Essays on the term structure of interest rates

This PhD thesis contains three main chapters on macro finance, with a focus on the term structure of interest rates and the applications of state-of-the-art Bayesian econometrics. Except for Chapter 1 and Chapter 5, which set out the general introduction and conclusion, each of the chapters can be considered as a standalone piece of work. In Chapter 2, we model and predict the term structure of US interest rates in a data rich environment. We allow the model dimension and parameters to change over time, accounting for model uncertainty and sudden structural changes. The proposed timevarying parameter Nelson-Siegel Dynamic Model Averaging (DMA) predicts yields better than standard benchmarks. DMA performs better since it incorporates more macro-finance information during recessions. The proposed method allows us to estimate plausible realtime term premia, whose countercyclicality weakened during the financial crisis. Chapter 3 investigates global term structure dynamics using a Bayesian hierarchical factor model augmented with macroeconomic fundamentals. More than half of the variation in the bond yields of seven advanced economies is due to global co-movement. Our results suggest that global inflation is the most important factor among global macro fundamentals. Non-fundamental factors are essential in driving global co-movements, and are closely related to sentiment and economic uncertainty. Lastly, we analyze asymmetric spillovers in global bond markets connected to diverging monetary policies. Chapter 4 proposes a no-arbitrage framework of term structure modeling with learning and model uncertainty. The representative agent considers parameter instability, as well as the uncertainty in learning speed and model restrictions. The empirical evidence shows that apart from observational variance, parameter instability is the dominant source of predictive variance when compared with uncertainty in learning speed or model restrictions. When accounting for ambiguity aversion, the out-of-sample predictability of excess returns implied by the learning model can be translated into significant and consistent economic gains over the Expectations Hypothesis benchmark.

Essays on the term structure of interest rates

This PhD thesis contains three main chapters on macro finance, with a focus on the term structure of interest rates and the applications of state-of-the-art Bayesian econometrics. Except for Chapter 1 and Chapter 5, which set out the general introduction and conclusion, each of the chapters can be considered as a standalone piece of work. In Chapter 2, we model and predict the term structure of US interest rates in a data rich environment. We allow the model dimension and parameters to change over time, accounting for model uncertainty and sudden structural changes. The proposed time-varying parameter Nelson-Siegel Dynamic Model Averaging (DMA) predicts yields better than standard benchmarks. DMA performs better since it incorporates more macro-finance information during recessions. The proposed method allows us to estimate plausible real-time term premia, whose countercyclicality weakened during the financial crisis. Chapter 3 investigates global term structure dynamics using a Bayesian hierarchical factor model augmented with macroeconomic fundamentals. More than half of the variation in the bond yields of seven advanced economies is due to global co-movement. Our results suggest that global inflation is the most important factor among global macro fundamentals. Non-fundamental factors are essential in driving global co-movements, and are closely related to sentiment and economic uncertainty. Lastly, we analyze asymmetric spillovers in global bond markets connected to diverging monetary policies. Chapter 4 proposes a no-arbitrage framework of term structure modeling with learning and model uncertainty. The representative agent considers parameter instability, as well as the uncertainty in learning speed and model restrictions. The empirical evidence shows that apart from observational variance, parameter instability is the dominant source of predictive variance when compared with uncertainty in learning speed or model restrictions. When accounting for ambiguity aversion, the out-of-sample predictability of excess returns implied by the learning model can be translated into significant and consistent economic gains over the Expectations Hypothesis benchmark.

Three dimensional numerical simulation of thermohaline currents of the Persian Gulf

Observational data and a three dimensional numerical model (POM) are used to investigate the Persian Gulf outflow structure and its spreading pathway into the Oman Sea. The model is based on orthogonal curvilinear coordinate system in horizontal and train following coordinate (sigma coordinate) system in vertical. In the simulation, the horizontal diffusivity coefficients are calculated form Smogorinsky diffusivity formula and the eddy vertical diffusivities are obtained from a second turbulence closure model (namely Mellor-Yamada level 2.5 model of turbulence). The modeling area includes the east of the Persian Gulf, the Oman Sea and a part of the north-east of the Indian Ocean. In the model, the horizontal grid spacing was assumed to be about 3.5 km and the number of vertical levels was set to 32. The simulations show that the mean salinity of the PG outflow does not change substantially during the year and is about 39 psu, while its temperature exhibits seasonal variations. These lead to variations in outflow density in a way that is has its maximum density in late winter (March) and its minimum in mid-summer (August). At the entrance to the Oman Sea, the PG outflow turns to the right due to Coriolis Effect and falls down on the continental slope until it gains its equilibrium depth. The highest density of the outflow during March causes it to sink more into the deeper depths in contrast to that of August which the density is the lowest one. Hence, the neutral buoyancy depths of the outflow are about 500 m and 250 m for March and August respectively. Then, the outflow spreads in its equilibrium depths in the Oman Sea in vicinity of western and southern boundaries until it approach the Ras al Hamra Cape where the water depth suddenly begins to increase. Therefore, during March, the outflow that is deeper and wider relative to August, is more affected by the steep slope topography and as a result of vortex stretching mechanism and conservation of potential vorticity it separates from the lateral boundaries and finally forms an anti-cyclonic eddy in the Oman Sea. But during August the outflow moves as before in vicinity of lateral boundaries. In addition, the interaction of the PG outflow with tide in the Strait of Hormuz leads to intermittency in outflow movement into the Oman Sea and it could be the major reason for generations of Peddy (Peddies) in the Oman Sea.

