Extreme Value Theory versus traditional GARCH approaches applied to financial data: a comparative evaluation

Although stock prices fluctuate, the variations are relatively small and are frequently assumed to be normal distributed on a large time scale. But sometimes these fluctuations can become determinant, especially when unforeseen large drops in asset prices are observed that could result in huge losses or even in market crashes. The evidence shows that these events happen far more often than would be expected under the generalized assumption of normal distributed financial returns. Thus it is crucial to properly model the distribution tails so as to be able to predict the frequency and magnitude of extreme stock price returns. In this paper we follow the approach suggested by McNeil and Frey (2000) and combine the GARCH-type models with the Extreme Value Theory (EVT) to estimate the tails of three financial index returns DJI,FTSE 100 and NIKKEI 225 representing three important financial areas in the world. Our results indicate that EVT-based conditional quantile estimates are much more accurate than those from conventional AR-GARCH models assuming normal or Student’s t-distribution innovations when doing out-of-sample estimation (within the insample estimation, this is so for the right tail of the distribution of returns).

Solid-State Bipolar Marx Converter with Output Transformer and Energy Recovery

The purpose of this paper is to present and discuss a general HV topology of the solid-state Marx modulator, for unipolar or bipolar generation connected with a step-up transformer to increase the output voltage applied to a resistive load. Due to the use of an output transformer, discussion about the reset of the transformer is made to guarantee zero average voltage applied to the primary. It is also discussed the transformer magnetizing energy recovering back to the energy storage capacitors. Simulation results for a circuit that generates 100 kV pulses using 1000 V semiconductors are presented and discussed regarding the voltage and current stress on the semiconductors and result obtained.

Occupational exposure to aflatoxin (AFB1) in poultry production

Aflatoxin B1 (AFB1) has been recognized to produce cancer in human liver. In addition, epidemiological and laboratory studies demonstrated that the respiratory system was a target for AFB1. Exposure occurs predominantly through the food chain, but inhalation represents an additional route of exposure. The present study aimed to examine AFB1 exposure among poultry workers in Portugal. Blood samples were collected from a total of 31 poultry workers from six poultry farms. In addition, a control group (n = 30) was included comprised of workers who undertook administrative tasks. Measurement of AFB1 in serum was performed by enzyme-linked immunosorbent assay (ELISA). For examining fungi contamination, air samples were collected through an impaction method. Air sampling was obtained in pavilion interior and outside the premises, since this was the place regarded as the reference location. Using molecular methods, toxicogenic strains (aflatoxin-producing) were investigated within the group of species belonging to Aspergillus flavus complex. Eighteen poultry workers (59%) had detectable levels of AFB1 with values ranging from <1 ng/ml to4.23 ng/ml and with a mean value of 2 ± 0.98ng/ml. AFB1 was not detected in the serum sampled from any of the controls. Aspergillus flavus was the fungal species third most frequently found in the indoor air samples analyzed (7.2%) and was the most frequently isolated species in air samples containing only Aspergillus genus (74.5%). The presence of aflatoxigenic strains was only confirmed in outdoor air samples from one of the units, indicating the presence of a source inside the building in at least one case. Data indicate that AFB1 inhalation represents an additional risk in this occupational setting that needs to be recognized, assessed, and prevented.

Valor em risco (VAR - value at risk): metodologias não paramétricas

O VAR (Value at Risk) ,valor em risco, é a perda máxima provável de uma carteira para um nível de confiança determinado, num horizonte temporal especificado.

O recurso ao outsourcing na prestação de cuidados de saúde

Nos últimos anos verificou-se uma alteração das condições e modo de funcionamento de empresas e instituições, privadas e públicas, muitas delas através da introdução de novas ferramentas de gestão. De entre elas, podemos destacar o outsourcing, que apesar de não ser um fenómeno actual, é ainda em Portugal uma ferramenta recente e pouco explorada, que pode contribuir de forma decisiva para a modernização, flexibilidade e competitividade das empresas. O presente estudo pretende abordar a contratação de serviços externos nos serviços de saúde públicos, também conhecido como outsourcing, mediante uma análise prática da realidade de uma instituição hospitalar com sete serviços em regime de outsourcing, com recolha dos dados durante o triénio 2008-2010. No Serviço de Urgência durante 2010 o principal prestador recebeu mais 104,28% acima do valor referência/hora, no Serviço de Oftalmologia no ano de 2010 o prestador recebeu um valor superior em 24,91%, no Serviço de Limpeza, Higiene e Conforto é pago ao prestador durante o ano de 2010 um valor superior em 13,85%, no Serviço de Vigilância e Segurança o prestador recebeu durante o ano de 2010 um valor superior em 27,5%, caso a instituição hospitalar optasse por contratar, para os serviços atrás referidos, profissionais para o quadro de pessoal. Ainda em relação ao Serviço de Urgência foi pago mais 21,38% acima do valor de referência publicado por Despacho governamental. Em relação aos Serviços de Lavandaria e de Tratamento de Resíduos Sólidos, não foi possível recolher os dados necessários que pudessem levar a uma conclusão válida sobre os custos pagos pela instituição hospitalar. Pode-se concluir que a contratação de prestadores externos, para os serviços de saúde, essenciais e não essenciais, em regime de outsourcing, revela-se na maioria dos casos analisados a opção menos económica, com custos bastantes elevados.

