Analysis of outliers in electricity spot prices with exampleof New England and New Zealand markets

Electricity spot prices have always been a demanding data set for time series analysis, mostly because of the non-storability of electricity. This feature, making electric power unlike the other commodities, causes outstanding price spikes. Moreover, the last several years in financial world seem to show that ’spiky’ behaviour of time series is no longer an exception, but rather a regular phenomenon. The purpose of this paper is to seek patterns and relations within electricity price outliers and verify how they affect the overall statistics of the data. For the study techniques like classical Box-Jenkins approach, series DFT smoothing and GARCH models are used. The results obtained for two geographically different price series show that patterns in outliers’ occurrence are not straightforward. Additionally, there seems to be no rule that would predict the appearance of a spike from volatility, while the reverse effect is quite prominent. It is concluded that spikes cannot be predicted based only on the price series; probably some geographical and meteorological variables need to be included in modeling.

The cyclical relations between traded property stock prices and aggregate time-series

This paper examines the cyclical regularities of macroeconomic, financial and property market aggregates in relation to the property stock price cycle in the UK. The Hodrick Prescott filter is employed to fit a long-term trend to the raw data, and to derive the short-term cycles of each series. It is found that the cycles of consumer expenditure, total consumption per capita, the dividend yield and the long-term bond yield are moderately correlated, and mainly coincident, with the property price cycle. There is also evidence that the nominal and real Treasury Bill rates and the interest rate spread lead this cycle by one or two quarters, and therefore that these series can be considered leading indicators of property stock prices. This study recommends that macroeconomic and financial variables can provide useful information to explain and potentially to forecast movements of property-backed stock returns in the UK.

Análise da precificação de imóveis na cidade do Rio de Janeiro utilizando Modelagem Hedônica e os efeitos da autocorrelação espacial

A escolha da cidade do Rio de Janeiro como sede de grandes eventos esportivos mundiais, a Copa do Mundo de Futebol de 2014 e os Jogos Olímpicos de 2016, colocou-a no centro de investimentos em infraestrutura, mobilidade urbana e segurança pública, com consequente impacto no mercado imobiliário, tanto de novos lançamentos de empreendimentos, quanto na revenda de imóveis usados. Acredita-se que o preço de um imóvel dependa de uma relação entre suas características estruturais como quantidade de quartos, suítes, vagas de garagem, presença de varanda, tal como sua localização, proximidade com centros de trabalho, entretenimento e áreas valorizadas ou degradadas. Uma das técnicas para avaliar a contribuição dessas características para a formação do preço do imóvel, conhecido na Econométrica como Modelagem Hedônica de Preços, é uma aplicação de regressão linear multivariada onde a variável dependente é o preço e as variáveis independentes, as respectivas características que deseja-se modelar. A utilização da regressão linear implica em observar premissas que devem ser atendidas para a confiabilidade dos resultados a serem analisados, tais como independência e homoscedasticidade dos resíduos e não colinearidade entre as variáveis independentes. O presente trabalho objetiva aplicar a modelagem hedônica de preços para imóveis localizados na cidade do Rio de Janeiro em um modelo de regressão linear multivariada, em conjunto com outras fontes de dados para a construção de variáveis de acessibilidade e socioambiental a fim de verificar a relação de importância entre elas para a formação do preço e, em particular, exploramos brevemente a tendência de preços em função da distância a favelas. Em atenção aos pré-requisitos observados para a aplicação de regressão linear, verificamos que a premissa de independência dos preços não pode ser atestada devido a constatação da autocorrelação espacial entre os imóveis, onde não apenas as características estruturais e de acessibilidade são levadas em consideração para a precificação do bem, mas principalmente a influência mútua que os imóveis vizinhos exercem um ao outro.

Measurement of sealant surface area by clinical/computerized analysis: 11-year results.

