929 resultados para Implisiteettinen volatiliteetti, Implied volatility


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The purpose of this study was to estimate the extent of association of cervical screening in NSW women with socio-economic status (SES), rurality, and proportions of non-English speaking background (NESB) and Indigenous status. Data on women who had at least one Pap test over two years (January 1998-December 1999) were obtained from the NSW Pap test Register. Each local government area (LGA) was allocated to categories of population proportions of NESB and Indigenous status, a rurality classification based on population density and remoteness, and to an SES quintile. The odds ratios (OR) of having a Pap test were estimated and confounding adjusted by multiple logistic regression analysis. Implied Pap test rates in urban NESB and in rural Indigenous women were estimated from the modelled estimates. The adjusted OR for a Pap test in large rural centres (1.14) was significantly higher than those for metropolitan or capital city residents (0.9 and 1.0 respectively). Adjusted OR for a Pap test in other rural centres (0.73) and other remote areas (0.64) were significantly lower than those for metropolitan or capital city residents. In urban populations the lowest OR were in areas with both low SES and high proportion of NESB. The lowest OR for Pap screening in rural populations occurred in the most remote areas with the highest proportion of Indigenous women. For urban NESB women the biennial Pap test rate was estimated as 50%, and for rural Indigenous women 29%, compared with the NSW average of 59%.

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The traditional theory of price index numbers is based on the law of one price. But in the real world, we frequently observe the existence of an equilibrium price dispersion instead of one price of equilibrium. This article discusses the effects of price dispersion on two price indexes: the cost of living index and the consumer price index. With price dispersion and consumer searching for the lowest price, these indexes cannot be interpreted as deterministic indicators, but as stochastic indicators, and they can be biased if price dispersion is not taken into account. A measure for the bias of the consumer price index is proposed and the article ends with an estimation of the bias based on data obtained from the consumer price index calculated for the city of Sao Paulo, Brazil, from January 1988 through December 2004. The period analysed is very interesting, because it exhibits different inflationary environments: high levels and high volatility of the rates of inflation with great price dispersion until July 1994 and low and relatively stable rates of inflation with prices less dispersed after August 1994.

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The purpose of this paper is to analyze the dynamics of national saving-investment relationship in order to determine the degree of capital mobility in 12 Latin American countries. The analytically relevant correlation is the short-term one, defined as that between changes in saving and investment. Of special interest is the speed at which variables return to the long run equilibrium relationship, which is interpreted as being negatively related to the degree of capital mobility. The long run correlation, in turn, captures the coefficient implied by the solvency constraint. We find that heterogeneity and cross-section dependence completely change the estimation of the long run coefficient. Besides we obtain a more precise short run coefficient estimate compared to the existent estimates in the literature. There is evidence of an intermediate degree of capital mobility, and the coefficients are extremely stable over time.

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In a recent thought-provoking paper, Ball and Sheridan [Ball, L., Sheridan, N., 2005. Does inflation targeting matter? In: Bernanke, B.S., Woodford, M. (Eds.), The Inflation-Targeting Debate, University of Chicago Press] show that the available evidence for a group of developed economies does not lend credence to the belief that adopting an inflation targeting regime (IT) was instrumental in bringing inflation and inflation volatility down. Here, we extend Ball and Sheridan`s analysis for a subset of 36 emerging market economies and find that, for them, the story is quite different. Compared to non-targeters, developing countries adopting the IT regime not only experienced greater drops in inflation, but also in growth volatility, thus corroborating the view that the regime`s ""constrained flexibility"" to deal with adverse shocks delivered concrete welfare gains. (c) 2006 Elsevier B.V. All rights reserved.

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Hydrogels with various compositions of polyvinyl alcohol (PVA) and poly(1-vinyl-2-pyrrolidinone) (PVP) were prepared by irradiating mixtures of PVA and PVP in aqueous solutions with gamma-rays from Co-60 sources at room temperature. The states of water in the hydrogels were characterized using DSC and NMR T-2 relaxation measurements and the kinetics of water diffusion in the hydrogels were studied by sorption experiments and NMR imaging. The DSC endothermic peaks in the temperature range -10 to +10 degrees C implied that there are at least two kinds of freezable water present in the matrix. The difference between the total water content and the freezable water content was refer-red to as bound water, which is not freezable. The weight fraction of water at which only nonfreezable water is present in a hydrogel with F-VP = 0.19 has been estimated to be g(H2O)/g(Polymer) = 0.375. From water sorption experiments, it was demonstrated that the early stage of the diffusion of water into the hydrogels was Fickian. A curve-fit of the early-stage experimental data to the Fickian model allowed determination of the water diffusion coefficient, which was found to lie between 1.5 x 10(-11) m(2) s(-1) and 4.5 x 10(-11) m(2) s(-1), depending on the polymer composition, the cross-link density, and the temperature. It was also found that the energy barrier for diffusion of water molecules into PVA/PVP hydrogels was approximate to 24 kJ mol(-1). Additionally, the diffusion coefficients determined from NMR imaging of the volumetric swelling of the gels agreed well with the results obtained by the mass sorption method.

