865 resultados para extended regime-switching GARCH


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We present a polyhedral framework for establishing general structural properties on optimal solutions of stochastic scheduling problems, where multiple job classes vie for service resources: the existence of an optimal priority policy in a given family, characterized by a greedoid(whose feasible class subsets may receive higher priority), where optimal priorities are determined by class-ranking indices, under restricted linear performance objectives (partial indexability). This framework extends that of Bertsimas and Niño-Mora (1996), which explained the optimality of priority-index policies under all linear objectives (general indexability). We show that, if performance measures satisfy partial conservation laws (with respect to the greedoid), which extend previous generalized conservation laws, then theproblem admits a strong LP relaxation over a so-called extended greedoid polytope, which has strong structural and algorithmic properties. We present an adaptive-greedy algorithm (which extends Klimov's) taking as input the linear objective coefficients, which (1) determines whether the optimal LP solution is achievable by a policy in the given family; and (2) if so, computes a set of class-ranking indices that characterize optimal priority policies in the family. In the special case of project scheduling, we show that, under additional conditions, the optimal indices can be computed separately for each project (index decomposition). We further apply the framework to the important restless bandit model (two-action Markov decision chains), obtaining new index policies, that extend Whittle's (1988), and simple sufficient conditions for their validity. These results highlight the power of polyhedral methods (the so-called achievable region approach) in dynamic and stochastic optimization.

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This paper presents and estimates a dynamic choice model in the attribute space considering rational consumers. In light of the evidence of several state-dependence patterns, the standard attribute-based model is extended by considering a general utility function where pure inertia and pure variety-seeking behaviors can be explained in the model as particular linear cases. The dynamics of the model are fully characterized by standard dynamic programming techniques. The model presents a stationary consumption pattern that can be inertial, where the consumer only buys one product, or a variety-seeking one, where the consumer shifts among varied products.We run some simulations to analyze the consumption paths out of the steady state. Underthe hybrid utility assumption, the consumer behaves inertially among the unfamiliar brandsfor several periods, eventually switching to a variety-seeking behavior when the stationary levels are approached. An empirical analysis is run using scanner databases for three different product categories: fabric softener, saltine cracker, and catsup. Non-linear specifications provide the best fit of the data, as hybrid functional forms are found in all the product categories for most attributes and segments. These results reveal the statistical superiority of the non-linear structure and confirm the gradual trend to seek variety as the level of familiarity with the purchased items increases.

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O regime jurídico consagrado na primeira Lei dos Portos de Cabo Verde reflete a visão de médio e longo prazo do Governo, os valores fundamentais da comunidade portuária e da sociedade a que está sendo aplicada desde o arranque da importante reforma legislativa despoletada a partir de 2010 no setor portuário e marítimo, encarando como um dos objetivos principais destes diplomas a transformação do modelo de gestão dos portos pela ENAPOR,S.A. num modelo de Landlord Port, com os privados a desenvolver na linha da frente as atividades de operação e serviços portuários a serem concessionados, como forma diferenciada de governação das atividades do aludido sector. Preparar paralelamente um pacote legislativo que abrangesse o Projeto de Lei dos Portos e a respetiva regulamentação e as bases gerais da Concessão Geral dos Portos e a sua regulamentação, assim como o Código Marítimo foi, por isso mesmo, uma tarefa e um desafio consideráveis na vertente técnica e política. O Governo soube ler as tendências e as reais possibilidades económica e financeiras dos mercados portuários de interesse geral, atento ao debate ocorrido noutros países relativo ao processo de reformas e os impactos sobre a organização e o funcionamento do sistema económico conexo às atividades portuárias, incluindo as consequências das respetivas ações de liberalização e privatização. E ainda a necessidade do País continuar a abrir-se de forma mais intensa e num ritmo mais acelerado para o processo progressivo de liberalização e privatização das atividades económicas a ele associadas, transferindo para a gestão privada importantes sectores económicos, ainda que continue a ser reservado ao sector público um significativo papel de coordenação e integração de atividades, assegurando o Estado alguma responsabilidade no investimento em infraestruturas essenciais e de regulação sobre os segmentos que serão objeto de privatização a curtíssimo prazo. A presente dissertação é o resultante da consolidação dos ricos e profundos conhecimentos teóricos especializados a nível internacional obtidos ao longo deste Curso de Mestrado ministrado pelos Professores da Universidade de Valladolid, aliados à troca profícua de experiências com os Consultores estrangeiros encarregues do VI aperfeiçoamento do pacote de leis atrás referido e do Grupo de Trabalho do IMP e da ENAPOR de que fiz parte. Fizemos um breve e abrangente balanço sobre os objetivos traçados e os caminhos já trilhados e por trilhar a curtíssimo, curto, médio e longo prazo, os ganhos já alcançados, comparando a nossa realidade e a evolução de outros Estados portuários. Com o presente trabalho pretende-se fazer uma avaliação sobre as etapas essenciais dos processos de reformas portuárias, no plano internacional e em Cabo Verde, na fase anterior às concessões, procurando perspetivar teoricamente as questões essenciais que, do ponto de vista organizativo e em relação ao modelo de regulação e de governação, nos seus diferentes planos de concretização, permitirão gizar os caminhos mais eficazes para o desenvolvimento da atividade dos portos cabo-verdianos.

