Covered interest parity

A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and Economics

Risk parity: True versus naive approach

This paper studies the performance of two different Risk Parity strategies, one from Maillard (2008) and a “naïve” that was already used by market practitioners, against traditional strategies. The tests will compare different regions (US, UK, Germany and Japan) since 1991 to 2013, and will use different ways of volatility. The main findings are that Risk Parity outperforms any traditional strategy, and the “true” (by Maillard) has considerable better results than the “naïve” when using historical volatility, while using EWMA there are significant differences.

Parity and influence of abiotic factors on Anopheles in the Manso dam, State of Mato Grosso, Brazil

Introduction This study examined the parity of Anopheles mosquitoes and the influence of abiotic factors on the distribution of these mosquitoes in the Manso dam, Mato Grosso, Brazil. Methods The anophelines were captured using the Human Attraction Technique for 12 h, while recording the temperature and relative humidity. Parity was determined by examining the conditions of the filaments. Results Anopheles darlingi and Anopheles triannulatus accounted for 98.5% of the anophelines, with 88% of these being parous. Conclusions Sudden variations in weather could be the cause of shifts from the total absence of mosquitoes to the appearance of females in abundance over a three-day period.

Covered interest parity

This report aims to study the evolution of the Covered Interest Rate Parity (CIP) over the course of the last years. With the 2007 financial crisis many fundamental relationships changed, and CIP was not an exception. To infer whether or not this was an isolate event, the behaviour of the CIP during the European Sovereign debt crisis was studied. Currency pairs such as EURUSD showed significant CIP deviations during both crises. This work shows that currently, spreads are mostly explained by counterparty risk and market sentiment factors, which are extremely different factors from the ones explaining the spread during 2003-06. Key

Introducing spin-off stocks into the NSP’s risk parity strategy

Field lab: Nova Student Portfolio

Introducing risk parity on momentum and carry portfolios

The momentum and carry anomalies have been extensively documented in the literature. However, there are still many issues relating to the risks associated to them that are left unexplained. One is the fact that an investor holds for too long the most volatile assets, both under momentum and carry strategies. Therefore, they present a level of risk and a probability of extreme events to happen inconsistent. This work project hypothesizes and proves the introduction of risk parity rules on the weights of the portfolios do increase risk rewarding of carry strategies. However, it fails under momentum strategies.

Seasonality, parity rates and transmission indices of Mansonella ozzardi (Manson) (Nematoda: Onchocercidae) by Cerqueirellum argentiscutum (Shelley & Luna Dias) (Diptera: Simulidae) in a lower Solimões River community, Amazonas, Brazil

Mansonella ozzardi is transmitted by two dipterian families, Ceratopogonidae (midges) and Simuliidae (black flies). In Brazil, black flies are vectors for this filariasis until now. In this paper, we determined the seasonality, parity capacity and parasitic infection rate of Cerqueirellum argentiscutum. The work was carried out in the Porto Japão community, Lower Solimões River, Amazonas, Brazil. Results show that the black flies were more abundant during the rainy season (from December to May). The number of parous flies was higher in every sampling during the course of year. Monthly Biting Rate (MBR1 123742.00, MBR2 86701.50) was high, although Parasitic Infection Rate (PIR1 0.06, PIR2 0.08) and Annual Transmission Potential (ATP 7.25) were low in numbers.

Determination of spin and parity of the Higgs boson in the WW∗→eνμν decay channel with the ATLAS detector

Studies of the spin and parity quantum numbers of the Higgs boson in the WW∗→eνμν final state are presented, based on proton--proton collision data collected by the ATLAS detector at the Large Hadron Collider, corresponding to an integrated luminosity of 20.3 fb−1 at a centre-of-mass energy of s√=8 TeV. The Standard Model spin-parity JCP=0++ hypothesis is compared with alternative hypotheses for both spin and CP. The case where the observed resonance is a mixture of the Standard-Model-like Higgs boson and CP-even (JCP=0++) or CP-odd (JCP=0+−) Higgs boson in scenarios beyond the Standard Model is also studied. The data are found to be consistent with the Standard Model prediction and limits are placed on alternative spin and CP hypotheses, including CP mixing in different scenarios.