OBJECTIVE: To analyze the clinical behavior of 2 pit and fissure sealants through clinical/computerized evaluation. METHOD AND MATERIALS: Occlusal sealants were placed on maxillary and mandibular first and second premolars according to a split-mouth design. All premolars were sealed with either Concise (3M Espe) or Prisma Shield (Caulk/Dentsply) sealant agents. A hematoxylin-based staining solution was applied on the occlusal surface 7 days, 18 months, 36 months, and 11 years after occlusal sealing to allow checking of the sealant material on the surface. At each analysis time all occlusal surfaces were photographed, and the photographs corresponding to each time period were analyzed with SigmaScan 4.0 Software. The alterations of the sealed area of each sealant were analyzed with the software and recorded. Next, the measurements of the areas were tabulated and analyzed according to each period. Analysis of variance (ANOVA), with parts subdivided into time, and the t test, with a significance level of 5%, were used. RESULTS: The greatest sealed area was maintained by the sealant Concise. However, over the course of 11 years, all sealants began to show the same level of alteration in sealed area. CONCLUSION: The sealing materials showed alteration in sealed area over time, but they were efficient in controlling caries lesion formation on premolar pits and fissures.

Initial analysis from a Lidar observation campaign of sugar cane fires in the central and western portion of the S̃ao Paulo State - Brazil

The central and western portion of the S̃ao Paulo State has large areas of sugar cane plantations, and due to the growing demand for biofuels, the production is increasing every year. During the harvest period some plantation areas are burnt a few hours before the manual cutting, causing significant quantities of biomass burning aerosol to be injected into the atmosphere. During August 2010, a field campaign has been carried out in Ourinhos, situated in the south-western region of S̃ao Paulo State. A 2-channel Raman Lidar system and two meteorological S-Band Doppler Radars are used to indentify and quantify the biomass burning plumes. In addiction, CALIPSO Satellite observations were used to compare the aerosol optical properties detected in that region with those retrieved by Raman Lidar system. Although the campaign yielded 30 days of measurements, this paper will be focusing only one case study, when aerosols released from nearby sugar cane fires were detected by the Lidar system during a CALIPSO overpass. The meteorological radar, installed in Bauru, approximately 110 km northeast from the experimental site, had recorded echoes (dense smoke comprising aerosols) from several fires occurring close to the Raman Lidar system, which also detected an intense load of aerosol in the atmosphere. HYSPLIT model forward trajectories presented a strong indication that both instruments have measured the same air masss parcels, corroborated with the Lidar Ratio values from the 532 nm elastic and 607 nm Raman N2 channel analyses and data retrieved from CALIPSO have indicated the predominance of aerosol from biomass burning sources. © 2011 SPIE.

Modelo de análise conjunta aplicado ao mercado imobiliário

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Market Prices and Food Aid Local and Regional Procurement and Distribution: A Multi-Country Analysis

To date, no research has rigorously addressed the concern that local and regional procurement (LRP) of food aid could affect food prices and food price volatility in food aid source and recipient countries. We assemble spatially and temporally disaggregated data and estimate the relationship between food prices and their volatility and local food aid procurement and distribution across seven countries for several commodities. In most cases, LRP activities have no statistically significant relationship with either local price levels or food price volatility. The few exceptions underscore the importance of market monitoring. (C) 2013 Elsevier Ltd. All rights reserved.

Chaperone-facilitated copper binding is a property common to several classes of familial amyotrophic lateral sclerosis-linked superoxide dismutase mutants

Mutations in Cu, Zn superoxide dismutase (SOD1) cause the neurodegenerative disease familial amyotrophic lateral sclerosis from an as-yet-unidentified toxic property(ies). Analysis in Saccharomyces cerevisiae of a broad range of human familial amyotrophic lateral sclerosis–linked SOD1 mutants (A4V, G37R, G41D, H46R, H48Q, G85R, G93C, and I113T) reveals one property common to these mutants (including two at residues that coordinate the catalytic copper): Each does indeed bind copper and scavenge oxygen-free radicals in vivo. Neither decreased copper binding nor decreased superoxide scavenging activity is a property shared by all mutants. The demonstration that shows that all mutants tested do bind copper under physiologic conditions supports a mechanism of SOD1 mutant-mediated disease arising from aberrant copper-mediated chemistry catalyzed by less tightly folded (and hence less constrained) mutant enzymes. The mutant enzymes also are shown to acquire the catalytic copper in vivo through the action of CCS, a specific copper chaperone for SOD1, which in turn suggests that a search for inhibitors of this SOD1 copper chaperone may represent a therapeutic avenue.