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This paper studies the short run correlation of inflation and money growth. We study whether a model of learning can do better than a model of rational expectations, we focus our study on countries of high inflation. We take the money process as an exogenous variable, estimated from the data through a switching regime process. We findthat the rational expectations model and the model of learning both offer very good explanations for the joint behavior of money and prices.

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The goal of this paper is to estimate time-varying covariance matrices.Since the covariance matrix of financial returns is known to changethrough time and is an essential ingredient in risk measurement, portfolioselection, and tests of asset pricing models, this is a very importantproblem in practice. Our model of choice is the Diagonal-Vech version ofthe Multivariate GARCH(1,1) model. The problem is that the estimation ofthe general Diagonal-Vech model model is numerically infeasible indimensions higher than 5. The common approach is to estimate more restrictive models which are tractable but may not conform to the data. Our contributionis to propose an alternative estimation method that is numerically feasible,produces positive semi-definite conditional covariance matrices, and doesnot impose unrealistic a priori restrictions. We provide an empiricalapplication in the context of international stock markets, comparing thenew estimator to a number of existing ones.

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In Switzerland, the issue of land consumption has made it to the front of the political agenda in recent years. Studies conducted on a national level have concluded that there is an excess of land zoned for construction (ARE, 2008), which is seen as contributing to urban sprawl. This situation is looked upon as a failure of the Federal Law on Spatial Planning (LAT, 1979) and there is a political push to change it in order to reinforce zoning regulations. In this article, we look on the issue from a different angle. While there may be large quantities of land zoned for construction, in many urban areas land actually available for development is scarce. Building on the idea that planning's efficiency is linked to its capacity of influencing actual land-use, we focus on how this situation can be dealt with within the current Swiss institutional context.

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OBJECTIVES: To provide a global, up-to-date picture of the prevalence, treatment, and outcomes of Candida bloodstream infections in intensive care unit patients and compare Candida with bacterial bloodstream infection. DESIGN: A retrospective analysis of the Extended Prevalence of Infection in the ICU Study (EPIC II). Demographic, physiological, infection-related and therapeutic data were collected. Patients were grouped as having Candida, Gram-positive, Gram-negative, and combined Candida/bacterial bloodstream infection. Outcome data were assessed at intensive care unit and hospital discharge. SETTING: EPIC II included 1265 intensive care units in 76 countries. PATIENTS: Patients in participating intensive care units on study day. INTERVENTIONS: None. MEASUREMENT AND MAIN RESULTS: Of the 14,414 patients in EPIC II, 99 patients had Candida bloodstream infections for a prevalence of 6.9 per 1000 patients. Sixty-one patients had candidemia alone and 38 patients had combined bloodstream infections. Candida albicans (n = 70) was the predominant species. Primary therapy included monotherapy with fluconazole (n = 39), caspofungin (n = 16), and a polyene-based product (n = 12). Combination therapy was infrequently used (n = 10). Compared with patients with Gram-positive (n = 420) and Gram-negative (n = 264) bloodstream infections, patients with candidemia were more likely to have solid tumors (p < .05) and appeared to have been in an intensive care unit longer (14 days [range, 5-25 days], 8 days [range, 3-20 days], and 10 days [range, 2-23 days], respectively), but this difference was not statistically significant. Severity of illness and organ dysfunction scores were similar between groups. Patients with Candida bloodstream infections, compared with patients with Gram-positive and Gram-negative bloodstream infections, had the greatest crude intensive care unit mortality rates (42.6%, 25.3%, and 29.1%, respectively) and longer intensive care unit lengths of stay (median [interquartile range]) (33 days [18-44], 20 days [9-43], and 21 days [8-46], respectively); however, these differences were not statistically significant. CONCLUSION: Candidemia remains a significant problem in intensive care units patients. In the EPIC II population, Candida albicans was the most common organism and fluconazole remained the predominant antifungal agent used. Candida bloodstream infections are associated with high intensive care unit and hospital mortality rates and resource use.