Ageing effects on the wettability behavior of laser textured silicon

In the present work we investigate the ageing of acid cleaned femtosecond laser textured < 100 > silicon surfaces. Changes in the surface structure and chemistry were analysed by Rutherford backscattering spectrometry (RBS) and X-ray photoelectron spectroscopy (XPS), in order to explain the variation with time of the water contact angles of the laser textured surfaces. It is shown that highly hydrophobic silicon surfaces are obtained immediately after laser texturing and cleaning with acid solutions (water contact angle >120 degrees). However these surfaces are not stable and ageing leads to a decrease of the water contact angle which reaches a value of 80 degrees. XPS analysis of the surfaces shows that the growth of the native oxide layer is most probably responsible for this behavior. (C) 2010 Elsevier B.V. All rights reserved.

O Contributo do sistema SAP R/3 no controlo interno na REFER

Dissertação apresentada ao Instituto Superior de Contabilidade para a obtenção do Grau de Mestre em Auditoria Orientador: Mestre Agostinho Sousa Pinto

O Processo de gestão de risco nas organizações

Dissertação apresentada ao Instituto Superior de Contabilidade e Administração do Porto para obtenção do Grau de Mestre em Auditoria Orientada por Mestre Carlos Manuel Antunes Mendes

Activos fixos tangíveis numa empresa industrial do ramo automóvel transição para o SNC

Dissertação para a obtenção do grau de mestre em Contabilidade e Finanças Orientador: Mestre António Costa Reis

O papel do fundo de maneio das pequenas e médias empresas

Dissertação de Mestrado em Finanças Empresariais

Fatores influenciadores da gestão da qualidade e independência do auditor: um estudo de caso

Dissertação apresentada ao Instituto Superior de Contabilidade para obtenção do Grau de Mestre em Auditoria Orientada por: Doutora Alcina Dias

A novel framework for modeling value for the customer, an essay on negotiation

This paper proposes a novel framework for modelling the Value for the Customer, the so-called the Conceptual Model for Decomposing Value for the Customer (CMDVC). This conceptual model is first validated through an exploratory case study where the authors validate both the proposed constructs of the model and their relations. In a second step the authors propose a mathematical formulation for the CMDVC as well as a computational method. This has enabled the final quantitative discussion of how the CMDVC can be applied and used in the enterprise environment, and the final validation by the people in the enterprise. Along this research, we were able to confirm that the results of this novel quantitative approach to model the Value for the Customer is consistent with the company's empirical experience. The paper further discusses the merits and limitations of this approach, proposing that the model is likely to bring value to support not only the contract preparation at an Ex-Ante Negotiation Phase, as demonstrated, but also along the actual negotiation process, as finally confirmed by an enterprise testimonial.

Conceptual model for decomposing the value for the customer

Value has been defined in different theoretical contexts as need, desire, interest, standard /criteria, beliefs, attitudes, and preferences. The creation of value is key to any business, and any business activity is about exchanging some tangible and/or intangible good or service and having its value accepted and rewarded by customers or clients, either inside the enterprise or collaborative network or outside. “Perhaps surprising then is that firms often do not know how to define value, or how to measure it” (Anderson and Narus, 1998 cited by [1]). Woodruff echoed that we need “richer customer value theory” for providing an “important tool for locking onto the critical things that managers need to know”. In addition, he emphasized, “we need customer value theory that delves deeply into customer’s world of product use in their situations” [2]. In this sense, we proposed and validated a novel “Conceptual Model for Decomposing the Value for the Customer”. To this end, we were aware that time has a direct impact on customer perceived value, and the suppliers’ and customers’ perceptions change from the pre-purchase to the post-purchase phases, causing some uncertainty and doubts.We wanted to break down value into all its components, as well as every built and used assets (both endogenous and/or exogenous perspectives). This component analysis was then transposed into a mathematical formulation using the Fuzzy Analytic Hierarchy Process (AHP), so that the uncertainty and vagueness of value perceptions could be embedded in this model that relates used and built assets in the tangible and intangible deliverable exchange among the involved parties, with their actual value perceptions.

Ensino de léxico e texto descritivo

Dissertação apresentada à Escola Superior de Educação de Lisboa para obtenção de grau de mestre em Didáctica da Língua Portuguesa no 1.º e 2.º Ciclos do Ensino Básico

Dgenco market balancing - cost repartition under light regulation markets

In this paper we present a new methodology, based in game theory, to obtain the market balancing between Distribution Generation Companies (DGENCO), in liberalized electricity markets. The new contribution of this methodology is the verification of the participation rate of each agent based in Nucléolo Balancing and in Shapley Value. To validate the results we use the Zaragoza Distribution Network with 42 Bus and 5 DGENCO.