Essays in environmental economic valuation and decision making in the presence of an environmental disaster

The first essay developed a respondent model of Bayesian updating for a double-bound dichotomous choice (DB-DC) contingent valuation methodology. I demonstrated by way of data simulations that current DB-DC identifications of true willingness-to-pay (WTP) may often fail given this respondent Bayesian updating context. Further simulations demonstrated that a simple extension of current DB-DC identifications derived explicitly from the Bayesian updating behavioral model can correct for much of the WTP bias. Additional results provided caution to viewing respondents as acting strategically toward the second bid. Finally, an empirical application confirmed the simulation outcomes. The second essay applied a hedonic property value model to a unique water quality (WQ) dataset for a year-round, urban, and coastal housing market in South Florida, and found evidence that various WQ measures affect waterfront housing prices in this setting. However, the results indicated that this relationship is not consistent across any of the six particular WQ variables used, and is furthermore dependent upon the specific descriptive statistic employed to represent the WQ measure in the empirical analysis. These results continue to underscore the need to better understand both the WQ measure and its statistical form homebuyers use in making their purchase decision. The third essay addressed a limitation to existing hurricane evacuation modeling aspects by developing a dynamic model of hurricane evacuation behavior. A household's evacuation decision was framed as an optimal stopping problem where every potential evacuation time period prior to the actual hurricane landfall, the household's optimal choice is to either evacuate, or to wait one more time period for a revised hurricane forecast. A hypothetical two-period model of evacuation and a realistic multi-period model of evacuation that incorporates actual forecast and evacuation cost data for my designated Gulf of Mexico region were developed for the dynamic analysis. Results from the multi-period model were calibrated with existing evacuation timing data from a number of hurricanes. Given the calibrated dynamic framework, a number of policy questions that plausibly affect the timing of household evacuations were analyzed, and a deeper understanding of existing empirical outcomes in regard to the timing of the evacuation decision was achieved.

Essays in Environmental Economic Valuation and Decision Making in the Presence of an Environmental Disaster

The first essay developed a respondent model of Bayesian updating for a double-bound dichotomous choice (DB-DC) contingent valuation methodology. I demonstrated by way of data simulations that current DB-DC identifications of true willingness-to-pay (WTP) may often fail given this respondent Bayesian updating context. Further simulations demonstrated that a simple extension of current DB-DC identifications derived explicitly from the Bayesian updating behavioral model can correct for much of the WTP bias. Additional results provided caution to viewing respondents as acting strategically toward the second bid. Finally, an empirical application confirmed the simulation outcomes. The second essay applied a hedonic property value model to a unique water quality (WQ) dataset for a year-round, urban, and coastal housing market in South Florida, and found evidence that various WQ measures affect waterfront housing prices in this setting. However, the results indicated that this relationship is not consistent across any of the six particular WQ variables used, and is furthermore dependent upon the specific descriptive statistic employed to represent the WQ measure in the empirical analysis. These results continue to underscore the need to better understand both the WQ measure and its statistical form homebuyers use in making their purchase decision. The third essay addressed a limitation to existing hurricane evacuation modeling aspects by developing a dynamic model of hurricane evacuation behavior. A household’s evacuation decision was framed as an optimal stopping problem where every potential evacuation time period prior to the actual hurricane landfall, the household’s optimal choice is to either evacuate, or to wait one more time period for a revised hurricane forecast. A hypothetical two-period model of evacuation and a realistic multi-period model of evacuation that incorporates actual forecast and evacuation cost data for my designated Gulf of Mexico region were developed for the dynamic analysis. Results from the multi-period model were calibrated with existing evacuation timing data from a number of hurricanes. Given the calibrated dynamic framework, a number of policy questions that plausibly affect the timing of household evacuations were analyzed, and a deeper understanding of existing empirical outcomes in regard to the timing of the evacuation decision was achieved.

