Reality check for volatility models

Asset allocation decisions and value at risk calculations rely strongly on volatility estimates. Volatility measures such as rolling window, EWMA, GARCH and stochastic volatility are used in practice. GARCH and EWMA type models that incorporate the dynamic structure of volatility and are capable of forecasting future behavior of risk should perform better than constant, rolling window volatility models. For the same asset the model that is the ‘best’ according to some criterion can change from period to period. We use the reality check test∗ to verify if one model out-performs others over a class of re-sampled time-series data. The test is based on re-sampling the data using stationary bootstrapping. For each re-sample we check the ‘best’ model according to two criteria and analyze the distribution of the performance statistics. We compare constant volatility, EWMA and GARCH models using a quadratic utility function and a risk management measurement as comparison criteria. No model consistently out-performs the benchmark.

Speed of adjustment of capital structure: empirical study

We analyze the impact of firm-specific characteristics as well as economic factors on the speed of adjustment to the target debt ratio. Using different methods, we document speeds of adjustment ranging from 14.4% to 37%. The results indicate that the speed of adjustment is affected by business-cycle variables: The interaction term related to term spread reveals, as expected, faster adjustment in booms than in recessions and a negative relationship between short term spread and adjustment speed. We also show that the speed of adjustment becomes stationary when the increasing fractions of zero-debt firms are considered.

The BRICS: some historical experiences, growth challenges and opportunities

The acronym BRICS was a fad among the media and global investors. Now, the acronym sounds passé. However, the group of countries remains important, from both political and economic reasons. They have a large aggregate size, 28% of the global GDP and 42% of the world’s population, high growth potential due to the current significant misallocation of resources and relatively low stock of human capital, structural transformation is in progress and one of them, China, is taking steps to become a global power and a challenger to the US dominance. This paper provides a brief overview of the five economies, Brazil, Russia, India, China and South Africa. We focus on some aspects of their history, the Chinese initiatives in international finance and geopolitical strategic moves, their growth experience and structural transformation over the last 35 years, trade and investment integration into the global economy and among themselves, the growth challenges faced by their economies and the potential gains to the Brazilian economy from a stronger integration with the other BRICS. In association with its efforts to be a global power, China aims to become a major player in global finance and to achieve the status of global currency for the renminbi, which would be the first currency of an emerging economy to attain such position. Despite the similarities, the BRICS encompass very diverse economies. In the recent decades, China and India showed stellar growth rates. On the other hand, Brazil, Russia and South Africa have expanded just in line with global output growth with the Russian economy exhibiting high volatility. China is by far the largest economy, and South Africa the smallest, the only BRICS economy with a GDP lower than US$ 1 trillion. Russia abandoned communism almost 25 years ago, but reversed many of the privatizations of 90’s. China is still ruled by communism, but has a vibrant private sector and recently has officially declared market forces to play a dominant role in its economy. Brazil, Russia and South Africa are global natural resources powerhouses and commodity exporters while China and India are large commodity importers. Brazil is relatively closed to international trade of goods and services, in marked contrast to the other four economies. Brazil, India and South Africa are dependent on external capital flows whereas China and Russia are capital exporters. India and South Africa have younger populations and a large portion living below the poverty line. Despite its extraordinary growth experience that lifted many millions from poverty, China still has 28% of its population classified as poor. Russia and China have much older populations and one of their challenges is to deal with the effects of a declining labor force in the near future. India, China and South Africa face a long way to urbanization, while Brazil and Russia are already urbanized countries. China is an industrial economy but its primary sector still absorbs a large pool of workers. India is not, but the primary sector employs also a large share of the labor force. China’s aggregate demand structure is biased towards investment that has been driving its expansion. Brazil and South Africa have an aggregate demand structure similar to the developed economies, with private consumption accounting for approximately 70%. The same similarity applies to the supply side, as in both economies the share of services nears 70%. The development problem is a productivity problem, so microeconomic reforms are badly needed to foster long-term growth of the BRICS economies since they have lost steam due a variety of factors, but fundamentally due to slower total factor productivity growth. China and India are implementing ambitious reform programs, while Brazil is dealing with macroeconomic disequilibria. Russia and South Africa remain mute about structural reforms. There are some potential benefits to Brazil to be extracted from a greater economic integration with the BRICS, particularly in natural resources intensive industries and services. Necessary conditions to the materialization of those gains are the removal of the several sources of resource misallocation and strong investment in human capital.