Reforço sísmico de estruturas em adobe

A construção em alvenaria de adobe tem um vasto património a nível mundial. É possível encontrar construção em terra no nosso território, sendo que a técnica particular do adobe foi amplamente utilizada na região de Aveiro durante o século XIX até meados do século XX. Devido à tradição e valor patrimonial da construção em alvenaria de adobe, diversos trabalhos têm vindo a ser desenvolvidos no departamento de Engenharia Civil da Universidade de Aveiro, perspetivando um aprofundar de conhecimentos acerca deste tipo de construção. A vulnerabilidade sísmica das construções em alvenaria de adobe fez com que surgissem vários estudos para caracterização sísmica das mesmas, sendo que, recentemente, foi levada a cabo a realização de um ensaio cíclico, simulando os efeitos de um sismo, num modelo de adobe à escala real, construído no laboratório do departamento de Engenharia Civil da Universidade de Aveiro. A presente dissertação tem como objetivo estudar formas de reparação e reforço sísmico de estruturas em adobe. Para isso foi reparado e reforçado o modelo previamente ensaiado, e novamente submetido a um ensaio cíclico, de modo a fazer-se uma análise comparativa com o ensaio prévio e assim retirar conclusões sobre a eficácia da solução de reforço aplicada.

Optimization of the Ion Source-Mass Spectrometry Parameters in Non-Steroidal Anti-Inflammatory and Analgesic Pharmaceuticals Analysis by a Design of Experiments Approach

The flow rates of drying and nebulizing gas, heat block and desolvation line temperatures and interface voltage are potential electrospray ionization parameters as they may enhance sensitivity of the mass spectrometer. The conditions that give higher sensitivity of 13 pharmaceuticals were explored. First, Plackett-Burman design was implemented to screen significant factors, and it was concluded that interface voltage and nebulizing gas flow were the only factors that influence the intensity signal for all pharmaceuticals. This fractionated factorial design was projected to set a full 2(2) factorial design with center points. The lack-of-fit test proved to be significant. Then, a central composite face-centered design was conducted. Finally, a stepwise multiple linear regression and subsequently an optimization problem solving were carried out. Two main drug clusters were found concerning the signal intensities of all runs of the augmented factorial design. p-Aminophenol, salicylic acid, and nimesulide constitute one cluster as a result of showing much higher sensitivity than the remaining drugs. The other cluster is more homogeneous with some sub-clusters comprising one pharmaceutical and its respective metabolite. It was observed that instrumental signal increased when both significant factors increased with maximum signal occurring when both codified factors are set at level +1. It was also found that, for most of the pharmaceuticals, interface voltage influences the intensity of the instrument more than the nebulizing gas flowrate. The only exceptions refer to nimesulide where the relative importance of the factors is reversed and still salicylic acid where both factors equally influence the instrumental signal. Graphical Abstract ᅟ.

Zastosowanie modelu hantli w badaniach właściwości fizykochemicznych i strukturalnych układów homo- i heterogenicznych metodą Monte Carlo