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This paper offers empirical evidence that a country's choice of exchange rate regime can have a signifficant impact on its medium-term rate of productivity growth. Moreover, the impact depends critically on the country's level of financial development, its degree of market regulation, and its distance from the global technology frontier. We illustrate how each of these channels may operate in a simple stylized growth model in which real exchange rate uncertainty exacerbates the negative investment e¤ects of domestic credit market constraints. The empirical analysis is based on an 83 country data set spanning the years 1960-2000. Our approach delivers results that are in striking contrast to the vast existing empirical exchange rate literature, which largely finds the effects of exchange rate volatility on real activity to be relatively small and insignificant.

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Liquid-chromatography (LC) high-resolution (HR) mass spectrometry (MS) analysis can record HR full scans, a technique of detection that shows comparable selectivity and sensitivity to ion transitions (SRM) performed with triple-quadrupole (TQ)-MS but that allows de facto determination of "all" ions including drug metabolites. This could be of potential utility in in vivo drug metabolism and pharmacovigilance studies in order to have a more comprehensive insight in drug biotransformation profile differences in patients. This simultaneous quantitative and qualitative (Quan/Qual) approach has been tested with 20 patients chronically treated with tamoxifen (TAM). The absolute quantification of TAM and three metabolites in plasma was realized using HR- and TQ-MS and compared. The same LC-HR-MS analysis allowed the identification and relative quantification of 37 additional TAM metabolites. A number of new metabolites were detected in patients' plasma including metabolites identified as didemethyl-trihydroxy-TAM-glucoside and didemethyl-tetrahydroxy-TAM-glucoside conjugates corresponding to TAM with six and seven biotransformation steps, respectively. Multivariate analysis allowed relevant patterns of metabolites and ratios to be associated with TAM administration and CYP2D6 genotype. Two hydroxylated metabolites, α-OH-TAM and 4'-OH-TAM, were newly identified as putative CYP2D6 substrates. The relative quantification was precise (<20 %), and the semiquantitative estimation suggests that metabolite levels are non-negligible. Metabolites could play an important role in drug toxicity, but their impact on drug-related side effects has been partially neglected due to the tremendous effort needed with previous MS technologies. Using present HR-MS, this situation should evolve with the straightforward determination of drug metabolites, enlarging the possibilities in studying inter- and intra-patients drug metabolism variability and related effects.

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During the last 2 years, several novel genes that encode glucose transporter-like proteins have been identified and characterized. Because of their sequence similarity with GLUT1, these genes appear to belong to the family of solute carriers 2A (SLC2A, protein symbol GLUT). Sequence comparisons of all 13 family members allow the definition of characteristic sugar/polyol transporter signatures: (1) the presence of 12 membrane-spanning helices, (2) seven conserved glycine residues in the helices, (3) several basic and acidic residues at the intracellular surface of the proteins, (4) two conserved tryptophan residues, and (5) two conserved tyrosine residues. On the basis of sequence similarities and characteristic elements, the extended GLUT family can be divided into three subfamilies, namely class I (the previously known glucose transporters GLUT1-4), class II (the previously known fructose transporter GLUT5, the GLUT7, GLUT9 and GLUT11), and class III (GLUT6, 8, 10, 12, and the myo-inositol transporter HMIT1). Functional characteristics have been reported for some of the novel GLUTs. Like GLUT1-4, they exhibit a tissue/cell-specific expression (GLUT6, leukocytes, brain; GLUT8, testis, blastocysts, brain, muscle, adipocytes; GLUT9, liver, kidney; GLUT10, liver, pancreas; GLUT11, heart, skeletal muscle). GLUT6 and GLUT8 appear to be regulated by sub-cellular redistribution, because they are targeted to intra-cellular compartments by dileucine motifs in a dynamin dependent manner. Sugar transport has been reported for GLUT6, 8, and 11; HMIT1 has been shown to be a H+/myo-inositol co-transporter. Thus, the members of the extended GLUT family exhibit a surprisingly diverse substrate specificity, and the definition of sequence elements determining this substrate specificity will require a full functional characterization of all members.

