A family of autoregressive conditional duration models

This paper develops a family of autoregressive conditional duration (ACD) models that encompasses most specifications in the literature. The nesting relies on a Box-Cox transformation with shape parameter λ to the conditional duration process and a possibly asymmetric shocks impact curve. We establish conditions for the existence of higher-order moments, strict stationarity, geometric ergodicity and β-mixing property with exponential decay. We next derive moment recursion relations and the autocovariance function of the power λ of the duration process. Finally, we assess the practical usefulness of our family of ACD models using NYSE transactions data, with special attention to IBM price durations. The results warrant the extra flexibility provided either by the Box-Cox transformation or by the asymmetric response to shocks.

Macaulay duration: método para administrar o risco de taxa de juros em bonds sem opção de recompra e isentas do risco de inadimplência

Trata da apresentação técnica conhecida como Macaulay Duration e sua aplicação na administração do risco de taxa de juros. Aborda aspectos conceituais e práticos da medida e as recentes discussões a respeito de sua aplicabilidade e limitações em finanças.

A family of autoregressive conditional duration models

This paper develops a family of autoregressive conditional duration (ACD) models that encompasses most specifications in the literature. The nesting relies on a Box-Cox transformation with shape parameter λ to the conditional duration process and a possibly asymmetric shocks impact curve. We establish conditions for the existence of higher-order moments, strict stationarity, geometric ergodicity and β-mixing property with exponential decay. We next derive moment recursion relations and the autocovariance function of the power λ of the duration process. Finally, we assess the practical usefulness of our family of ACD models using NYSE price duration data on the IBM stock. The results warrant the extra flexibility provided either by the Box-Cox transformation or by the asymmetric response to shocks.

A (semi-)parametric functional coefficient autoregressive conditional duration model

In this paper, we propose a class of ACD-type models that accommodates overdispersion, intermittent dynamics, multiple regimes, and sign and size asymmetries in financial durations. In particular, our functional coefficient autoregressive conditional duration (FC-ACD) model relies on a smooth-transition autoregressive specification. The motivation lies on the fact that the latter yields a universal approximation if one lets the number of regimes grows without bound. After establishing that the sufficient conditions for strict stationarity do not exclude explosive regimes, we address model identifiability as well as the existence, consistency, and asymptotic normality of the quasi-maximum likelihood (QML) estimator for the FC-ACD model with a fixed number of regimes. In addition, we also discuss how to consistently estimate using a sieve approach a semiparametric variant of the FC-ACD model that takes the number of regimes to infinity. An empirical illustration indicates that our functional coefficient model is flexible enough to model IBM price durations.

Non- parametric specification tests for conditional duration models

This paper deals with the estimation and testing of conditional duration models by looking at the density and baseline hazard rate functions. More precisely, we foeus on the distance between the parametric density (or hazard rate) function implied by the duration process and its non-parametric estimate. Asymptotic justification is derived using the functional delta method for fixed and gamma kernels, whereas finite sample properties are investigated through Monte Carlo simulations. Finally, we show the practical usefulness of such testing procedures by carrying out an empirical assessment of whether autoregressive conditional duration models are appropriate to oIs for modelling price durations of stocks traded at the New York Stock Exchange.

Does mixed frequency vector error correction model add relevant information to exchange misalignment calculus? Evidence for United States

Real exchange rate is an important macroeconomic price in the economy and a ects economic activity, interest rates, domestic prices, trade and investiments ows among other variables. Methodologies have been developed in empirical exchange rate misalignment studies to evaluate whether a real e ective exchange is overvalued or undervalued. There is a vast body of literature on the determinants of long-term real exchange rates and on empirical strategies to implement the equilibrium norms obtained from theoretical models. This study seeks to contribute to this literature by showing that it is possible to calculate the misalignment from a mixed ointegrated vector error correction framework. An empirical exercise using United States' real exchange rate data is performed. The results suggest that the model with mixed frequency data is preferred to the models with same frequency variables

Naps in school can enhance the duration of declarative memories learned by adolescents

Sleep helps the consolidation of declarative memories in the laboratory, but the pro-mnemonic effect of daytime naps in schools is yet to be fully characterized. While a few studies indicate that sleep can indeed benefit school learning, it remains unclear how best to use it. Here we set out to evaluate the influence of daytime naps on the duration of declarative memories learned in school by students of 10–15 years old. A total of 584 students from 6th grade were investigated. Students within a regular classroom were exposed to a 15-min lecture on new declarative contents, absent from the standard curriculum for this age group. The students were then randomly sorted into nap and non-nap groups. Students in the nap group were conducted to a quiet room with mats, received sleep masks and were invited to sleep. At the same time, students in the non-nap group attended regular school classes given by their usual teacher (Experiment I), or English classes given by another experimenter (Experiment II). These 2 versions of the study differed in a number of ways. In Experiment I (n = 371), students were pre-tested on lecture-related contents before the lecture, were invited to nap for up to 2 h, and after 1, 2, or 5 days received surprise tests with similar content but different wording and question order. In Experiment II (n = 213), students were invited to nap for up to 50 min (duration of a regular class); surprise tests were applied immediately after the lecture, and repeated after 5, 30, or 110 days. Experiment I showed a significant ∼10% gain in test scores for both nap and non-nap groups 1 day after learning, in comparison with pre-test scores. This gain was sustained in the nap group after 2 and 5 days, but in the non-nap group it decayed completely after 5 days. In Experiment II, the nap group showed significantly higher scores than the non-nap group at all times tested, thus precluding specific conclusions. The results suggest that sleep can be used to enhance the duration of memory contents learned in school.