Study of the spin and parity of the Higgs boson in diboson decays with the ATLAS detector

Studies of the spin, parity and tensor couplings of the Higgs boson in the H→ZZ∗→4ℓ , H→WW∗→eνμν and H→γγ decay processes at the LHC are presented. The investigations are based on 25 fb−1 of pp collision data collected by the ATLAS experiment at s√=7 TeV and s√=8 TeV. The Standard Model (SM) Higgs boson hypothesis, corresponding to the quantum numbers JP=0+, is tested against several alternative spin scenarios, including non-SM spin-0 and spin-2 models with universal and non-universal couplings to fermions and vector bosons. All tested alternative models are excluded in favour of the SM Higgs boson hypothesis at more than 99.9% confidence level. Using the H→ZZ∗→4ℓ and H→WW∗→eνμν decays, the tensor structure of the HVV interaction in the spin-0 hypothesis is also investigated. The observed distributions of variables sensitive to the non-SM tensor couplings are compatible with the SM predictions and constraints on the non-SM couplings are derived.

24-h urinary free cortisol from mid-pregnancy to 3-months postpartum: gender and parity differences and effects

Background: Pregnancy and postpartum have been associated to several physiological changes;however, empirical evidence was almost exclusively obtained in primiparous women and few studies focus on hormonal changes in men and second-time parents. The main aim of this study is to examine 24-h urinary free cortisol from mid-pregnancy to 3-months postpartum, comparing women/men and first/second-time parents.Methods: Twenty-six women and 22 men (N = 48) were recruited from an antenatal obstetric unit in Porto, Portugal. 24-h urinary free cortisol was measured at the 2nd and 3rd trimester and at 3-months postpartum. Repeated measures analyses of variance were conducted, in order to analyze 24-h urinary free cortisol patterns of change over this period. Gender and parity were included in the analyses as potential modifiers, in order to compare women and men, and first-and second-time parents.Results: An increase from the 2nd to the 3rd trimester (p = .006) and a decrease from the 3rd trimester to 3-months postpartum (p = .005) were reported in all parents’ 24-h urinary free cortisol. The interaction effects for Time * Gender (p = .03) and Time * Parity (p = .02) were found. Women and first-time parents revealed higher levels, while men and second-time parents showed lower 24-h urinary free cortisol levels at the 2nd trimester than at 3-months postpartum.Conclusions: Findings appear to clarify the direction, as well as, the timing, gender and parity extension of 24-h urinary free cortisol changes from mid-pregnancy to 3-months postpartum.The same pattern of change in all parents’ 24-h urinary free cortisol from mid-pregnancy to 3-months postpartum is consistent with the proposed role of hormones in preparation to parenting.

Anxiety and depression symptoms in women and men from early pregnancy to 3-months postpartum: parity differences and effects

This study aimed to investigate both anxiety and depression symptoms from early pregnancy to 3-months postpartum, comparing women and men and first and second-time parents. Methods: A sample of 260 Portuguese couples (N=520), first or second-time parents, recruited in an Obstetrics Out-patients Unit, filled in the State-Anxiety Inventory (STAI-S) and the Edinburgh Post-Natal Depression Scale (EPDS) at the 1st, 2nd and 3rd pregnancy trimesters, childbirth, and 3-months postpartum. Results: A decrease in anxiety and depression symptoms from early pregnancy to 3-months postpartum was found in both women and men, as well as in first and second-time parents. Men presented less anxiety and depression symptoms than women, but the same pattern of symptoms over time. Second-time parents showed more anxiety and depression symptoms than first-time parents and a different pattern of symptoms over time: an increase in anxiety and depression symptoms from the 3rd trimester to childbirth was observed in first-time parents versus a decrease in second-time parents. Limitations: The voluntary nature of the participation may have lead to a selection bias; women and men who agreed to participate could be those who presented fewer anxiety and depression symptoms. Moreover, the use of self-report symptom measures does not give us the level of possible disorder in participants. Conclusions: Anxiety and depression symptoms diminish from pregnancy to the postpartum period in all parents. Patterns of anxiety and depression symptoms from early pregnancy to 3-months postpartum are similar in women and men, but somewhat different in first and second time parents. Second-time parents should also be considered while studying and intervening during pregnancy and the postpartum.

