Ensaios sobre a estrutura a termo da taxa de juros

Esta tese é composta de três artigos que analisam a estrutura a termo das taxas de juros usando diferentes bases de dados e modelos. O capítulo 1 propõe um modelo paramétrico de taxas de juros que permite a segmentação e choques locais na estrutura a termo. Adotando dados do tesouro americano, duas versões desse modelo segmentado são implementadas. Baseado em uma sequência de 142 experimentos de previsão, os modelos propostos são comparados à benchmarks e concluí-se que eles performam melhor nos resultados das previsões fora da amostra, especialmente para as maturidades curtas e para o horizonte de previsão de 12 meses. O capítulo 2 acrescenta restrições de não arbitragem ao estimar um modelo polinomial gaussiano dinâmico de estrutura a termo para o mercado de taxas de juros brasileiro. Esse artigo propõe uma importante aproximação para a série temporal dos fatores de risco da estrutura a termo, que permite a extração do prêmio de risco das taxas de juros sem a necessidade de otimização de um modelo dinâmico completo. Essa metodologia tem a vantagem de ser facilmente implementada e obtém uma boa aproximação para o prêmio de risco da estrutura a termo, que pode ser usada em diferentes aplicações. O capítulo 3 modela a dinâmica conjunta das taxas nominais e reais usando um modelo afim de não arbitagem com variáveis macroeconômicas para a estrutura a termo, afim de decompor a diferença entre as taxas nominais e reais em prêmio de risco de inflação e expectativa de inflação no mercado americano. Uma versão sem variáveis macroeconômicas e uma versão com essas variáveis são implementadas e os prêmios de risco de inflação obtidos são pequenos e estáveis no período analisado, porém possuem diferenças na comparação dos dois modelos analisados.

Do dividends signal more earnings? a theoretical analysis

The signaling models have contributed to the literature of corporate finance by the formalization of "the informational content of dividends hypothesis". However, these models are under criticism of empirical works, as weak evidences were found supporting one of the main predictions: the positive relation between changes in dividends and changes in earnings. We claim that the failure to verify this prediction does not invalidate the signaling approach. The mo deIs developed up to now assume or derive utility functions with the single-crossing property. We show that signaling is possible in the absence of this property and, in this case, changes in dividend and changes in earnings can be positively or negatively related.

Share bidding auctions, sliding scale royalty rates and the new brazilian regulatory framework for the pre-salt areas

O governo brasileiro recentemente aprovou uma legislação instituindo um novo marco regulatório para as reservas petrolíferas do pré-sal. Segundo as novas regras, estas áreas deverão ser licitadas mediante um leilão de partilha de lucro. Motivado por esta mudança, apresentamos um modelo de leilão de partilha sob afiliação, demonstrando a existência de um equilíbrio monótono em estratégias puras e caracterizando a solução. Alem disso, provamos que este mecanismo gera receita esperada maior ou igual a um leilão de primeiro preço usual. Em seguida, introduzimos no modelo uma função representando taxas de royalties que dependem do valor do objeto. Este instrumento permite uma elevação na receita esperada de ambos os modelos, fazendo com que a diferença entre eles encolha. Finalmente, analisando o novo marco regulatório sob o ponto de vista dos resultados obtidos, concluímos que o antigo modelo de concessão utilizado pelo governo brasileiro é mais adequado e lucrativo.

Bounds on policy relevant parameters with discrete policy variation

When estimating policy parameters, also known as treatment effects, the assignment to treatment mechanism almost always causes endogeneity and thus bias many of these policy parameters estimates. Additionally, heterogeneity in program impacts is more likely to be the norm than the exception for most social programs. In situations where these issues are present, the Marginal Treatment Effect (MTE) parameter estimation makes use of an instrument to avoid assignment bias and simultaneously to account for heterogeneous effects throughout individuals. Although this parameter is point identified in the literature, the assumptions required for identification may be strong. Given that, we use weaker assumptions in order to partially identify the MTE, i.e. to stablish a methodology for MTE bounds estimation, implementing it computationally and showing results from Monte Carlo simulations. The partial identification we perfom requires the MTE to be a monotone function over the propensity score, which is a reasonable assumption on several economics' examples, and the simulation results shows it is possible to get informative even in restricted cases where point identification is lost. Additionally, in situations where estimated bounds are not informative and the traditional point identification is lost, we suggest a more generic method to point estimate MTE using the Moore-Penrose Pseudo-Invese Matrix, achieving better results than traditional methods.

