Underlying dynamics of typical fluctuations of an emerging market price index: the Heston model from minutes to months

We investigate the Heston model with stochastic volatility and exponential tails as a model for the typical price fluctuations of the Brazilian São Paulo Stock Exchange Index (IBOVESPA). Raw prices are first corrected for inflation and a period spanning 15 years characterized by memoryless returns is chosen for the analysis. Model parameters are estimated by observing volatility scaling and correlation properties. We show that the Heston model with at least two time scales for the volatility mean reverting dynamics satisfactorily describes price fluctuations ranging from time scales larger than 20min to 160 days. At time scales shorter than 20 min we observe autocorrelated returns and power law tails incompatible with the Heston model. Despite major regulatory changes, hyperinflation and currency crises experienced by the Brazilian market in the period studied, the general success of the description provided may be regarded as an evidence for a general underlying dynamics of price fluctuations at intermediate mesoeconomic time scales well approximated by the Heston model. We also notice that the connection between the Heston model and Ehrenfest urn models could be exploited for bringing new insights into the microeconomic market mechanics. (c) 2005 Elsevier B.V. All rights reserved.

Sustainability and CDM projects in the Brazilian sugar cane sector: a discussion on the economic-financial aspects

The study discusses how the revenue from the sale of Certified Emission Reductions (CERs) can contribute to the attractiveness of investment in projects of bagasse-based cogeneration. It was observed that revenue from CERs is probably not enough to make these investments acceptable in the economic and financial aspect. However, this study speculates that Clean Development Mechanism projects will be strategic to build a positive image concerning the social responsibility and sustainability of the business in the Brazilian sugar cane sector.

Preparation and thermal characterization of inclusion complex of Brazilian green propolis and hydroxypropyl-beta-cyclodextrin

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Information on Brazilian ornamental species of the genus Tillandsia L. (Bromeliaceae)

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Brazilian solar water heating systems evaluation

The Brazilian National Electricity Conservation Program - PROCEL - runs regular surveys in the electric-energy-consumption market. These studies are used as valuable data to better plan the actions of this program. These data also evaluate the program's performance by identifying the level of penetration of the most efficient electric equipment within the residential sector. PROCEL's main lines of action is to promote and make available the most efficient technologies. Based on the results from the latest survey, it is estimated that 24% of the electric-energy consumption of the residential sector is used by electric shower devices, which instantaneously heat the water that flows through them, normally using an electric resistance of 5 kW. These are an important factor in a country where electric-heating devices are present in about 73% of Brazilian households. Keeping that in mind, the purpose of this work is to present the main results of the Brazilian Solar-Water-Heating-Systems Evaluation, finished in 2010, where 535 installations were visited and more than 50 researchers from different universities participated in the project. Moreover, seven Brazilian cities were selected to be studied. The information was collected from field research and statistically treated. The collected information focused on the adequacy of the project to the household, installation, operation and life cycle of the systems, as well as the users' satisfaction level. Technical questionnaires were developed to summarize all the required information, such as a Web site designed to organize and manage the data collected and a Matlab application that performed the dimensioning and F-chart systems evaluation. Quality indicators were created through a full system monitoring, with thermographic analysis and evaluation of shading influence at the system's efficiency, using the Ecotect software.

The competitive challenge for Brazilian industry

Includes bibliography

NAFTA and the loss of US market share by Brazil, 1992-2001

Includes bibliography

Haemonchus contortus: A multiple-resistant Brazilian isolate and the costs for its characterization and maintenance for research use

The aim of this work was to determine the resistance level of Haemonchus contortus isolated from the Santa Inês flock of the Embrapa (Brazilian government's Agricultural Research Company), Southeast Livestock Unit (CPPSE), as well as to determine costs of characterizing and maintaining this isolate in host donors. Forty-two male Santa Inês lambs were experimentally infected with 4000 H. contortus infective larvae of the field isolate of CPPSE, called Embrapa2010, and divided into six treatment groups, which received triclorfon, albendazol plus cobalt sulfate, ivermectin, moxidectin, closantel and levamisole phosphate, as well as a negative control group (water). Egg per gram (EPG) counts were performed at 0, 3, 7, 10 and 14. days post treatment when the animals were slaughtered for parasite count. The data were analyzed using the RESO statistical program, considering anthelmintic resistance under 95% of efficacy. EPG and worm count presented a linear and significant relation with 94% determination coefficient. The susceptibility results obtained by RESO through both criteria (EPG and worm count) were equal, except for closantel, showing that the isolate Embrapa2010 is resistant to benzimidazoles, macrocyclic lactones and imidazothiazoles. The need of a control group did not appear to be essential since the result for susceptibility in the analyses with or without this group was the same. Suppression in egg production after treatment did not occur in the ivermectin and moxidectin groups. In the control group, the establishment percentage was just 12.5 because of the low number of third-stage larvae, resistance (innate and infection immunity) of the animals studied plus good nutrition. Drug classes presented similar efficacy between adults and immature stages. The costs for isolate characterization were calculated for 42 animals during 60. days. The total cost based on local market rates was approximately US$ 8000. The precise identification of Brazilian isolates and their establishment in host donors would be useful for laboratorial anthelmintic resistance diagnoses through in vitro tests, which has an annual cost of approximately US$ 2500 for maintenance in host donors. © 2012 Elsevier B.V.

