Sampling Interval and estimated Betas : Implications for the Presence of Transitory Components in Stock Prices

We provide a theoretical framework to explain the empirical finding that the estimated betas are sensitive to the sampling interval even when using continuously compounded returns. We suppose that stock prices have both permanent and transitory components. The permanent component is a standard geometric Brownian motion while the transitory component is a stationary Ornstein-Uhlenbeck process. The discrete time representation of the beta depends on the sampling interval and two components labelled \"permanent and transitory betas\". We show that if no transitory component is present in stock prices, then no sampling interval effect occurs. However, the presence of a transitory component implies that the beta is an increasing (decreasing) function of the sampling interval for more (less) risky assets. In our framework, assets are labelled risky if their \"permanent beta\" is greater than their \"transitory beta\" and vice versa for less risky assets. Simulations show that our theoretical results provide good approximations for the means and standard deviations of estimated betas in small samples. Our results can be perceived as indirect evidence for the presence of a transitory component in stock prices, as proposed by Fama and French (1988) and Poterba and Summers (1988).

The impact of a permanent Income shock on the situation of women in the household: the case of a pension reform in Argentina

Transfers to women may affect their bargaining power within the household and consequently their well-being. We analyze the effects of the 2004/2005 pension reform in Argentina, that resulted in an unexpected and substantial increase in permanent income for around 1.8 million women, on outcomes arguably related to women’s bargaining power within the household. We estimate the effects of the reform in the probability of divorce/separation, the distribution of household chores, and the probability of women being the head of the household, using a Difference-in-Differences approach. Our results show that despite the low divorce probability among seniors, transfers to senior women have substantial effects on their situation in the household. More specifically, we find that the reform had statistically significant effects on the probability of divorce/separation increasing it by 1.8 − 2.7 percentage points implying an increase of around 18 − 19% on the divorce/separation rate of 60 − 65 year old women. Moreover, the probability of being the head of the household also increased by 2.8−3.3 percentage points representing an increase of 7−19% in the probability amongst women of 60 − 65 years of age. In the case of married women, the probability of being the head of the household increased by 1.3 − 1.5 percentage points, which represents an increase of 20 − 22%. Results show that the distribution of household chores within the couples was also affected by the reform. More precisely, the probability that the wife is the only person in charge of the housework decreased by 5 percentage points, an 11% decrease. The participation of husbands in housework, however, did not change significantly.

Point sampling with uniformly distributed lines

In this paper we address the problem of extracting representative point samples from polygonal models. The goal of such a sampling algorithm is to find points that are evenly distributed. We propose star-discrepancy as a measure for sampling quality and propose new sampling methods based on global line distributions. We investigate several line generation algorithms including an efficient hardware-based sampling method. Our method contributes to the area of point-based graphics by extracting points that are more evenly distributed than by sampling with current algorithms

Variograms of ancillary data to aid sampling for soil surveys

To provide reliable estimates for mapping soil properties for precision agriculture requires intensive sampling and costly laboratory analyses. If the spatial structure of ancillary data, such as yield, digital information from aerial photographs, and soil electrical conductivity (EC) measurements, relates to that of soil properties they could be used to guide the sampling intensity for soil surveys. Variograins of permanent soil properties at two study sites on different parent materials were compared with each other and with those for ancillary data. The ranges of spatial dependence identified by the variograms of both sets of properties are of similar orders of magnitude for each study site, Maps of the ancillary data appear to show similar patterns of variation and these seem to relate to those of the permanent properties of the soil. Correlation analysis has confirmed these relations. Maps of kriged estimates from sub-sampled data and the original variograrns showed that the main patterns of variation were preserved when a sampling interval of less than half the average variogram range of ancillary data was used. Digital data from aerial photographs for different years and EC appear to show a more consistent relation with the soil properties than does yield. Aerial photographs, in particular those of bare soil, seem to be the most useful ancillary data and they are often cheaper to obtain than yield and EC data.

Using non-homogeneous Poisson models with multiple change-points to estimate the number of ozone exceedances in Mexico City

In this paper, we consider some non-homogeneous Poisson models to estimate the probability that an air quality standard is exceeded a given number of times in a time interval of interest. We assume that the number of exceedances occurs according to a non-homogeneous Poisson process (NHPP). This Poisson process has rate function lambda(t), t >= 0, which depends on some parameters that must be estimated. We take into account two cases of rate functions: the Weibull and the Goel-Okumoto. We consider models with and without change-points. When the presence of change-points is assumed, we may have the presence of either one, two or three change-points, depending of the data set. The parameters of the rate functions are estimated using a Gibbs sampling algorithm. Results are applied to ozone data provided by the Mexico City monitoring network. In a first instance, we assume that there are no change-points present. Depending on the adjustment of the model, we assume the presence of either one, two or three change-points. Copyright (C) 2009 John Wiley & Sons, Ltd.