Duration of spermatogenesis in the bullfrog (Lithobates catesbeianus)

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

The influence of sour taste and cold temperature in pharyngeal transit duration in patients with stroke

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

Pulmonary tuberculosis: Hematology, serum biochemistry and the relation with the disease duration

The aim of the present study was to analyze the relationship between hematological and biochemical parameters and tuberculosis process activity time according to clinical complaint duration. It was a retrospective study analyzing medical records from 80 pulmonary tuberculosis patients at Botucatu Medical School University Hospital ( Botucatu, São Paulo State, Brazil), who were divided into 2 groups according to clinical complaint duration: Group 1 ( G1) - up to three months; Group 2 ( G2) - over three months. Parameters included: age, gender, bacilloscopy, erythrocyte sedimentation rate ( ESR), platelet count, alpha1-globulin, alpha2-globulin, gamma globulin, mucoprotein, alpha1-acid glycoprotein values, and the presence of risk factors such as smoking, alcoholism, drug addiction, sexual promiscuity, contact with tuberculosis carriers, and previous treatment. Groups were compared by calculating t and p, and Chi-square (X-2) and p. Comparisons revealed a tendency towards smoking with a higher frequency of smokers in G1 ( 0.05< p< 0.10). G1 also tended to present greater platelet values than G2 ( 0.05< p< 0.10) and presented significantly higher ESR values than G2 ( p< 0.05). Other factors did not show any significantly different behavior between groups ( p> 0.05). A correlation was found between ESR, platelet count, smoking and less than three months clinical duration.

The highest intensity and the shortest duration permitting attainment of maximal oxygen uptake during cycling: effects of different methods and aerobic fitness level

The aims of this study were: (1) to verify the validity of previous proposed models to estimate the lowest exercise duration (T (LOW)) and the highest intensity (I (HIGH)) at which VO(2)max is reached (2) to test the hypothesis that parameters involved in these models, and hence the validity of these models are affected by aerobic training status. Thirteen cyclists (EC), eleven runners (ER) and ten untrained (U) subjects performed several cycle-ergometer exercise tests to fatigue in order to determine and estimate T (LOW) (ET (LOW)) and I (HIGH) (EI (HIGH)). The relationship between the time to achieved VO(2)max and time to exhaustion (T (lim)) was used to estimate ET (LOW). EI (HIGH) was estimated using the critical power model. I (HIGH) was assumed as the highest intensity at which VO2 was equal or higher than the average of VO(2)max values minus one typical error. T (LOW) was considered T (lim) associated with I (HIGH). No differences were found in T (LOW) between ER (170 +/- 31 s) and U (209 +/- 29 s), however, both showed higher values than EC (117 +/- 29 s). I (HIGH) was similar between U (269 +/- 73 W) and ER (319 +/- 50 W), and both were lower than EC (451 +/- 33 W). EI (HIGH) was similar and significantly correlated with I-HIGH only in U (r = 0.87) and ER (r = 0.62). ET (LOW) and T (LOW) were different only for U and not significantly correlated in all groups. These data suggest that the aerobic training status affects the validity of the proposed models for estimating I (HIGH).

Synchronization: Stability and duration time

We consider the problem of stability and duration of the synchronization process between self-excited oscillators, both in their regular and chaotic states. Making use of the properties of Hill equation describing the deviation between the slave and the master, we derive the stability conditions and expressions of the synchronization time. A fairly good agreement is obtained between the analytical and numerical results.

Regge calculus in teleparallel gravity

In the context of the teleparallel equivalent of general relativity, the Weitzenbock manifold is considered as the limit of a suitable sequence of discrete lattices composed of an increasing number of smaller and smaller simplices, where the interior of each simplex (Delaunay lattice) is assumed to be flat. The link lengths l between any pair of vertices serve as independent variables, so that torsion turns out to be localized in the two-dimensional hypersurfaces (dislocation triangle, or hinge) of the lattice. Assuming that a vector undergoes a dislocation in relation to its initial position as it is parallel transported along the perimeter of the dual lattice (Voronoi polygon), we obtain the discrete analogue of the teleparallel action, as well as the corresponding simplicial vacuum field equations.