Simulation-based smoothing and filtering in factor stochastic volatility models : two econometric applications

In this article we use factor models to describe a certain class of covariance structure for financiaI time series models. More specifical1y, we concentrate on situations where the factor variances are modeled by a multivariate stochastic volatility structure. We build on previous work by allowing the factor loadings, in the factor mo deI structure, to have a time-varying structure and to capture changes in asset weights over time motivated by applications with multi pIe time series of daily exchange rates. We explore and discuss potential extensions to the models exposed here in the prediction area. This discussion leads to open issues on real time implementation and natural model comparisons.

Demand and supply: price elasticities and corporate performance in the UK

This paper investigates the relationship between consumer demand and corporate performance in several consumer industries in the UK, using two independent datasets. It uses data on consumer expenditures and the retail price index to estimate Almost Ideal Demand Systems on micro-data and compute timevarying price elasticities of demand for disaggregated commodity groups. Then, it matches the product definitions to the Standard Industry Classification and uses the estimated elasticities to investigate the impact of consumer behaviour on firm-level profitability equations. The time-varying household characteristics are ideal instruments for the demand effects in the firms' supply equation. The paper concludes that demand elasticities have a significant and tangible impact on the profitability of UK firms and that this impact can shed some light on the relationship between market structure and economic performance.

Taylor rule with hidden states

This work evaluates empirically the Taylor rule for the US and Brazil using Kalman Filter and Markov-Switching Regimes. We show that the parameters of the rule change significantly with variations in both output and output gap proxies, considering hidden variables and states. Such conclusions call naturally for robust optimal monetary rules. We also show that Brazil and US have very contrasting parameters, first because Brazil presents time-varying intercept, second because of the rigidity in the parameters of the Brazilian Taylor rule, regardless the output gap proxy, data frequency or sample data. Finally, we show that the long-run inflation parameter of the US Taylor rule is less than one in many periods, contrasting strongly with Orphanides (forthcoming) and Clarida, Gal´i and Gertler (2000), and the same happens with Brazilian monthly data.

Do options contain information about excess bond returns ?

There is strong empirical evidence that risk premia in long-term interest rates are time-varying. These risk premia critically depend on interest rate volatility, yet existing research has not examined the im- pact of time-varying volatility on excess returns for long-term bonds. To address this issue, we incorporate interest rate option prices, which are very sensitive to interest rate volatility, into a dynamic model for the term structure of interest rates. We estimate three-factor affine term structure models using both swap rates and interest rate cap prices. When we incorporate option prices, the model better captures interest rate volatility and is better able to predict excess returns for long-term swaps over short-term swaps, both in- and out-of-sample. Our results indicate that interest rate options contain valuable infor- mation about risk premia and interest rate dynamics that cannot be extracted from interest rates alone.

Testing covariance stationarity

In this paper, we show that the widely used stationarity tests such as the KPSS test has power close to size in the presence of time-varying unconditional variance. We propose a new test as a complement of the existing tests. Monte Carlo experiments show that the proposed test possesses the following characteristics: (i) In the presence of unit root or a structural change in the mean, the proposed test is as powerful as the KPSS and other tests; (ii) In the presence a changing variance, the traditional tests perform badly whereas the proposed test has high power comparing to the existing tests; (iii) The proposed test has the same size as traditional stationarity tests under the null hypothesis of covariance stationarity. An application to daily observations of return on US Dollar/Euro exchange rate reveals the existence of instability in the unconditional variance when the entire sample is considered, but stability is found in sub-samples.

Do equity and foreign currency risk premiums display common patterns?

In da Costa et al. (2006) we have shown how a same pricing kernel can account for the excess returns of the S&:P500 over the US short term bond and of the uncovered over the covered trading of foreign government bonds. In this paper we estimate and test the overidentifying restrictiom; of Euler equations associated with "ix different versions of the Consumption Capital Asset Pricing I\Iodel. Our main finding is that the same (however often unreasonable) values for the parameters are estimated for ali models in both nmrkets. In most cases, the rejections or otherwise of overidentifying restrictions occurs for the two markets, suggesting that success and failure stories for the equity premium repeat themselves in foreign exchange markets. Our results corroborate the findings in da Costa et al. (2006) that indicate a strong similarity between the behavior of excess returns in the two markets when modeled as risk premiums, providing empirical grounds to believe that the proposed preference-based solutions to puzzles in domestic financiaI markets can certainly shed light on the Forward Premium Puzzle.