Wydział Chemii

Healing effect of Terminalia chebula Retz extract on second-degree burns in rats

Purpose: To investigate the healing effect of Terminalia chebula Retz Extract (TCRE) on seconddegree burns in rats. Methods: Male Sprague Dawley (SD) rats, weighing 200 – 220 g, were subjected to deep seconddegree skin burns by electrical scald instrument. The animals were divided into three groups as follows: (1) second-degree burns model (control) group, (2) burns model treated with 1 % silver sulfadiazine (SSD) group, and (3) burns model treated with 100 mg·mL-1 TCRE group. On days 3, 7 and 14 following the administration of the drug/extract, the wound area and histopathological changes in rat epidermis were evaluated for the various groups. The minimum inhibitory concentration (MIC) of TCRE on Staphyloccocus aureus, Pseudomonas aeruginosa and Escherichia coli were also assessed separately. Results: On day 14, the mean wound area of TCRE treatment group (0.25 ± 0.06 cm2) was significantly smaller than that of the control rats (2.71 ± 0.20 cm2, p < 0.01). The histological results indicate that the inflammatory cells disappeared and were replaced by new granulation tissue in the group treated with 100 mg·mL-1 TCRE by day 14. Compared with SSD group rats, the inflammatory cells and fibroblast and granulation tissues of burnt rats treated with 100 mg·mL-1 TCRE were same as those of rats that had no burns. The antibacterial results revealed that the MIC of TCRE on Staphyloccocus aureus, Pseudomonas aeruginosa and Escherichia coli was 3.13, 12.5 and 6.25 mg·mL-1, respectively. Conclusion: Terminalia chebula Retz. has potentials to be developed as an effective medicinal herb for the treatment of second-degree burns.

Avaliação da biodegradabilidade de petróleo utilizando microrganismos isolados do estuário do Rio Potengi (RN)

The oil activity in the Rio Grande do Norte State (RN) is a permanent threat to coastal ecosystems, particularly mangroves, with the possibility of oil spills. In this context, the objective of this study was to evaluate the potential resistance of the mangrove environment of a possible spill. Were selected and isolated microorganisms degrading oil by the technique of enrichment cultures and formation of a bacterial consortium. The kinetic study of the consortium was held in rotary incubator shaken at 150 rpm and 30° C. Samples were taken at intervals of 4 hours for analysis of cell concentration and surface tension. The biodegradation was monitored using two methods of respirometry: manometric (OxiTop-C ®) and conductivimetry, where the biodegradation of oil was estimated indirectly by oxygen consumption and CO2 production, respectively. Furthermore, it was used a full 2² factorial design with triplicate at central point to the runs that used the conductivimetric methodology.. The technique of enrichment cultures allowed to obtain thirteen bacterial strains. Kinetic study of the consortium, we can showed the absence of the lag phase, reaching a maximum cell concentration of 2.55 g / L at 16 h of cultivation and a reduction on surface tension. When we adopted the methodology of OxiTop-C was detected a band indicating biodegradability (1% oil v/v), however when we used the conductivimetry methodology did not observe any band that would indicate effective biodegradation. By monitoring a process of biodegradation is necessary to observe the methodology will be adopted to evaluate the biodegradation process, since for the same conditions adopted different methodologies can produce different results. The oil-degrading isolates from soils of the mangrove estuary Potengi / RN are largely to be used in bioremediation strategies of these places, in the case of a possible oil spill, or it can be used in the treatment of waste oil generated in saline environments, since they are optimized the conditions of the tests so that the efficiency of biodegradation reach the minimum level suggested by the standarts

Estudo do processo de combustão in-situ usando poços horizontais como produtores de óleo (Toe-to-Hell Air Injection)

The method "toe-to-heel air injection" (THAITM) is a process of enhanced oil recovery, which is the integration of in-situ combustion with technological advances in drilling horizontal wells. This method uses horizontal wells as producers of oil, keeping vertical injection wells to inject air. This process has not yet been applied in Brazil, making it necessary, evaluation of these new technologies applied to local realities, therefore, this study aimed to perform a parametric study of the combustion process with in-situ oil production in horizontal wells, using a semi synthetic reservoir, with characteristics of the Brazilian Northeast basin. The simulations were performed in a commercial software "STARS" (Steam, Thermal, and Advanced Processes Reservoir Simulator), from CMG (Computer Modelling Group). The following operating parameters were analyzed: air rate, configuration of producer wells and oxygen concentration. A sensitivity study on cumulative oil (Np) was performed with the technique of experimental design, with a mixed model of two and three levels (32x22), a total of 36 runs. Also, it was done a technical economic estimative for each model of fluid. The results showed that injection rate was the most influence parameter on oil recovery, for both studied models, well arrangement depends on fluid model, and oxygen concentration favors recovery oil. The process can be profitable depends on air rate

Modélisation pharmacocinétique en imagerie par résonance magnétique et en tomographie d’émission par positrons appliquée à un modèle de glioblastome chez le rat

