Cálculo do Value at Risk (VaR) para o Ibovespa, pós crise de 2008, por meio dos modelos de heterocedasticidade condicional (GARCH) e de volatilidade estocástica (Local Scale Model - LSM)

O objetivo deste estudo é propor a implementação de um modelo estatístico para cálculo da volatilidade, não difundido na literatura brasileira, o modelo de escala local (LSM), apresentando suas vantagens e desvantagens em relação aos modelos habitualmente utilizados para mensuração de risco. Para estimação dos parâmetros serão usadas as cotações diárias do Ibovespa, no período de janeiro de 2009 a dezembro de 2014, e para a aferição da acurácia empírica dos modelos serão realizados testes fora da amostra, comparando os VaR obtidos para o período de janeiro a dezembro de 2014. Foram introduzidas variáveis explicativas na tentativa de aprimorar os modelos e optou-se pelo correspondente americano do Ibovespa, o índice Dow Jones, por ter apresentado propriedades como: alta correlação, causalidade no sentido de Granger, e razão de log-verossimilhança significativa. Uma das inovações do modelo de escala local é não utilizar diretamente a variância, mas sim a sua recíproca, chamada de “precisão” da série, que segue uma espécie de passeio aleatório multiplicativo. O LSM captou todos os fatos estilizados das séries financeiras, e os resultados foram favoráveis a sua utilização, logo, o modelo torna-se uma alternativa de especificação eficiente e parcimoniosa para estimar e prever volatilidade, na medida em que possui apenas um parâmetro a ser estimado, o que representa uma mudança de paradigma em relação aos modelos de heterocedasticidade condicional.

Finite element simulation of a local scale air quality model over complex terrain

[EN]In this paper we propose a finite element method approach for modelling the air quality in a local scale over complex terrain. The area of interest is up to tens of kilometres and it includes pollutant sources. The proposed methodology involves the generation of an adaptive tetrahedral mesh, the computation of an ambient wind field, the inclusion of the plume rise effect in the wind field, and the simulation of transport and reaction of pollutants. We apply our methodology to simulate a fictitious pollution episode in La Palma island (Canary Island, Spain)...

Local scale finite element modelling of stack pollutant emissions

Congresos y conferencias

Local scale air quality model with several pollutant sources

[EN]This paper shows a finite element method for pollutant transport with several pollutant sources. An Eulerian convection–diffusion–reaction model to simulate the pollutant dispersion is used. The discretization of the different sources allows to impose the emissions as boundary conditions. The Eulerian description can deal with the coupling of several plumes. An adaptive stabilized finite element formulation, specifically Least-Squares, with a Crank-Nicolson temporal integration is proposed to solve the problem. An splitting scheme has been used to treat separately the transport and the reaction. A mass-consistent model has been used to compute the wind field of the problem…

Large scale variation in Enterococcus faecalis illustrated by the genome analysis of strain OG1RF.

BACKGROUND: Enterococcus faecalis has emerged as a major hospital pathogen. To explore its diversity, we sequenced E. faecalis strain OG1RF, which is commonly used for molecular manipulation and virulence studies. RESULTS: The 2,739,625 base pair chromosome of OG1RF was found to contain approximately 232 kilobases unique to this strain compared to V583, the only publicly available sequenced strain. Almost no mobile genetic elements were found in OG1RF. The 64 areas of divergence were classified into three categories. First, OG1RF carries 39 unique regions, including 2 CRISPR loci and a new WxL locus. Second, we found nine replacements where a sequence specific to V583 was substituted by a sequence specific to OG1RF. For example, the iol operon of OG1RF replaces a possible prophage and the vanB transposon in V583. Finally, we found 16 regions that were present in V583 but missing from OG1RF, including the proposed pathogenicity island, several probable prophages, and the cpsCDEFGHIJK capsular polysaccharide operon. OG1RF was more rapidly but less frequently lethal than V583 in the mouse peritonitis model and considerably outcompeted V583 in a murine model of urinary tract infections. CONCLUSION: E. faecalis OG1RF carries a number of unique loci compared to V583, but the almost complete lack of mobile genetic elements demonstrates that this is not a defining feature of the species. Additionally, OG1RF's effects in experimental models suggest that mediators of virulence may be diverse between different E. faecalis strains and that virulence is not dependent on the presence of mobile genetic elements.