Aerosol inorganic composition at a tropical site: Discrepancies between filter-based sampling and a semi-continuous method

The concentrations of the water-soluble inorganic aerosol species, ammonium (NH4+), nitrate (NO3-), chloride (Cl-), and sulfate (SO42-), were measured from September to November 2002 at a pasture site in the Amazon Basin (Rondnia, Brazil) (LBA-SMOCC). Measurements were conducted using a semi-continuous technique (Wet-annular denuder/Steam-Jet Aerosol Collector: WAD/SJAC) and three integrating filter-based methods, namely (1) a denuder-filter pack (DFP: Teflon and impregnated Whatman filters), (2) a stacked-filter unit (SFU: polycarbonate filters), and (3) a High Volume dichotomous sampler (HiVol: quartz fiber filters). Measurements covered the late dry season (biomass burning), a transition period, and the onset of the wet season (clean conditions). Analyses of the particles collected on filters were performed using ion chromatography (IC) and Particle-Induced X-ray Emission spectrometry (PIXE). Season-dependent discrepancies were observed between the WAD/SJAC system and the filter-based samplers. During the dry season, when PM2.5 (D-p <= 2.5 mu m) concentrations were similar to 100 mu g m(-3), aerosol NH4+ and SO42- measured by the filter-based samplers were on average two times higher than those determined by the WAD/SJAC. Concentrations of aerosol NO3- and Cl- measured with the HiVol during daytime, and with the DFP during day- and nighttime also exceeded those of the WAD/SJAC by a factor of two. In contrast, aerosol NO3- and Cl- measured with the SFU during the dry season were nearly two times lower than those measured by the WAD/SJAC. These differences declined markedly during the transition period and towards the cleaner conditions during the onset of the wet season (PM2.5 similar to 5 mu g m(-3)); when filter-based samplers measured on average 40-90% less than the WAD/SJAC. The differences were not due to consistent systematic biases of the analytical techniques, but were apparently a result of prevailing environmental conditions and different sampling procedures. For the transition period and wet season, the significance of our results is reduced by a low number of data points. We argue that the observed differences are mainly attributable to (a) positive and negative filter sampling artifacts, (b) presence of organic compounds and organosulfates on filter substrates, and (c) a SJAC sampling efficiency of less than 100%.

Soil sampling intensity and spatial distribution pattern of soils attributes and corn yield in no-tillage system

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

Stratified Sampling Applied to Estimation of the Volumetric Fraction of Alumina in Cast Metal Matrix Composites

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

The double sampling and the EWMA charts based on the sample variances

We propose a new statistic to control the covariance matrix of bivariate processes. This new statistic is based on the sample variances of the two quality characteristics, in short VMAX statistic. The points plotted on the chart correspond to the maximum of the values of these two variances. The reasons to consider the VMAX statistic instead of the generalized variance vertical bar S vertical bar is its faster detection of process changes and its better diagnostic feature; that is, with the VMAX statistic it is easier to identify the out-of-control variable. We study the double sampling (DS) and the exponentially weighted moving average (EWMA) charts based on the VMAX statistic. (C) 2008 Elsevier B.V. All rights reserved.

Simultaneous Determination of Cadmium and Lead in Medicinal Plants Using Graphite Furnace Atomic Absorption Spectrometry and Direct Slurry Sampling

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

Sampling mobility index: Case study in Assis - Brazil

The objective of this work is to present an index which may synthesize a set of indicators of mobility for medium size cities urban centers. Three great areas were selected to compose the mobility index: pedestrians, motor vehicles and cycling. The Sampling Mobility Index is given by the sum of the punctuation the indicators selected and can to result in 700 points, the best result to mobility, and 0 points, the worse to mobility. The result obtained is given by the Sampling Mobility Index equal to 390. This result indicates a critical situation in Assis, as far as mobility is concerned. (c) 2005 Elsevier Ltd. All rights reserved.

VSSI (X)over-bar charts with sampling at fixed times

A standard (X) over bar chart for controlling the process mean takes samples of size no at specified, equally-spaced, fixed-time points. This article proposes a modification of the standard (X) over bar chart that allows one to take additional samples, bigger than no, between these fixed times. The additional samples are taken from the process when there is evidence that the process mean moved from target. Following the notation proposed by Reynolds (1996a) and Costs (1997) we shortly call the proposed (X) over bar chart as VSSIFT (X) over bar chart: where VSSIFT means variable sample size and sampling intervals with fixed times. The (X) over bar chart with the VSSIFT feature is easier to be administered than a standard VSSI (X) over bar chart that is not constrained to sample at the specified fixed times. The performances of the charts in detecting process mean shifts are comparable.

VSSI X̄ charts with sampling at fixed times

A standard X̄ chart for controlling the process mean takes samples of size n0 at specified, equally-spaced, fixed-time points. This article proposes a modification of the standard X chart that allows one to take additional samples, bigger than n0, between these fixed times. The additional samples are taken from the process when there is evidence that the process mean moved from target. Following the notation proposed by Reynolds (1996a) and Costa (1997) we shortly call the proposed X chart as VSSIFT X chart where VSSIFT means variable sample size and sampling intervals with fixed times. The X chart with the VSSIFT feature is easier to be administered than a standard VSSI X chart that is not constrained to sample at the specified fixed times. The performances of the charts in detecting process mean shifts are comparable. Copyright © 1998 by Marcel Dekker, Inc.

Fluorose dentária e concentração de flúor nas unhas de crianças residentes em diferentes áreas fluoretadas

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Sampling density and proportion for the characterization of the variability of Oxisol attributes on different materials

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)