Résumé : En imagerie médicale, il est courant d’associer plusieurs modalités afin de tirer profit des renseignements complémentaires qu’elles fournissent. Par exemple, la tomographie d’émission par positrons (TEP) peut être combinée à l’imagerie par résonance magnétique (IRM) pour obtenir à la fois des renseignements sur les processus biologiques et sur l’anatomie du sujet. Le but de ce projet est d’explorer les synergies entre l’IRM et la TEP dans le cadre d’analyses pharmacocinétiques. Plus spécifiquement, d’exploiter la haute résolution spatiale et les renseignements sur la perfusion et la perméabilité vasculaire fournis par l’IRM dynamique avec agent de contraste afin de mieux évaluer ces mêmes paramètres pour un radiotraceur TEP injecté peu de temps après. L’évaluation précise des paramètres de perfusion du radiotraceur devrait permettre de mieux quantifier le métabolisme et de distinguer l’accumulation spécifique et non spécifique. Les travaux ont porté sur deux radiotraceurs de TEP (18F-fluorodésoxyglucose [FDG] et 18F-fluoroéthyle-tyrosine [FET]) ainsi que sur un agent de contraste d’IRM (acide gadopentétique [Gd DTPA]) dans un modèle de glioblastome chez le rat. Les images ont été acquises séquentiellement, en IRM, puis en TEP, et des prélèvements sanguins ont été effectués afin d’obtenir une fonction d’entrée artérielle (AIF) pour chaque molécule. Par la suite, les images obtenues avec chaque modalité ont été recalées et l’analyse pharmacocinétique a été effectuée par régions d’intérêt (ROI) et par voxel. Pour le FDG, un modèle irréversible à 3 compartiments (2 tissus) a été utilisé conformément à la littérature. Pour la FET, il a été déterminé qu’un modèle irréversible à 2 tissus pouvait être appliqué au cerveau et à la tumeur, alors qu’un modèle réversible à 2 tissus convenait aux muscles. La possibilité d’effectuer une conversion d’AIF (sanguine ou dérivée de l’image) entre le Gd DTPA et la FET, ou vice versa, a aussi été étudiée et s’est avérée faisable dans le cas des AIF sanguines obtenues à partir de l’artère caudale, comme c’est le cas pour le FDG. Finalement, l’analyse pharmacocinétique combinée IRM et TEP a relevé un lien entre la perfusion du Gd-DTPA et du FDG, ou de la FET, pour les muscles, mais elle a démontré des disparités importantes dans la tumeur. Ces résultats soulignent la complexité du microenvironnement tumoral (p. ex. coexistence de divers modes de transport pour une même molécule) et les nombreux défis rencontrées lors de sa caractérisation chez le petit animal.

Relación entre la calificación de los elementos de un sistema de gestión y los indicadores de accidentalidad en empresas del sector de la construcción en Colombia

El presente estudio tiene como objetivo determinar la relación que existe entre la implementación de un sistema de gestión de seguridad y salud en el trabajo (SGSST), y la frecuencia y la severidad de la accidentalidad en la industria de la construcción en Colombia. Para ello se seleccionaron 35 empresas que realizan actividades relacionadas con la edificación, infraestructura e interventoría, que hubiesen implementado un SGSST para la intervención de los riesgos de accidentes y que contaran con la evaluación del mismo. La evaluación del SGSST está enmarcada en cinco dimensiones o criterios: planeación, política, implementación, manejo integral del accidente y revisión por la gerencia. Cada una evaluada a través de diferentes requisitos y se presentan en una escala de 1 a 10, siendo 10 el nivel más alto del cumplimiento por requisito. Teniendo los resultados de esta calificación, la tasa (proporción entre los accidentes reportados y los trabajadores de cada empresa) y los días de incapacidad (ausentismo por accidente de trabajo), se realizó un análisis de las medidas descriptivas consolidado por las empresas del estudio: tendencia central y dispersión para número de trabajadores, tasa de accidentalidad, días de incapacidad y el resultado de los totales de cada criterio de la evaluación y el gran total. Para estudiar la relación entre los resultados de la evaluación y los indicadores de tasa y días, se llevó a cabo un análisis de correlación y regresión lineal entre los indicadores de accidentalidad y los resultados de las puntuaciones de los criterios. Esta correlación se realizó tanto para la primera evaluación como para la segunda. En las dos mediciones las correlaciones fueron negativas mostrando que existe una disminución en la tasa de accidentalidad y días de incapacidad entre una evaluación y la otra. En el análisis de regresión, en la primera evaluación por cada unidad que aumentó la calificación global, se presentó una reducción de la tasa de frecuencia de 0.140. En la segunda evaluación por cada unidad que aumentó la calificación global, la tasa se redujo en 0.159. Ambos hallazgos soportan la necesidad de implementar un SGSST para ayudar a reducir el número inaceptable de lesiones y enfermedades en la industria de la construcción.