Contextualizing local-scale point sample data using global-scale spatial datasets: Lessons learnt from the analysis of large-scale land acquisitions

This paper examines how the geospatial accuracy of samples and sample size influence conclusions from geospatial analyses. It does so using the example of a study investigating the global phenomenon of large-scale land acquisitions and the socio-ecological characteristics of the areas they target. First, we analysed land deal datasets of varying geospatial accuracy and varying sizes and compared the results in terms of land cover, population density, and two indicators for agricultural potential: yield gap and availability of uncultivated land that is suitable for rainfed agriculture. We found that an increase in geospatial accuracy led to a substantial and greater change in conclusions about the land cover types targeted than an increase in sample size, suggesting that using a sample of higher geospatial accuracy does more to improve results than using a larger sample. The same finding emerged for population density, yield gap, and the availability of uncultivated land suitable for rainfed agriculture. Furthermore, the statistical median proved to be more consistent than the mean when comparing the descriptive statistics for datasets of different geospatial accuracy. Second, we analysed effects of geospatial accuracy on estimations regarding the potential for advancing agricultural development in target contexts. Our results show that the target contexts of the majority of land deals in our sample whose geolocation is known with a high level of accuracy contain smaller amounts of suitable, but uncultivated land than regional- and national-scale averages suggest. Consequently, the more target contexts vary within a country, the more detailed the spatial scale of analysis has to be in order to draw meaningful conclusions about the phenomena under investigation. We therefore advise against using national-scale statistics to approximate or characterize phenomena that have a local-scale impact, particularly if key indicators vary widely within a country.

Small-scale variation of vegetation in a mixed forest understorey is partly controlled by the effect of overstory composition on litter accumulation

We investigated how richness and composition of vascular plant species in the understory of a mixed hardwood forest stand varied with respect to the abundance and composition of the overstory. The stand is in central Spain and represents the southernmost range of distribution of several tree and herbaceous species in Europe. Understory species were identified in 46 quadrats (0.25 m2) where variables litter depth and light availability were measured. In addition, we estimated tree density, basal area, and percent basal area by tree species within 6-m-radius areas around each plot. Species richness and composition were studied using path analysis and scale-dependent geostatistical methods, respectively. We found that the relative abundance of certain trees species in the overstory was more important than total overstory abundance in explaining understory species richness. Richness decreased as soil litter depth increased, and soil litter increased as the relative proportion of Fagus sylvatica in the overstory increased, which accounted for a negative, indirect effect of Fagus sylvatica on richness. Regarding understory species composition, we found that some species distributed preferentially below certain tree species. For example, Melica uniflora was most frequent below Fagus sylvatica and Quercus petraea while the increasing proportion of Q. pyrenaica in the overstory favored the presence of Cruciata glabra, Arenaria montana, Prunus avium, Conopodium bourgaei, Holcus mollis, Stellaria media and Galium aparine in the understory. Overall, these results emphasize the importance of individual tree species in controlling the assemblage and richness of understory species in mixed stands. We conclude that soil litter accumulation is one way through which overstory composition shapes the understory community.

Decoding urban landscapes through the analysis of place names and imaginaries at a local scale.

Toponomastics is increasingly interested in the subjective role of place names in quotidian life. In the frame of Urban Geography, the interest in this matter is currently growing, as the recently change in modes of habitation has urged our discipline to find new ways of exploring the cities. In this context, the study of how name's significance is connected to a urban society constitutes a very interesting approach. We believe in the importance of place names as tools for decoding urban areas and societies at a local-scale. This consideration has been frequently taken into account in the analysis of exonyms, although in their case they are not exempt of political and practical implications that prevail over the tool function. The study of toponomastic processes helps us understanding how the city works, by analyzing the liaison between urban landscape, imaginaries and toponyms which is reflected in the scarcity of some names, in the biased creation of new toponyms and in the pressure exercised over every place name by tourists, residents and local government for changing, maintaining or eliminating them. Our study-case, Toledo, is one of the oldest cities in Spain, full of myths, stories and histories that can only be understood combined with processes of internal evolution of the city linked to the arrival of new residents and the more and more notorious change of its historical landscape. At a local scale, we are willing to decode the information which is contained in its toponyms about its landscape and its society.

Longitudinal distribution and seasonality of macroalgae in a subtropical stream impacted by organic pollution

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Partitioning the variation in stream fish assemblages within a spatio-temporal hierarchy

This paper describes the relative influence of: (i) landscape scale environmental and hydrological factors; (ii) local scale environmental conditions including recent flow history, and; (iii) spatial effects (proximity of sites to one another) on the spatial and temporal variation in local freshwater fish assemblages in the Mary River, south-eastern Queensland, Australia. Using canonical correspondence analysis, each of the three sets of variables explained similar amounts of variation in fish assemblages (ranging from 44 to 52%). Variation in fish assemblages was partitioned into eight unique components: pure environmental, pure spatial, pure temporal, spatially structured environmental variation, temporally structured environmental variation, spatially structured temporal variation, the combined spatial/temporal component of environmental variation and unexplained variation. The total variation explained by these components was 65%. The combined spatial/temporal/environmental component explained the largest component (30%) of the total variation in fish assemblages, whereas pure environmental (6%), temporal (9%) and spatial (2%) effects were relatively unimportant. The high degree of intercorrelation between the three different groups of explanatory variables indicates that our understanding of the importance to fish assemblages of hydrological variation (often highlighted as the major structuring force in river systems) is dependent on the environmental context in which this role is examined.