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Tipulomorpha (craneflies) comprise one of the largest subgroups of Diptera, but its phylogeny at different levels has been poorly explored. This study presents the most comprehensive cladistic analysis of the group ever made, with emphasis on the genera and subgenera of the subfamily Limnophilinae (Limoniidae), assumed to include some of the earliest lineages of Tipulomorpha sensu stricto and therefore important for the understanding of the early patterns in the evolution of the craneflies. Eighty-eight characters of the male imago were scored for 104 exemplar species. The most parsimonious trees were searched using implied weighting, in the framework of a sensitivity analysis with different values of k (2 to 6). The dataset based on the characters of adult male morphology showed high levels of homoplasy and yielded very incongruent and unstable phylogenetic results, which are very sensitive to changes in analytical parameters. In the preferred and most parsimonious phylogenetic hypothesis, the Pediciidae is the sister-group of all other Tipulomorpha sensu stricto. The results indicate the paraphyly of the Limoniidae with respect to the Cylindrotomidae and Tipulidae, which are considered sister-groups. The Limoniidae subfamilies Limnophilinae, Limoniinae and Chioneinae are considered non-monophyletic. The study allowed a reconstruction of the possible ground plan condition of selected features of the adult male morphology of craneflies. The genera/subgenera Epiphragma (Epiphragma), Acantholimnophila, Shannonomyia, Limnophila (Arctolimnophila), Eloeophila, Conosia, Polymera, Polymera (Polymerodes), Prionolabis, Eutonia, Phylidorea (Phylidorea), Metalimnophila, Gynoplistia (Cerozodia), Gynoplistia (Dirhipis), Nothophila, Pseudolimnophila (Pseudolimnophila), Pilaria and Ulomorpha are considered monophyletic, but in general are defined by combinations of very homoplastic character states. Two Temperate Gondwanan clades, (Tonnoirella + (Edwardsomyia + (Tinemyia + (Rhamphophila + (Nothophila))))) and ((Notholimnophila + Bergrothomyia) + (Mesolimnophila + (Chilelimnophila + Ctenolimnophila))) are recovered. The genera Limnophila, Neolimnomyia, Gynoplistia (sensu lato) and Hexatoma (sensu lato) are considered non-monophyletic. The systematic position and some morphological characters of `problematic` taxa, such as Dactylolabis, Elephantomyia, Helius and Atarba are discussed on the light of the proposed phylogeny and the analysis of the characters. Character states are richly illustrated. A detailed study of the morphology of the male genitalia is made, and several genera and species have the morphology of the male genitalia illustrated for the first time.

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Breast cancer five-year relative survival was calculated for 16 urban and rural regions in New South Wales (NSW) for cases incident in 1980-1991. Survival analysis employed cancer registry data linked with the death register, and age- and period-matched regional mortality of NSW women, Proportional hazard regression analysis was used to compare excess mortality in breast cancer cases in each region. The effect of region was significant (P < 0.05) in the analysis, after age and the follow-up variable (and their intel action) were adjusted for, although no region was significantly different from the referent group (chosen because of average relative five-year survival). When degree of spread and its interactions were entered into che model, the effect of region became nonsignificant. A significant linear trend (P < 0.05) in the adjusted relative risk for excess mortality in breast cancer cases was noted when regions were divided into quartiles based on socioeconomic status, with higher relative risk in low-socioeconomic-status groups; this effect also disappeared with adjustment for degree of spread at diagnosis. There was no general effect of rurality versus capital city or other metropolitan centres. This study demonstrates a small effect of region of residence and implied socioeconomic status on breast cancer survival in NSW women, but this becomes nonsignificant when the data are adjusted for degree of spread at diagnosis, This suggests that earlier diagnosis would he of benefit in reducing minor inequalities in breast cancer survival in NSW women.

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Latent inhibition, retarded learning after preexposure to the to-be-conditioned stimulus, has been implied as a tool for the investigation of attentional deficits in schizophrenia and related disorders. The present paper reviews research that used Pavlovian conditioning as indexed by autonomic responses (electrodermal, vasomotor, cardiac) to investigate latent inhibition in adult humans. Latent inhibition has been demonstrated repeatedly in healthy subjects in absence of a masking task that is required in other latent inhibition paradigms. Moreover, latent inhibition of Pavlovian conditioning is stimulus-specific and increases with an increased number of preexposure trials which mirrors results from research in animals. A reduction of latent inhibition has been shown in healthy subjects who score high on questionnaire measures of psychosis proneness and in unmedicated schizophrenic patients. The latter result was obtained in a within-subject paradigm that holds promise for research with patient samples. (C) 1997 Elsevier Science B.V.