Análise de volatilidade, integração de preços e previsibilidade para o mercado brasileiro de camarão

The present paper has the purpose of investigate the dynamics of the volatility structure in the shrimp prices in the Brazilian fish market. Therefore, a description of the initial aspects of the shrimp price series was made. From this information, statistics tests were made and selected univariate models to be price predictors. Then, it was verified the existence of relationship of long-term equilibrium between the Brazilian and American imported shrimp and if, confirmed the relationship, whether or not there is a causal link between these assets, considering that the two countries had presented trade relations over the years. It is presented as an exploratory research of applied nature with quantitative approach. The database was collected through direct contact with the Companhia de Entrepostos e Armazéns Gerais de São Paulo (CEAGESP) and on the official website of American import, National Marine Fisheries Service - National Oceanic and Atmospheric Administration (NMFS- NOAA). The results showed that the great variability in the active price is directly related with the gain and loss of the market agents. The price series presents a strong seasonal and biannual effect. The average structure of price of shrimp in the last 12 years was R$ 11.58 and external factors besides the production and marketing (U.S. antidumping, floods and pathologies) strongly affected the prices. Among the tested models for predicting prices of shrimp, four were selected, which through the prediction methodologies of one step forward of horizon 12, proved to be statistically more robust. It was found that there is weak evidence of long-term equilibrium between the Brazilian and American shrimp, where equivalently, was not found a causal link between them. We concluded that the dynamic pricing of commodity shrimp is strongly influenced by external productive factors and that these phenomena cause seasonal effects in the prices. There is no relationship of long-term stability between the Brazilian and American shrimp prices, but it is known that Brazil imports USA production inputs, which somehow shows some dependence productive. To the market agents, the risk of interferences of the external prices cointegrated to Brazilian is practically inexistent. Through statistical modeling is possible to minimize the risk and uncertainty embedded in the fish market, thus, the sales and marketing strategies for the Brazilian shrimp can be consolidated and widespread

Genetic diversity and population structure of pumas (Puma concolor) in southeastern Brazil: implications for conservation in a human-dominated landscape

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

Morphological alterations in the epithelium of the oral mucosa of rats (Rattus norvegicus) submitted to long-term systemic nicotine treatment

Smoking is considered to be the most albeit preventable cause of diseases and premature deaths in the history of mankind. The local action of tobacco on the oral mucosa can cause precancerous and cancerous lesions. However, there is not enough evidence to establish all the systemic effects caused by nicotine on the organism. Thus, the aim of the present study was to characterize the cellular changes of the cheek mucosa of rats submitted to long-term systemic nicotine treatment. Twenty male rats were divided into two experimental groups: a nicotine group and a control group, each consisting of 10 animals. The nicotine group was injected daily with 0.250 mg of nicotine per 100 g of body weight. All animals received a solid diet and water ad libitum. After 90 days of treatment, all animals were weighed and sacrificed. Samples of cheek mucosa were collected for light and transmission electron microscopy. The results revealed oral epithelium containing atypical cells that were characterized by atrophy, cell membrane disorganization and tissue damage. It was concluded that systemic administration of nicotine damaged the cellular integrity of the oral mucosa, impairing tissue function and predisposing the tissue to the action of different pathogenic agents and also to that of other carcinogenic substances present in tobacco. (c) 2006 Elsevier Ltd. All rights reserved.

Competition and phylogeny determine community structure in Mullerian co-mimics

Until recently, the study of negative and antagonistic interactions (for example, competition and predation) has dominated our understanding of community structure, maintenance and assembly(1). Nevertheless, a recent theoretical model suggests that positive interactions (for example, mutualisms) may counterbalance competition, facilitating long-term coexistence even among ecologically undifferentiated species(2). Mullerian mimics are mutualists that share the costs of predator education(3) and are therefore ideally suited for the investigation of positive and negative interactions in community dynamics. The sole empirical test of this model in a Mullerian mimetic community supports the prediction that positive interactions outweigh the negative effects of spatial overlap(4) (without quantifying resource acquisition). Understanding the role of trophic niche partitioning in facilitating the evolution and stability of Mullerian mimetic communities is now of critical importance, but has yet to be formally investigated. Here we show that resource partitioning and phylogeny determine community structure and outweigh the positive effects of Mullerian mimicry in a species-rich group of neotropical catfishes. From multiple, independent reproductively isolated allopatric communities displaying convergently evolved colour patterns, 92% consist of species that do not compete for resources. Significant differences in phylogenetically conserved traits (snout morphology and body size) were consistently linked to trait-specific resource acquisition. Thus, we report the first evidence, to our knowledge, that competition for trophic resources and phylogeny are pivotal factors in the stable evolution of Mullerian mimicry rings. More generally, our work demonstrates that competition for resources is likely to have a dominant role in the structuring of communities that are simultaneously subject to the effects of both positive and negative interactions.