Análise dos efeitos da política monetária sobre a persistência inflacionária no Brasil

Este trabalho visa analisar a relação entre política monetária e persistência inflacionária no período recente, após a introdução do regime de metas de inflação no Brasil. Através de um modelo novo-keynesiano simplificado, o grau de persistência do hiato de inflação é modelado como função dos pesos da regra de política monetária. A evolução temporal da regra de Taylor é confrontada com a curva estimada de persistência do hiato de inflação, demonstrando que mudanças na condução da política monetária levam a alterações do nível de persistência inflacionária na economia. Uma adaptação do modelo, com uma regra de Taylor que incorpora expectativas do hiato do produto, chega aos mesmos resultados com maior precisão.

International portfolio diversification: evidence from emerging markets

Taking into account previous research we could assume to be beneficial to diversify investments in emerging economies. We investigate in the paper International Portfolio Diversification: evidence from Emerging Markets if it still holds true, given the assumption of larger world markets integration. Our results suggest a wide spread positive time-varying correlations of emerging and developed markets. However, pair-wise cross-country correlations gave evidence that emerging markets have low integration with developed markets. Consequently, we evaluate out-of-sample performance of a portfolio with emerging equity countries, confirming the initial statement that it has a better a risk-adjusted performance over a purely developed markets portfolio.

Avaliação espectrofotométrica do manchamento de resinas odontológicas contendo nanopartículas

Composite resins have been subjected to structural modifications aiming at improved optical and mechanical properties. The present study consisted in an in vitro evaluation of the staining behavior of two nanohybrid resins (NH1 and NH2), a nanoparticulated resin (NP) and a microhybrid resin (MH). Samples of these materials were prepared and immersed in commonly ingested drinks, i.e., coffee, red wine and acai berry for periods of time varying from 1 to 60 days. Cylindrical samples of each resin were shaped using a metallic die and polymerized during 30 s both on the bottom and top of its disk. All samples were polished and immersed in the staining solutions. After 24 hours, three samples of each resin immersed in each solution were removed and placed in a spectrofotome ter for analysis. To that end, the samples were previously diluted in HCl at 50%. Tukey tests were carried out in the statistical analysis of the results. The results revealed that there was a clear difference in the staining behavior of each material. The nanoparticulated resin did not show better color stability compared to the microhybrid resin. Moreover, all resins stained with time. The degree of staining decreased in the sequence nanoparticulated, microhybrid, nanohybrid MH2 and MH1. Wine was the most aggressive drink followed by coffee and acai berry. SEM and image analysis revealed significant porosity on the surface of MH resin and relatively large pores on a NP sample. The NH2 resin was characterized by homogeneous dispersion of particles and limited porosity. Finally, the NH1 resin depicted the lowest porosity level. The results revealed that staining is likely related to the concentration of inorganic pa rticles and surface porosity

Determinação dos parâmetros do controlador preditivo generalizado com função de pesos variante no tempo através de algoritmos genéticos

The predictive control technique has gotten, on the last years, greater number of adepts in reason of the easiness of adjustment of its parameters, of the exceeding of its concepts for multi-input/multi-output (MIMO) systems, of nonlinear models of processes could be linearised around a operating point, so can clearly be used in the controller, and mainly, as being the only methodology that can take into consideration, during the project of the controller, the limitations of the control signals and output of the process. The time varying weighting generalized predictive control (TGPC), studied in this work, is one more an alternative to the several existing predictive controls, characterizing itself as an modification of the generalized predictive control (GPC), where it is used a reference model, calculated in accordance with parameters of project previously established by the designer, and the application of a new function criterion, that when minimized offers the best parameters to the controller. It is used technique of the genetic algorithms to minimize of the function criterion proposed and searches to demonstrate the robustness of the TGPC through the application of performance, stability and robustness criterions. To compare achieves results of the TGPC controller, the GCP and proportional, integral and derivative (PID) controllers are used, where whole the techniques applied to stable, unstable and of non-minimum phase plants. The simulated examples become fulfilled with the use of MATLAB tool. It is verified that, the alterations implemented in TGPC, allow the evidence of the efficiency of this algorithm

Controlador preditivo generalizado multi-modelo aplicado ao controle de pressão arterial

Postsurgical complication of hypertension may occur in cardiac patients. To decrease the chances of complication it is necessary to reduce elevated blood pressure as soon as possible. Continuous infusion of vasodilator drugs, such as sodium nitroprusside (Nipride), would quickly lower the blood pressure in most patients. However, each patient has a different sensitivity to infusion of Nipride. The parameters and the time delays of the system are initially unknown. Moreover, the parameters of the transfer function associated with a particular patient are time varying. the objective of the study is to develop a procedure for blood pressure control i the presence of uncertainty of parameters and considerable time delays. So, a methodology was developed multi-model, and for each such model a Preditive Controller can be a priori designed. An adaptive mechanism is then needed for deciding which controller should be dominant for a given plant

Estudo da topologia de redes de conexão funcional no córtex sensorial primário e hipocampo durante o sono de ondas lentas