Global stabilizing feedback law for a problem of biological control of mosquito-borne diseases

The control of the spread of dengue fever by introduction of the intracellular parasitic bacterium Wolbachia in populations of the vector Aedes aegypti, is presently one of the most promising tools for eliminating dengue, in the absence of an efficient vaccine. The success of this operation requires locally careful planning to determine the adequate number of mosquitoes carrying the Wolbachia parasite that need to be introduced into the natural population. The latter are expected to eventually replace the Wolbachia-free population and guarantee permanent protection against the transmission of dengue to human. In this paper, we propose and analyze a model describing the fundamental aspects of the competition between mosquitoes carrying Wolbachia and mosquitoes free of the parasite. We then introduce a simple feedback control law to synthesize an introduction protocol, and prove that the population is guaranteed to converge to a stable equilibrium where the totality of mosquitoes carry Wolbachia. The techniques are based on the theory of monotone control systems, as developed after Angeli and Sontag. Due to bistability, the considered input-output system has multivalued static characteristics, but the existing results are unable to prove almost-global stabilization, and ad hoc analysis has to be conducted.

Random regression analyses using B-spline functions to model growth of Nellore cattle

The objective of this study was to estimate (co)variance components using random regression on B-spline functions to weight records obtained from birth to adulthood. A total of 82 064 weight records of 8145 females obtained from the data bank of the Nellore Breeding Program (PMGRN/Nellore Brazil) which started in 1987, were used. The models included direct additive and maternal genetic effects and animal and maternal permanent environmental effects as random. Contemporary group and dam age at calving (linear and quadratic effect) were included as fixed effects, and orthogonal Legendre polynomials of age (cubic regression) were considered as random covariate. The random effects were modeled using B-spline functions considering linear, quadratic and cubic polynomials for each individual segment. Residual variances were grouped in five age classes. Direct additive genetic and animal permanent environmental effects were modeled using up to seven knots (six segments). A single segment with two knots at the end points of the curve was used for the estimation of maternal genetic and maternal permanent environmental effects. A total of 15 models were studied, with the number of parameters ranging from 17 to 81. The models that used B-splines were compared with multi-trait analyses with nine weight traits and to a random regression model that used orthogonal Legendre polynomials. A model fitting quadratic B-splines, with four knots or three segments for direct additive genetic effect and animal permanent environmental effect and two knots for maternal additive genetic effect and maternal permanent environmental effect, was the most appropriate and parsimonious model to describe the covariance structure of the data. Selection for higher weight, such as at young ages, should be performed taking into account an increase in mature cow weight. Particularly, this is important in most of Nellore beef cattle production systems, where the cow herd is maintained on range conditions. There is limited modification of the growth curve of Nellore cattle with respect to the aim of selecting them for rapid growth at young ages while maintaining constant adult weight.

Métodos numéricos para resolução de equações diferenciais ordinárias lineares baseados em interpolação por spline

In this work we have elaborated a spline-based method of solution of inicial value problems involving ordinary differential equations, with emphasis on linear equations. The method can be seen as an alternative for the traditional solvers such as Runge-Kutta, and avoids root calculations in the linear time invariant case. The method is then applied on a central problem of control theory, namely, the step response problem for linear EDOs with possibly varying coefficients, where root calculations do not apply. We have implemented an efficient algorithm which uses exclusively matrix-vector operations. The working interval (till the settling time) was determined through a calculation of the least stable mode using a modified power method. Several variants of the method have been compared by simulation. For general linear problems with fine grid, the proposed method compares favorably with the Euler method. In the time invariant case, where the alternative is root calculation, we have indications that the proposed method is competitive for equations of sifficiently high order.