Buffel grass in Queensland's semi-arid woodlands: response to local and landscape scale variables, and relationship with grass, forb and reptile species.

Buffel grass [Pennisetum ciliare (L.) Link] has been widely introduced in the Australian rangelands as a consequence of its value for productive grazing, but tends to competitively establish in non-target areas such as remnant vegetation. In this study, we examined the influence landscape-scale and local-scale variables had upon the distribution of buffel grass in remnant poplar box (Eucalyptus populnea F. Muell.) dominant woodland fragments in the Brigalow Bioregion, Queensland. Buffel grass and variables thought to influence its distribution in the region were measured at 60 sites, which were selected based on the amount of native woodland retained in the landscape and patch size. An information-theoretic modelling approach and hierarchical partitioning revealed that the most influential variable was the percent of retained vegetation within a 1-km spatial extent. From this, we identified a critical threshold of similar to 30% retained vegetation in the landscape, above which the model predicted buffel grass was not likely to occur in a woodland fragment. Other explanatory variables in the model were site based, and included litter cover and long-term rainfall. Given the paucity of information on the effect of buffel grass upon biodiversity values, we undertook exploratory analyses to determine whether buffel grass cover influenced the distribution of grass, forb and reptile species. We detected some trends; hierarchical partitioning revealed that buffel grass cover was the most important explanatory variable describing habitat preferences of four reptile species. However, establishing causal links - particularly between native grass and forb species and buffel grass - was problematic owing to possible confounding with grazing pressure. We conclude with a set of management recommendations aimed at reducing the spread of buffel grass into remnant woodlands.

Local spatial structure of forest biomass and its consequences for remote sensing of carbon stocks

Advances in forest carbon mapping have the potential to greatly reduce uncertainties in the global carbon budget and to facilitate effective emissions mitigation strategies such as REDD+ (Reducing Emissions from Deforestation and Forest Degradation). Though broad-scale mapping is based primarily on remote sensing data, the accuracy of resulting forest carbon stock estimates depends critically on the quality of field measurements and calibration procedures. The mismatch in spatial scales between field inventory plots and larger pixels of current and planned remote sensing products for forest biomass mapping is of particular concern, as it has the potential to introduce errors, especially if forest biomass shows strong local spatial variation. Here, we used 30 large (8-50 ha) globally distributed permanent forest plots to quantify the spatial variability in aboveground biomass density (AGBD in Mgha(-1)) at spatial scales ranging from 5 to 250m (0.025-6.25 ha), and to evaluate the implications of this variability for calibrating remote sensing products using simulated remote sensing footprints. We found that local spatial variability in AGBD is large for standard plot sizes, averaging 46.3% for replicate 0.1 ha subplots within a single large plot, and 16.6% for 1 ha subplots. AGBD showed weak spatial autocorrelation at distances of 20-400 m, with autocorrelation higher in sites with higher topographic variability and statistically significant in half of the sites. We further show that when field calibration plots are smaller than the remote sensing pixels, the high local spatial variability in AGBD leads to a substantial ``dilution'' bias in calibration parameters, a bias that cannot be removed with standard statistical methods. Our results suggest that topography should be explicitly accounted for in future sampling strategies and that much care must be taken in designing calibration schemes if remote sensing of forest carbon is to achieve its promise.

Patterns of genetic variation in the endangered European mink (Mustela lutreola L., 1761)

Background: The European mink (Mustela lutreola, L. 1761) is a critically endangered mustelid, which inhabits several main river drainages in Europe. Here, we assess the genetic variation of existing populations of this species, including new sampling sites and additional molecular markers (newly developed microsatellite loci specific to European mink) as compared to previous studies. Probabilistic analyses were used to examine genetic structure within and between existing populations, and to infer phylogeographic processes and past demography. Results: According to both mitochondrial and nuclear microsatellite markers, Northeastern (Russia, Estonia and Belarus) and Southeastern (Romania) European populations showed the highest intraspecific diversity. In contrast, Western European (France and Spain) populations were the least polymorphic, featuring a unique mitochondrial DNA haplotype. The high differentiation values detected between Eastern and Western European populations could be the result of genetic drift in the latter due to population isolation and reduction. Genetic differences among populations were further supported by Bayesian clustering and two main groups were confirmed (Eastern vs. Western Europe) along with two contained subgroups at a more local scale (Northeastern vs. Southeastern Europe; France vs. Spain). Conclusions: Genetic data and performed analyses support a historical scenario of stable European mink populations, not affected by Quaternary climate oscillations in the Late Pleistocene, and posterior expansion events following river connections in both North-and Southeastern European populations. This suggests an eastern refuge during glacial maxima (as already proposed for boreal and continental species). In contrast, Western Europe was colonised more recently following either natural expansions or putative human introductions. Low levels of genetic diversity observed within each studied population suggest recent bottleneck events and stress the urgent need for conservation measures to counteract the demographic decline experienced by the European mink.