Complex network analysis is a powerful tool into research of complex systems like brain networks. This work aims to describe the topological changes in neural functional connectivity networks of neocortex and hippocampus during slow-wave sleep (SWS) in animals submited to a novel experience exposure. Slow-wave sleep is an important sleep stage where occurs reverberations of electrical activities patterns of wakeness, playing a fundamental role in memory consolidation. Although its importance there s a lack of studies that characterize the topological dynamical of functional connectivity networks during that sleep stage. There s no studies that describe the topological modifications that novel exposure leads to this networks. We have observed that several topological properties have been modified after novel exposure and this modification remains for a long time. Major part of this changes in topological properties by novel exposure are related to fault tolerance

Avaliação de desempenho da codificação wavelet em canais seletivos em frequência

Wavelet coding has emerged as an alternative coding technique to minimize the fading effects of wireless channels. This work evaluates the performance of wavelet coding, in terms of bit error probability, over time-varying, frequency-selective multipath Rayleigh fading channels. The adopted propagation model follows the COST207 norm, main international standards reference for GSM, UMTS, and EDGE applications. The results show the wavelet coding s efficiency against the inter symbolic interference which characterizes these communication scenarios. This robustness of the presented technique enables its usage in different environments, bringing it one step closer to be applied in practical wireless communication systems

Desenvolvimento de um Sistema de Visão Global para uma Frota de Mini-Robôs Móveis

Navigation based on visual feedback for robots, working in a closed environment, can be obtained settling a camera in each robot (local vision system). However, this solution requests a camera and capacity of local processing for each robot. When possible, a global vision system is a cheapest solution for this problem. In this case, one or a little amount of cameras, covering all the workspace, can be shared by the entire team of robots, saving the cost of a great amount of cameras and the associated processing hardware needed in a local vision system. This work presents the implementation and experimental results of a global vision system for mobile mini-robots, using robot soccer as test platform. The proposed vision system consists of a camera, a frame grabber and a computer (PC) for image processing. The PC is responsible for the team motion control, based on the visual feedback, sending commands to the robots through a radio link. In order for the system to be able to unequivocally recognize each robot, each one has a label on its top, consisting of two colored circles. Image processing algorithms were developed for the eficient computation, in real time, of all objects position (robot and ball) and orientation (robot). A great problem found was to label the color, in real time, of each colored point of the image, in time-varying illumination conditions. To overcome this problem, an automatic camera calibration, based on clustering K-means algorithm, was implemented. This method guarantees that similar pixels will be clustered around a unique color class. The obtained experimental results shown that the position and orientation of each robot can be obtained with a precision of few millimeters. The updating of the position and orientation was attained in real time, analyzing 30 frames per second

Improving the GNSS positioning stochastic model in the presence of ionospheric scintillation

Ionospheric scintillations are caused by time-varying electron density irregularities in the ionosphere, occurring more often at equatorial and high latitudes. This paper focuses exclusively on experiments undertaken in Europe, at geographic latitudes between similar to 50 degrees N and similar to 80 degrees N, where a network of GPS receivers capable of monitoring Total Electron Content and ionospheric scintillation parameters was deployed. The widely used ionospheric scintillation indices S4 and sigma(phi) represent a practical measure of the intensity of amplitude and phase scintillation affecting GNSS receivers. However, they do not provide sufficient information regarding the actual tracking errors that degrade GNSS receiver performance. Suitable receiver tracking models, sensitive to ionospheric scintillation, allow the computation of the variance of the output error of the receiver PLL (Phase Locked Loop) and DLL (Delay Locked Loop), which expresses the quality of the range measurements used by the receiver to calculate user position. The ability of such models of incorporating phase and amplitude scintillation effects into the variance of these tracking errors underpins our proposed method of applying relative weights to measurements from different satellites. That gives the least squares stochastic model used for position computation a more realistic representation, vis-a-vis the otherwise 'equal weights' model. For pseudorange processing, relative weights were computed, so that a 'scintillation-mitigated' solution could be performed and compared to the (non-mitigated) 'equal weights' solution. An improvement between 17 and 38% in height accuracy was achieved when an epoch by epoch differential solution was computed over baselines ranging from 1 to 750 km. The method was then compared with alternative approaches that can be used to improve the least squares stochastic model such as weighting according to satellite elevation angle and by the inverse of the square of the standard deviation of the code/carrier divergence (sigma CCDiv). The influence of multipath effects on the proposed mitigation approach is also discussed. With the use of high rate scintillation data in addition to the scintillation indices a carrier phase based mitigated solution was also implemented and compared with the conventional solution. During a period of occurrence of high phase scintillation it was observed that problems related to ambiguity resolution can be reduced by the use of the proposed mitigated solution.