Price level convergence, purchasing power parity and multiple structural breaks: an application to US cities

This article provides a fresh methodological and empirical approach for assessing price level convergence and its relation to purchasing power parity (PPP) using annual price data for seventeen US cities. We suggest a new procedure that can handle a wide range of PPP concepts in the presence of multiple structural breaks using all possible pairs of real exchange rates. To deal with cross-sectional dependence, we use both cross-sectional demeaned data and a parametric bootstrap approach. In general, we find more evidence for stationarity when the parity restriction is not imposed, while imposing parity restriction provides leads toward the rejection of the panel stationar- ity. Our results can be embedded on the view of the Balassa-Samuelson approach, but where the slope of the time trend is allowed to change in the long-run. The median half-life point estimate are found to be lower than the consensus view regardless of the parity restriction.

New evidence of the real interest rate parity for OECD countries using panel unit root tests with breaks

This paper tests for real interest parity (RIRP) among the nineteen major OECD countries over the period 1978:Q2-1998:Q4. The econometric methods applied consist of combining the use of several unit root or stationarity tests designed for panels valid under cross-section dependence and presence of multiple structural breaks. Our results strongly support the fulfillment of the weak version of the RIRP for the studied period once dependence and structural breaks are accounted for.

A New Test of the Real Interest Rate Parity Hypothesis: Bounds Approach and Structural Breaks

We test the real interest rate parity hypothesis using data for the G7 countries over the period 1970-2008. Our contribution is two-fold. First, we utilize the ARDL bounds approach of Pesaran et al. (2001) which allows us to overcome uncertainty about the order of integration of real interest rates. Second, we test for structural breaks in the underlying relationship using the multiple structural breaks test of Bai and Perron (1998, 2003). Our results indicate significant parameter instability and suggest that, despite the advances in economic and financial integration, real interest rate parity has not fully recovered from a breakdown in the 1980s.

Fecundity, parity, and adult feeding relationships among Nyssorhynchus malaria vectors from Venezuela

Relative to their pre-engorgement weights, nulliparous Anopheles nuneztovari consumed significantly smaller blood meals than A. marajoara, A. triannulatus or A. aquasalis. When females were deprived of sugar before blood feeding, only one-quarter of A. nuneztovari, but more than two-thirds of A. marajoara, A. triannulatus and A. aquasalis matured eggs. Sugar feeding before blood, or two sucessive blood meals by sugar-deprived females, increased the proportion of nulliparous a. nuneztovari which developed eggs, but not significantly so. Nearly all individuals of nulliparous, sugar-fed A. marajoara, A. triannulatus and A. aquasalis matured eggs after one blood feeding. Among A. nuneztovari, A. marajoara and A. aquasalis that matured some eggs in the laboratory, there were no positive correlations between the number of eggs developed and relative vlood mealsize. However, blood meals larger than the mean size significantly increased the chance that A. nuneztovari would develop some eggs. Mean fecundities of gravid A. nuneztovari and A. marajoara reared in the laboratory were significantly lower than those of the same species captured at human bait in nature. Post-engorgement access to sugar by A. nuneztovari (captured at human bait) did not influence fecundity, but significantly enhanced survivorship and the proporticon of individuals which retained eggs. Release-recapture experiments revealed that relatively small blood meals are typical of A. nuneztovari only during the first gonotrophic cycle. We suggest that multiple blood feeding, seemingly necessary for most A. nuneztovari to develop a first clutch of eggs, may increase the probability of infection with Plasmodium vivax where this mosquito species is a primary vector.