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The plant-beneficial bacterium Pseudomonas brassicacearum forms phenotypic variants in vitro as well as in planta during root colonization under natural conditions. Transcriptome analysis of typical phenotypic variants using microarrays containing coding as well as noncoding DNA fragments showed differential expression of several genes relevant to secondary metabolism and of the small RNA (sRNA) genes rsmX, rsmY, and rsmZ. Naturally occurring mutations in the gacS-gacA system accounted for phenotypic switching, which was characterized by downregulation of antifungal secondary metabolites (2,4-diacetylphloroglucinol and cyanide), indoleacetate, exoenzymes (lipase and protease), and three different N-acyl-homoserine lactone molecules. Moreover, in addition to abrogating these biocontrol traits, gacS and gacA mutations resulted in reduced expression of the type VI secretion machinery, alginate biosynthesis, and biofilm formation. In a gacA mutant, the expression of rsmX was completely abolished, unlike that of rsmY and rsmZ. Overexpression of any of the three sRNAs in the gacA mutant overruled the pleiotropic changes and restored the wild-type phenotypes, suggesting functional redundancy of these sRNAs. In conclusion, our data show that phenotypic switching in P. brassicacearum results from mutations in the gacS-gacA system.

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Na caracterização hídrica dos solos do Campus da Faculdade de Ciências Agrárias e Veterinárias de Jaboticabal (SP), verificou-se que o Latossolo Vermelho eutroférrico típico apresentou maior capacidade de água disponível. A retenção da água, na capacidade de campo (0,01 MPa) e ponto de murcha permanente (1,5 MPa), correlacionou-se melhor com as frações argila e silte, em relação ao teor de matéria orgânica e densidade do solo. Utilizando características hídricas, como a capacidade de água disponível, foi estabelecido por meio do balanço hídrico de Thornthwaite o regime hídrico para os solos. Verificou-se a predominância do regime hídrico ústico em todos os solos (Latossolo Vermelho Nitossolo).

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This paper focuses on the switching behaviour of enrolees in the Swiss basic health insurance system. Even though the new Federal Law on Social Health Insurance (LAMal) was implemented in 1996 to promote competition among health insurers in basic insurance, there is limited evidence of premium convergence within cantons. This indicates that competition has not been effective so far, and reveals some inertia among consumers who seem reluctant to switch to less expensive funds. We investigate one possible barrier to switching behaviour, namely the influence of supplementary insurance. We use survey data on health plan choice (a sample of 1943 individuals whose switching behaviours were observed between 1997 and 2000) as well as administrative data relative to all insurance companies that operated in the 26 Swiss cantons between 1996 and 2005. The decision to switch and the decision to subscribe to a supplementary contract are jointly estimated.Our findings show that holding a supplementary insurance contract substantially decreases the propensity to switch. However, there is no negative impact of supplementary insurance on switching when the individual assesses his/her health as 'very good'. Our results give empirical support to one possible mechanism through which supplementary insurance might influence switching decisions: given that subscribing to basic and supplementary contracts with two different insurers may induce some administrative costs for the subscriber, holding supplementary insurance acts as a barrier to switch if customers who consider themselves 'bad risks' also believe that insurers reject applications for supplementary insurance on these grounds. In comparison with previous research, our main contribution is to offer a possible explanation for consumer inertia. Our analysis illustrates how consumer choice for one's basic health plan interacts with the decision to subscribe to supplementary insurance.