Landmark-based morphometric analysis in selected species of serranid fishes (Perciformes : Teleostei)

Morphological differences among 6 species of marine fishes belonging to 2 subfamilies of the family Serranidae (Serraninae: Dules auriga, Diplectrum formosum, and D, radiale; Epinephelinae: Epinephelus marginatus, Mycteroperca acutirostris, and M. bonaci) were studied by the geometric morphometric method of thin-plate splines and multivariate analysis of partial-warp scores. The decomposition of shape variation into uniform and nonaffine components of shape change indicate that major differences among species are related to both components of shape variation. Significant differences were found among species with respect to the uniform components, but there is no clear separation of taxonomic groups related to these components, and species are instead separated on the basis of body height and caudal peduncle length. Non-uniform changes in body shape, in turn, clearly differentiate the species of Serraninae and Epinephelinae. These shape changes are probably related to differences in habitat and feeding habits among the species.

Variation in mandible shape in Thrichomys apereoides (Mammalia: Rodentia): Geometric analysis of a complex morphological structure

The model of development and evolution of complex morphological structures conceived by Atchley and Hall in 1991 (Biol. Rev. 66:101-157), which establishes that changes at the macroscopic, morphogenetic level can be statistically detected as variation in skeletal units at distinct scales, was applied in combination with the formalism of geometric morphometrics to study variation in mandible shape among populations of the rodent species Thrichomys apereoides. The thin-plate spline technique produced geometric descriptors of shape derived from anatomical landmarks in the mandible, which we used with graphical and inferential approaches to partition the contribution of global and localized components to the observed differentiation in mandible shape. A major pattern of morphological differentiation in T. apereoides is attributable to localized components of shape at smaller geometric scales associated with specific morphogenetic units of the mandible. On the other hand, a clinal trend of variation is associated primarily with localized components of shape at larger geometric scales. Morphogenetic mechanisms assumed to be operating to produce the observed differentiation in the specific units of the mandible include mesenchymal condensation differentiation, muscle hypertrophy, and tooth growth. Perspectives for the application of models of morphological evolution and geometric morphometrics to morphologically based systematic biology are considered.

On the regularization of mixed complementarity problems

A variational inequality problem (VIP) satisfying a constraint qualification can be reduced to a mixed complementarity problem (MCP). Monotonicity of the VIP implies that the MCP is also monotone. Introducing regularizing perturbations, a sequence of strictly monotone mixed complementarity problems is generated. It is shown that, if the original problem is solvable, the sequence of computable inexact solutions of the strictly monotone MCP's is bounded and every accumulation point is a solution. Under an additional condition on the precision used for solving each subproblem, the sequence converges to the minimum norm solution of the MCP. Copyright © 2000 by Marcel Dekker, Inc.

Perturbation of a nonautonomous problem in ℝn

In this paper, we prove a stability result about the asymptotic dynamics of a perturbed nonautonomous evolution equation in ℝn governed by a maximal monotone operator. Copyright © 2013 John Wiley & Sons, Ltd. Copyright © 2013 John Wiley & Sons, Ltd.

Piecewise linear perturbations of a linear center

This paper is mainly devoted to the study of the limit cycles that can bifurcate from a linear center using a piecewise linear perturbation in two zones. We consider the case when the two zones are separated by a straight line Σ and the singular point of the unperturbed system is in Σ. It is proved that the maximum number of limit cycles that can appear up to a seventh order perturbation is three. Moreover this upper bound is reached. This result confirms that these systems have more limit cycles than it was expected. Finally, center and isochronicity problems are also studied in systems which include a first order perturbation. For the latter systems it is also proved that, when the period function, defined in the period annulus of the center, is not monotone, then it has at most one critical period. Moreover this upper bound is also reached.

Um modelo matemático de suspensão de pontes

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Modelos genéticos para a produção no dia do controle em bovinos Gir Leiteiro (Bos indicus)

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Estudo genético quantitativo do fluxo lácteo em bovinos da raça Holandesa

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)