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In this paper we study the possible microscopic origin of heavy-tailed probability density distributions for the price variation of financial instruments. We extend the standard log-normal process to include another random component in the so-called stochastic volatility models. We study these models under an assumption, akin to the Born-Oppenheimer approximation, in which the volatility has already relaxed to its equilibrium distribution and acts as a background to the evolution of the price process. In this approximation, we show that all models of stochastic volatility should exhibit a scaling relation in the time lag of zero-drift modified log-returns. We verify that the Dow-Jones Industrial Average index indeed follows this scaling. We then focus on two popular stochastic volatility models, the Heston and Hull-White models. In particular, we show that in the Hull-White model the resulting probability distribution of log-returns in this approximation corresponds to the Tsallis (t-Student) distribution. The Tsallis parameters are given in terms of the microscopic stochastic volatility model. Finally, we show that the log-returns for 30 years Dow Jones index data is well fitted by a Tsallis distribution, obtaining the relevant parameters. (c) 2007 Elsevier B.V. All rights reserved.

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Environmental conditions play a significant role in the economic success of aquaculture. This article classifies environmental factors in a way that facilitates economic analysis of their implications for the selection of aquaculture species and systems. The implication of on-farm as on-site environmental conditions for this selection are considered first using profit-possibility frontiers and taking into account the biological law of environmental tolerance. However, in selecting, recommending and developing aquaculture species and systems, it is often unrealistic to assume the degree of managerial efficiency implied by the profit-possibility function. It is appropriate to take account of the degree of managerial inefficiency that actually exists, not all of which may be capable of being eliminated. Furthermore, experimental R&D should be geared to on-farm conditions, and the variability of these conditions needs to be taken into account. Particularly in shared water bodies, environmental spillovers between aquaculturalists can be important and as shown theoretically, can influence the socially optimal selection of aquaculture species and systems. Similarly, aquaculture can have environmental consequences for the rest of the community. The social economic implications of this for the selection of aquaculture species and systems are analyzed. Some paradoxical results are obtained. For example, if the quality of social governance of aquaculture is poor, aquaculture species and systems that cause a slow rate of environmental deterioration may be socially less satisfactory than those that cause a rapid rate of such deterioration. Socially optimal choice of aquaculture species and systems depends not only on their biophysical characteristics and market conditions but also on the prevailing state of governance of aquaculture. Failure to consider the last aspect can result in the introduction of new aquaculture species (and systems) doing more social harm than good.

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Ligaments undergo finite strain displaying hyperelastic behaviour as the initially tangled fibrils present straighten out, combined with viscoelastic behaviour (strain rate sensitivity). In the present study the anterior cruciate ligament of the human knee joint is modelled in three dimensions to gain an understanding of the stress distribution over the ligament due to motion imposed on the ends, determined from experimental studies. A three dimensional, finite strain material model of ligaments has recently been proposed by Pioletti in Ref. [2]. It is attractive as it separates out elastic stress from that due to the present strain rate and that due to the past history of deformation. However, it treats the ligament as isotropic and incompressible. While the second assumption is reasonable, the first is clearly untrue. In the present study an alternative model of the elastic behaviour due to Bonet and Burton (Ref. [4]) is generalized. Bonet and Burton consider finite strain with constant modulii for the fibres and for the matrix of a transversely isotropic composite. In the present work, the fibre modulus is first made to increase exponentially from zero with an invariant that provides a measure of the stretch in the fibre direction. At 12% strain in the fibre direction, a new reference state is then adopted, after which the material modulus is made constant, as in Bonet and Burton's model. The strain rate dependence can be added, either using Pioletti's isotropic approximation, or by making the effect depend on the strain rate in the fibre direction only. A solid model of a ligament is constructed, based on experimentally measured sections, and the deformation predicted using explicit integration in time. This approach simplifies the coding of the material model, but has a limitation due to the detrimental effect on stability of integration of the substantial damping implied by the nonlinear dependence of stress on strain rate. At present, an artificially high density is being used to provide stability, while the dynamics are being removed from the solution using artificial viscosity. The result is a quasi-static solution incorporating the effect of strain rate. Alternate approaches to material modelling and integration are discussed, that may result in a better model.