The performance of Chinese and Brazilian exports to Latin America, 1994-2009

Includes bibliography

Dereplication of phenolic derivatives of qualea grandiflora and qualea cordata (vochysiaceae) using liquid chromatography coupled with ESI-QToF-MS/MS

A rational and selective method using on-line high-performance liquid chromatography (HPLC) coupled with electrospray quadrupole time-of-flight tandem mass spectrometry (ESI-QToF-MS/MS) was established for the dereplication of phenolic derivatives from Qualea grandiflora and Qualea cordata. The selection of the extracts was based on the antioxidant capacity measured by in vitro DPPH assay. The HPLC-ESI-QToF-MS/MS analysis was conducted by on-flow detection, using high-resolution mass/ratio ions as well as collision induced MS/MS experiments for selected protonated ions. The dereplication of the EtOAc fraction from the hydro alcohol extract from the stem bark of Q. grandiflora allowed the detection of the flavonoids: 3',4',5',5,6,7-hexahydroxy- 8 methylflavanone, 8-methyl-naringenine and 3',7-dimethoxy-8 methyl-4',5,7- trihydroxyflavanone, as well as a benzophenone derivatives: bis(4,6-dimethoxy-2- hydroxy-3-methylphenyl)- metanone, 3',4'-dimethoxy-8-methyl-5,6,7 trihydroxyflavanone, 7-methoxy-6-methyl- 3',4',5 trihydroxyflavanone, 6,8-dimethyl-3' methoxy-4',5,7 trihydroxyflavanone and 3',5'-dimethoxy-6,8- dimethyl-4',5,7 trihydroxyflavanone were detected in the EtOAc fraction from the hydro-alcohol extract from the leaves of Q. cordata. © 2013 Sociedade Brasileira de Química.

Chromatic characteristics and color-related phenolic composition of Brazilian young red wines made from the hybrid grape cultivar BRS Violeta (BRS Rúbea×IAC 1398-21)

The color characteristics and the phenolic composition related to color of young red wines elaborated with the hybrid grape cultivar BRS Violeta, developed for its adaptation to sub-tropical climates in Brazil, have been studied. These wines are characterized with a deep red-purplish color, reaching color intensity averaging 24 units. In spite of being young red wines elaborated with short maceration time, their content in total polyphenols was very high (around 3692. mg/L, as gallic acid equivalents), especially when compared to similar Vitis vinifera young red wines. Within polyphenols, anthocyanins predominated (around 2037. mg/L, as malvidin 3,5-diglucoside equivalents) and they were almost exclusively anthocyanidin 3,5-glucosides (ca. 97%), mainly built from B-ring tri-substituted anthocyanidins (delphinidin. >. petunidin. ≈. malvidin) and having high proportion of p-coumaroylated derivatives (ca. 28%) that confer higher stability. The content of hydroxycinnamic acid derivatives was also remarkable (ca. 95. mg/L, as caffeic acid equivalents) and unknown glucose derivatives of p-coumaric acid accounted for ca. 42% of total HCAD. Finally, these found flavonols were mainly based on myricetin whereas kaempferol derivatives were missing, their total content being within the ranges usually found for V. vinifera wines, but reaching their top values (ca. 91. mg/L, as quercetin 3-glucoside equivalents). All the aforementioned data suggest that Violeta wine could be considered an important dietary source of healthy polyphenols with a moderate alcoholic content (ca. 11.6%). © 2013 Elsevier Ltd.