Modelling and PI Control of an Irrigation Canal

The main goal of this paper is to expose and validate a methodology to design efficient automatic controllers for irrigation canals, based on the Saint-Venant model. This model-based methodology enables to design controllers at the design stage (when the canal is not already built). The methodology is applied on an experimental canal located in Portugal. First the full nonlinear PDE model is calibrated, using a single steady-state experiment. The model is then linearized around a functioning point, in order to design linear PI controllers. Two classical control strategies are tested (local upstream control and distant downstream control) and compared on the canal. The experimental results show the effectiveness of the model.

Anisotropic fluid with SU(2) type structure in general relativity: A model of localized matter

A model of anisotropic fluid with three perfect fluid components in interaction is studied. Each fluid component obeys the stiff matter equation of state and is irrotational. The interaction is chosen to reproduce an integrable system of equations similar to the one associated to self-dual SU(2) gauge fields. An extension of the BelinskyZakharov version of the inverse scattering transform is presented and used to find soliton solutions to the coupled Einstein equations. A particular class of solutions that can be interpreted as lumps of matter propagating in empty space-time is examined.

En face optical coherence tomography of foveal microstructure in full-thickness macular hole: a model to study perifoveal müller cells.

PURPOSE: To characterize perifoveal intraretinal cavities observed around full-thickness macular holes (MH) using en face optical coherence tomography and to establish correlations with histology of human and primate maculae. DESIGN: Retrospective nonconsecutive observational case series. METHODS: Macular en face scans of 8 patients with MH were analyzed to quantify the areas of hyporeflective spaces, and were compared with macular flat mounts and sections from 1 normal human donor eye and 2 normal primate eyes (Macaca fascicularis). Immunohistochemistry was used to study the distribution of glutamine synthetase, expressed by Müller cells, and zonula occludens-1, a tight-junction protein. RESULTS: The mean area of hyporeflective spaces was lower in the inner nuclear layer (INL) than in the complex formed by the outer plexiform (OPL) and the Henle fiber layers (HFL): 5.0 × 10(-3) mm(2) vs 15.9 × 10(-3) mm(2), respectively (P < .0001, Kruskal-Wallis test). In the OPL and HFL, cavities were elongated with a stellate pattern, whereas in the INL they were rounded and formed vertical cylinders. Immunohistochemistry confirmed that Müller cells followed a radial distribution around the fovea in the frontal plane and a "Z-shaped" course in the axial plane, running obliquely in the OPL and HFL and vertically in the inner layers. In addition, zonula occludens-1 co-localized with Müller cells within the complex of OPL and HFL, indicating junctions in between Müller cells and cone axons. CONCLUSION: The dual profile of cavities around MHs correlates with Müller cell morphology and is consistent with the hypothesis of intra- or extracellular fluid accumulation along these cells.

Leaf area index estimation with MODIS reflectance time series and model inversion during full rotations of Eucalyptus plantations

The leaf area index (LAI) of fast-growing Eucalyptus plantations is highly dynamic both seasonally and interannually, and is spatially variable depending on pedo-climatic conditions. LAI is very important in determining the carbon and water balance of a stand, but is difficult to measure during a complete stand rotation and at large scales. Remote-sensing methods allowing the retrieval of LAI time series with accuracy and precision are therefore necessary. Here, we tested two methods for LAI estimation from MODIS 250m resolution red and near-infrared (NIR) reflectance time series. The first method involved the inversion of a coupled model of leaf reflectance and transmittance (PROSPECT4), soil reflectance (SOILSPECT) and canopy radiative transfer (4SAIL2). Model parameters other than the LAI were either fixed to measured constant values, or allowed to vary seasonally and/or with stand age according to trends observed in field measurements. The LAI was assumed to vary throughout the rotation following a series of alternately increasing and decreasing sigmoid curves. The parameters of each sigmoid curve that allowed the best fit of simulated canopy reflectance to MODIS red and NIR reflectance data were obtained by minimization techniques. The second method was based on a linear relationship between the LAI and values of the GEneralized Soil Adjusted Vegetation Index (GESAVI), which was calibrated using destructive LAI measurements made at two seasons, on Eucalyptus stands of different ages and productivity levels. The ability of each approach to reproduce field-measured LAI values was assessed, and uncertainty on results and parameter sensitivities were examined. Both methods offered a good fit between measured and estimated LAI (R(2) = 0.80 and R(2) = 0.62 for model inversion and GESAVI-based methods, respectively), but the GESAVI-based method overestimated the LAI at young ages. (C) 2010 Elsevier Inc. All rights reserved.