Determinantes da utilização de sites de apostas online em Portugal

Com a proliferação da internet assistiu-se desde a década de 90 a um aumento exponencial das casas de jogo online, estando muitas delas traduzidas para português e aceitando euros. Sendo este um tema pouco estudado em Portugal, pretende-se desenvolver e validar um modelo conceptual que reflita os fatores que levam o consumidor a utilizar este tipo de sites. Numa altura em que o governo p g ês p de “ eg iz ” es ivid de, é igualmente interessante perceber qual o perfil do público-alvo, as suas motivações e preferências face à oferta existente. A análise fatorial exploratória, a análise de fiabilidade e os modelos de regressão linear foram as técnicas utilizadas para validar este modelo. Com base num questionário, este estudo mostrou que a expectativa de desempenho, influência social, condições facilitadoras, motivações hedónicas, valor do preço, hábito e o risco psicológico, financeiro e de tempo são fatores determinantes da intenção de utilização de sites de jogo online. Do estudo emergem relevantes implicações académicas e para o mundo empresarial.

Análise comparativa entre a promoção para arrendamento e venda de imóveis de habitação

Dissertação para obtenção do grau de Mestre em Engenharia Civil na Área de Especialização de Edificações

Análise de risco aplicada à coleção de pintura a óleo da “Casa dos Patudos”

Este trabalho teve como principais objetivos a avaliação de risco para a coleção de pinturas a óleo da “Casa dos Patudos” e a proposta de estratégias para mitigar esses riscos. Escolheu-se o modelo de análise de risco Cultural Property Risk Analysis Model ou Modelo de Análise de Risco para Património Cultural, desenvolvido por Robert Waller (2003), por permitir hierarquizar os riscos a que a coleção está sujeita e por já ter sido aplicado com sucesso noutras coleções. Neste trabalho o modelo CPRAM é aplicado pela primeira vez a uma coleção de pintura a óleo em exibição. A metodologia utilizada passou pela caracterização da coleção, o diagnóstico das obras, inspeções ao edifício, conversas informais com os vários funcionários, colocação de armadilhas e determinação das condições ambientais. Verificou-se que os principais agentes de deterioração a que a coleção está exposta estão relacionados com as elevadas flutuações de humidade relativa, forças físicas, a excessiva exposição à luz e a ocorrência de pragas de insetos xilófagos. Desse modo, algumas das soluções propostas passam pela implementação de uma política de controlo integrado de pragas, colocação de filtros UV nas janelas e claraboias e controlo da humidade relativa e temperatura. As vantagens e desvantagens da aplicação deste modelo a esta coleção são aqui discutidos. Um dos desafios deste estudo passou por encontrar um equilíbrio entre o que são as condições ideais de preservação e o que é possível implementar numa casa histórica, ou seja, um local que não foi originalmente concebido para as funções que desempenha atualmente. Neste caso, a estas restrições, adiciona-se ainda as imposições deixadas em testamento pelo proprietário da casa. Embora o trabalho seja aplicado a uma coleção específica, existem muitas outras instituições, com coleções e situações semelhantes, que certamente partilham do mesmo tipo de problemas. Deste modo, espera-se que este trabalho também contribua para a chamada de atenção e melhoramento dos riscos a que essas coleções se encontram expostas.

Caracterización del sector transporte; marítimo, fluvial y aéreo, como un factor importante para el perfil logístico en Colombia

El Proyecto “Caracterización del sector Transporte; marítimo, fluvial y aéreo, como un factor importante para el perfil logístico en Colombia” es un trabajo que tiene como objeto elaborar un documento, que proporcione toda la información necesaria para comprender y analizar el sector a tratar, teniendo en cuenta los factores que influyeron en el proceso de conformación en cada uno de los sistemas de transporte, dando así un punto de partida para entender la situación actual y las posibles fallas a lo largo de todo el proceso logístico que este implica.

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.