A poverty profile and functional aspects of Brazilian labour markets

Includes bibliography

Capital flows to Latin America: recent developments

The external environment has deteriorated sharply as a result of the spiraling financial turmoil, and has led to a weakening in commodity prices and fears of a worldwide recession. Latin America and the Caribbean's fastest expansion in 40 years may be threatened as the global credit crunch makes financing scarce and squeezes demand for the region's commodities. This time around the region is better positioned to weather the crisis than in the past, given improvements in macroeconomic and financial policies as well as a reduced net dependency on external capital inflows. However, Latin American markets are feeling the effects of the crisis through a slowdown in capital inflows, large declines in stock price indexes, significant currency adjustments and an increase in debt spreads. Volatility has soared, with the closely watched Chicago Board Options Exchange Volatility Index moving to an all-time high of 70.33 on October 17, indicating that fear (rather than greed) has been ruling the markets.After reaching record lows in May 2007, emerging markets bond spreads are now above pre-Asian crisis levels. The JPMorgan EMBI+ Latin American composite widened by 146 basis points in the third quarter, with spreads reaching 448 basis points at the end of September. Spreads have widened sharply in recent weeks as foreign investors cut back regional exposure for the safety of U.S. Treasuries. The ongoing lack of liquidity and subsequent liquidation of assets is leading to a collapse in asset prices and a sharp widening in spreads. Daily spreads in October have risen to levels not seen since December 2002, making it much more difficult for governments that need financing to get it. Risk premiums for Latin corporates and sovereigns have risen substantially, but have remained well below U.S. junk (high-yield) bonds. Latin corporates are facing a steep rise in foreign exchange borrowing costs (although less than firms in other emerging markets), which raises concerns that refinancing risks will climb.So far, emerging markets vulnerabilities have been more focused on corporates, as sovereigns have improved public debt dynamics and countries' financing needs are under control. Market performance has been driven by the rapid deterioration of emerging markets bank and corporate market, as well as ongoing losses in emerging markets equities. From January to September 2008, the Morgan Stanley Capital International (MSCI) Latin American Index lost almost 28%, while the Emerging Markets Index lost 37% and the G-7 Index lost 24%. While in 2007 the Latin America component gained 47%, almost nine times as much as the MSCI-G7 index for developed markets, since mid-September 2008 stocks in Latin America have been doing worse than stocks in developed countries, as concerns about access to credit and the adverse impact of sharp falls in commodity prices and in local currencies contribute to increased risk aversion and to outflows of capital. Many governments in the region have used revenue from the commodity boom to pay down debt and build reserves. Now, facing a global financial crisis and the threat of recession in developed countries, the biggest question for Latin America is how long and deep this cyclical downturn will be, and how much it is going to reduce commodity prices. Prices for commodities such as soy, gold, copper and oil, which helped fund the region's boom, have fallen 28% since their July 2 high, according to the RJ/CRB Commodity Price Index. According to Morgan Stanley (in a September 29 report), should prices return to their 10-year average, Latin America's balanced budgets would quickly revert to a deficit of 4.1% of GDP. As risk aversion increases, investors are rapidly pulling out massive amounts of money, creating problems for local markets and banks. There is an ongoing shortage of dollars (as investors liquidate assets in Latin American markets), and as currencies depreciate, inflation concerns increase despite the global slowdown. In Brazil and Mexico, central banks deployed billions of dollars of reserves to stem steep currency declines, as companies in these countries, believing their local currencies would continue to strengthen against the U.S. dollar, took debts in dollars. Some companies also made bets using currency derivatives that have led to losses in the billions of dollars. Dramatic currency swings have caused heavy losses for many companies, from Mexico's cement giant Cemex SAB to the Brazilian conglomerate Grupo Votorantim. Mexico's third-largest retailer, Controladora Comercial Mexicana, declared bankruptcy recently after reporting huge losses related to exchange rate bets. As concerns about corporate exposure to dollar-denominated derivatives increases, yields on bonds issued by many of Brazil's and Mexico's leading companies have started to rise, sharply raising the cost of issuing new debt. Latin American external debt issuance came to a halt in the third quarter of 2008, totaling only US$ 690 million. The cost of obtaining loans for capital expenditures, M&A and debt refinancing is also rising substantially for Latin American corporates amid contagion from the U.S. financial crisis. According to bankers, a protracted trend of shortening tenors and widening spreads has intensified in the past few weeks, indicating that bank lending is quickly following the way of bonds and equity. Finally, money transfers from Latin American migrants are expected to decline for the first time this decade, as a result of economic downturns in the U.S. and Spain, inflation and a weaker dollar. The Mexican Central Bank announced that money transfers from Mexicans living in the U.S. dropped a record 12.2% in August. In 2008, migrants from the region will send some 1.7% less in remittances year-on-year when adjusted for inflation, according to the IADB, compounding the adverse effects of the deepening financial turmoil.

The Geography of Brazilian External Trade: Right Option for a BRIC?

Words can make a difference sometimes.Brazil is – together with the other ´BRIC´- a large economy, with an increasingly high profile in the international scenario. Large domestic market makes it more likely to obtain ‘growth-led exports’ rather than ‘export-led growth’, which implies a pro-active role in international relations. The option for intensifying regional trade links is a reasonable one and perhaps even inevitable, taking into account the experience elsewhere, but the actual regional conditions raise a number of questions that have to do both with further empirical assessment and to more specific identification of expectations with regard to probable achievements. This article has shown that the road to reach significant progress in this direction is not flat and requires more clear signalling to economic agents, strong political will and a good deal of specific measures. But it has also suggested that it might provide positive results.

Elaboração e avaliação sensorial de pré-mistura de massa para pão sem glúten a partir de derivados energéticos de mandioca

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)