Short-term changes caused by fire and mowing in Brazilian Campos grasslands with different long-term fire histories

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Use of genetic algorithms and solvation potential to study peptides structure

In this work, genetic algorithms concepts along with a rotamer library for proteins side chains and implicit solvation potential are used to optimize the tertiary structure of peptides. We starting from the known PDB structure of its backbone which is kept fixed while the side chains allowed adopting the conformations present in the rotamer library. It was used rotamer library independent of backbone and a implicit solvation potential. The structure of Mastoporan-X was predicted using several force fields with a growing complexity; we started it with a field where the only present interaction was Lennard-Jones. We added the Coulombian term and we considered the solvation effects through a term proportional to the solvent accessible area. This paper present good and interesting results obtained using the potential with solvation term and rotamer library. Hence, the algorithm (called YODA) presented here can be a good tool to the prediction problem. (c) 2007 Elsevier B.V. All rights reserved.

Short-term successional dynamics of a macroalgal community in a stream from northwestern São Paulo State, Brazil

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

Bond strengths, degree of conversion of the cement and molecular structure of the adhesive-dentine joint in fibre post restorations

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Short term hydroelectric scheduling combining network flow and interior point approaches

In this paper, short term hydroelectric scheduling is formulated as a network flow optimization model and solved by interior point methods. The primal-dual and predictor-corrector versions of such interior point methods are developed and the resulting matrix structure is explored. This structure leads to very fast iterations since it avoids computation and factorization of impedance matrices. For each time interval, the linear algebra reduces to the solution of two linear systems, either to the number of buses or to the number of independent loops. Either matrix is invariant and can be factored off-line. As a consequence of such matrix manipulations, a linear system which changes at each iteration has to be solved, although its size is reduced to the number of generating units and is not a function of time intervals. These methods were applied to IEEE and Brazilian power systems, and numerical results were obtained using a MATLAB implementation. Both interior point methods proved to be robust and achieved fast convergence for all instances tested. (C) 2004 Elsevier Ltd. All rights reserved.

Placentation in cloned cattle: Structure and microvascular architecture

To elucidate the morphological differences between placentas from normal and cloned cattle pregnancies reaching term, the umbilical cord, placentomes and interplacentomal region of the fetal membranes were examined macroscopically as well as by light and scanning electron microscopy. In pregnancies established by somatic nucleus transfer (NT), the umbilical cord and fetal membranes were edematous. Placentomal fusion was common, resulting in increased size and a decreased number of placentomes. Extensive areas of the chorioallantoic membrane were devoid of placentomes. An increased number of functional or accessory microcotyledons (< 1 cm) were present at the maternally oriented surface of fetal membranes. Extensive areas of extravasated maternal blood were present within the placentomes and in the interplacentomal region. The crypts on the caruncular surface were dilated and accommodated complexes of more than one primary villus, as opposed to a single villus in non-cloned placentae. Scanning electron microscopy of blood vessel casts revealed that there was also more than one stem artery per villous tree and that the ramification of the vessels failed to form dense complexes of capillary loops and sinusoidal dilations as in normal pregnancies. At the materno-fetal interface, however, the trophoblast and uterine epithelium had normal histology. In conclusion, the NT placentas had a range of pathomorphological changes; this was likely associated with the poor clinical outcome of NT pregnancies. (c) 2007 Elsevier B.V. All rights reserved.

Ultrastructural alterations in colon absorptive cells of alloxan-induced diabetic rats submitted to long-term physical training

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Thermal structure, heat content and stability of two lakes in The National Park of Rio Doce Valley (Minas Gerais, Brazil)

The thermal structure, heat content and stability were studied in Lakes Dom Helvécio and Carioca during an annual cycle. It was found that the maximum heat content, stability and work of the wind in Lake Dom Helvécio correspond to two, four and four times, respectively, the values for the Lake Carioca. These difference can be attributed to morphometric differences in the lakes. A long-term record of heat content and stability for lake Carioca is also presented. Diel variations were studied in summer and winter. The tropicality of the lakes is discussed and compared with other lacustrine systems. © 1989 Kluwer Academic Publishers.