a map based on the sorting points into neighborhoods (SPIN) technique, which has been previously used to analyze large data sets from DNA arrays. We exemplify the technique in three data sets: US interest rates (USIR), monthly inflation rates and gross domestic product (GDP) growth rates. (c) 2007 Elsevier B.V. All rights reserved.

Spatial pattern of parasitism in Diatraea saccharalis Fab. (Lep., Crambidae) populations at two different spatial scales in sugarcane fields in Brazil

The biological control of Diatraea saccharalis is regarded as one of the best examples of successful classical biological control in Brazil. Since the introduction of the exotic parasitoid, Cotesia flavipes, the decrease in D. saccharalis infestation in sugarcane fields has been attributed to the effectiveness of this agent. Native Tachinidae fly parasitoids (Lydella minense and Paratheresia claripalpis) have also been implicated in the success. Quantitative data confirming the actual contribution of these agents to the control of D. saccharalis are, however, rather scant. The purpose of this study was to investigate the spatial pattern of parasitism of these parasitoids in D. saccharalis populations at two large spatial scales (fields and zones). To investigate this subject, a large data set comprising information collected from a sugarcane mill located in the state of São Paulo, Brazil (São João sugarcane mill) was analysed. When regressions between the proportion parasitism against host density were computed, the percentage of significant regressions with either a positive or a negative slope was very small at both spatial scales for both parasitoid species. Regressing the densities of tachinid-parasitized hosts against host densities per field showed that these parasitoids presented a 'moderate aggregative' response to host densities, as 53.33% of the regressions were positively significant. Cotesia flavipes was 'weakly aggregated' on host densities at the field level, because only 33.33% of the regressions were positively significant. At the zone level, neither aggregative nor spatial proportion parasitism responses were evident for either parasitoid species due to the small percentage of significant regressions computed.

Performance of CMS muon reconstruction in cosmic-ray events

The performance of muon reconstruction in CMS is evaluated using a large data sample of cosmic-ray muons recorded in 2008. Efficiencies of various high-level trigger, identification, and reconstruction algorithms have been measured for a broad range of muon momenta, and were found to be in good agreement with expectations from Monte Carlo simulation. The relative momentum resolution for muons crossing the barrel part of the detector is better than 1% at 10 GeV/c and is about 8% at 500 GeV/c, the latter being only a factor of two worse than expected with ideal alignment conditions. Muon charge misassignment ranges from less than 0.01% at 10GeV/c to about 1% at 500 GeV/c. © 2010 IOP Publishing Ltd and SISSA.

Interação genótipo ambiente para perímetro escrotal em bovinos da raça Nelore utilizando normas de reação

Pós-graduação em Zootecnia - FCAV

Análise Bayesiana para a distribuição Exponencial-Logarítmica

Pós-graduação em Matematica Aplicada e Computacional - FCT

Estudo e sistematização estatística e quimiométrica na determinação de hidrocarbonetos policíclicos aromáticos (HPAs) por HPLC-Flu

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)