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Applied econometricians often fail to impose economic regularity constraints in the exact form economic theory prescribes. We show how the Singular Value Decomposition (SVD) Theorem and Markov Chain Monte Carlo (MCMC) methods can be used to rigorously impose time- and firm-varying equality and inequality constraints. To illustrate the technique we estimate a system of translog input demand functions subject to all the constraints implied by economic theory, including observation-varying symmetry and concavity constraints. Results are presented in the form of characteristics of the estimated posterior distributions of functions of the parameters. Copyright (C) 2001 John Wiley Sons, Ltd.

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This study compared the effects of zinc and odorants on the voltage-gated K+ channel of rat olfactory neurons. Zinc reduced current magnitude, depolarized the voltage activation curve and slowed activation kinetics without affecting inactivation or deactivation kinetics. Zinc inhibition was potentiated by the NO compound, S-nitroso-cysteine. The pH- and diethylpyrocarbonate-dependence of zinc inhibition suggested that zinc acted by binding to histidine residues. Cysteine residues were eliminated as contributing to the zinc-binding site. The odorants, acetophenone and amyl acetate, also reduced current magnitude, depolarized the voltage activation curve and selectively slowed activation kinetics. Furthermore, the diethylpyrocarbonate- and pH-dependence of odorant inhibition implied that the odorants also bind to histidine residues. Zinc inhibitory potency was dramatically diminished in the presence of odorants, implying competition for a common binding site. These observations indicate that the odorants and zinc share a common inhibitory binding site on the external surface of the voltage-gated K+ channel.

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Management are keen to maximize the life span of an information system because of the high cost, organizational disruption, and risk of failure associated with the re-development or replacement of an information system. This research investigates the effects that various factors have on an information system's life span by understanding how the factors affect an information system's stability. The research builds on a previously developed two-stage model of information system change whereby an information system is either in a stable state of evolution in which the information system's functionality is evolving, or in a state of revolution, in which the information system is being replaced because it is not providing the functionality expected by its users. A case study surveyed a number of systems within one organization. The aim was to test whether a relationship existed between the base value of the volatility index (a measure of the stability of an information system) and certain system characteristics. Data relating to some 3000 user change requests covering 40 systems over a 10-year period were obtained. The following factors were hypothesized to have significant associations with the base value of the volatility index: language level (generation of language of construction), system size, system age, and the timing of changes applied to a system. Significant associations were found in the hypothesized directions except that the timing of user changes was not associated with any change in the value of the volatility index. Copyright (C) 2002 John Wiley Sons, Ltd.

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Quantitative laser ablation (LA)-ICP-MS analyses of fluid inclusions, trace element chemistry of sulfides, stable isotope (S), and Pb isotopes have been used to discriminate the formation of two contrasting mineralization styles and to evaluate the origin of the Cu and Au at Mt Morgan. The Mt Morgan Au-Cu deposit is hosted by Devonian felsic volcanic rocks that have been intruded by multiple phases of the Mt Morgan Tonalite, a low-K, low-Al2O3 tonalite-trondhjemite-dacite (TTD) complex. An early, barren massive sulfide mineralization with stringer veins is conforming to VHMS sub-seafloor replacement processes, whereas the high-grade Au-Cu. ore is associated with a later quartz-chalcopyrite-pyrite stock work mineralization that is related to intrusive phases of the Tonalite complex. LA-ICP-MS fluid inclusion analyses reveal high As (avg. 8850 ppm) and Sb (avg. 140 ppm) for the Au-Cu mineralization and 5 to 10 times higher Cu concentration than in the fluids associated with the massive pyrite mineralization. Overall, the hydrothermal system of Mt Morgan is characterized by low average fluid salinities in both mineralization styles (45-80% seawater salinity) and temperatures of 210 to 270 degreesC estimated from fluid inclusions. Laser Raman Spectroscopic analysis indicates a consistent and uniform array Of CO2-bearing fluids. Comparison with active submarine hydrothermal vents shows an enrichment of the Mt Morgan fluids in base metals. Therefore, a seawater-dominated fluid is assumed for the barren massive sulfide mineralization, whereas magmatic volatile contributions are implied for the intrusive related mineralization. Condensation of magmatic vapor into a seawater-dominated environment explains the CO2 occurrence, the low salinities, and the enriched base and precious metal fluid composition that is associated with the Au-Cu. mineralization. The sulfur isotope signature of pyrite and chalcopyrite is composed of fractionated Devonian seawater and oxidized magmatic fluids or remobilized sulfur from existing sulfides. Pb isotopes indicate that Au and Cu. originated from the Mt Morgan intrusions and a particular volcanic strata that shows elevated Cu background. (C) 2002 Elsevier Science B.V. All rights reserved.