Nonparametric tail risk, macroeconomics and stock returns: predictability and risk premia

This paper proposes a new novel to calculate tail risks incorporating risk-neutral information without dependence on options data. Proceeding via a non parametric approach we derive a stochastic discount factor that correctly price a chosen panel of stocks returns. With the assumption that states probabilities are homogeneous we back out the risk neutral distribution and calculate five primitive tail risk measures, all extracted from this risk neutral probability. The final measure is than set as the first principal component of the preliminary measures. Using six Fama-French size and book to market portfolios to calculate our tail risk, we find that it has significant predictive power when forecasting market returns one month ahead, aggregate U.S. consumption and GDP one quarter ahead and also macroeconomic activity indexes. Conditional Fama-Macbeth two-pass cross-sectional regressions reveal that our factor present a positive risk premium when controlling for traditional factors.

Life Cycle Models, Heterogeneity of Initial Assets,and Wealth Inequality

Life cycle general equilibrium models with heterogeneous agents have a very hard time reproducing the American wealth distribution. A common assumption made in this literature is that all young adults enter the economy with no initial assets. In this article, we relax this assumption – not supported by the data - and evaluate the ability of an otherwise standard life cycle model to account for the U.S. wealth inequality. The new feature of the model is that agents enter the economy with assets drawn from an initial distribution of assets, which is estimated using a non-parametric method applied to data from the Survey of Consumer Finances. We found that heterogeneity with respect to initial wealth is key for this class of models to replicate the data. According to our results, American inequality can be explained almost entirely by the fact that some individuals are lucky enough to be born into wealth, while others are born with few or no assets.

Análise de performance de fundos de investimento multimercado no Brasil

O objetivo deste trabalho é verificar se os fundos de investimento Multimercado no Brasil geram alphas significativamente positivos, ou seja, se os gestores possuem habilidade e contribuem positivamente para o retorno de seus fundos. Para calcular o alpha dos fundos, foi utilizado um modelo com sete fatores, baseado, principalmente, em Edwards e Caglayan (2001), com a inclusão do fator de iliquidez de uma ação. O período analisado vai de 2003 a 2013. Encontramos que, em média, os fundos multimercado geram alpha negativo. Porém, apesar de o percentual dos que geram interceptos positivos ser baixo, a magnitude dos mesmos é expressiva. Os resultados diferem bastante por classificação Anbima e por base de dados utilizada. Verifica-se também se a performance desses fundos é persistente através de um modelo não-paramétrico baseado em tabelas de contingência. Não encontramos evidências de persistência, nem quando separamos os fundos por classificação.

Gonad development and hormone titres in Loggerhead Sea Turtles (Caretta caretta) in the NE Atlantic

The study proposed to describe sexual development in pelagic stage loggerhead sea turtles Caretta caretta and compare this to hatchlings and adults. It is meant as an ontogenic approach, in order to understand reproductive development and population composition and their dynamics in the pelagic environment. The study focused on the pelagic loggerheads that are found in the waters offshore Madeira Island (Portugal) in the North-eastern Atlantic and use it as a developmental habitat. The innovating character of this work relied on the lack of any description regarding the gonad ontogenesis and reproductive development for the pelagic stage in any of the 7 existing sea turtle species, all of them in danger of extinction. Three methods were used to diagnose the sex of each juvenile individual and asses the level of reproductive development: (1) laparoscopy, (2) gonad biopsy and (3) the assessment of two sex steroids circulating levels, namely testosterone and estradiol. In order to cover all life stages and compare data obtained for the juvenile stage, hatchlings and nesting female adults were sampled at the nearest nesting rookery at Boa Vista Island in the Cape Verde Archipelago. Gonads from dead hatchlings were collected for gonad histology and blood was collected from nesting females for sex steroids assessment. Laparoscopies revealed to be a valid sexing method for the juvenile stage, since gonads are morphologically differentiated at these size classes. Moreover, laparoscopy was validated using gonad histology. Gonad histology of juveniles showed that gonads are already completely differentiated into ovaries or testes at the size classes examined, but development seems to be quiescent. Males present already developed seminiferous tubules with spermatogonia lining the interior of the seminiferous tubule. Female gonads present oocytes at different development stages, but only oocytes up to stage III were observed. The maximum oocyte diameter in each individual correlated with body size, suggesting that reproductive development is an on-going process in juvenile females. The circulating levels of both testosterone and estradiol in juveniles of both sexes were very low and consistently lower than the ones observed in the nesting females from Boa Vista Island. No bimodal distribution was found for any of the sex steroids analysed and thus circulating hormone levels were not a reliable tool for sexing juvenile individuals with a non-invasive technique. The ratio testosterone:estradiol did not show a bimodal distribution either. The levels of testosterone correlated with sea surface temperature. The fact that temperatures observed during this study were below 24ºC might have hindered a differential testosterone pattern between juvenile males and females. Sex ratios for this population were generated according to laparoscopy results and compared among years and size classes. An overall sex ratio of 2 females for each male was found, but they varied among size classes but not among years. Possible causes for the sex ratios observed are discussed. This study is a contribution to our knowledge on the pelagic stage of loggerhead turtles, namely on the population structure regarding sex ratio, which is a vital tool for implementing conservation strategies.

Os efeitos das reclamações online na lealdade dos consumidores: um estudo experimental

In an environment of constant change, technological developments, market competition and more informed consumers, the search for a lasting relationship through the conquest of loyalty has become the objective of companies. However, several authors suggest that this loyalty can be affected by negative comments available on the internet. Therefore, this dissertation has as objective to examine if the complaints are available on the internet impact the loyalty to a brand of mobile phone. The research used as the basis the Expanded NCSB model suggest by Johnson et al. (2001), studying five prominent drives of loyalty: image/brand reputation, affective commitment, calculative commitment, perceived value and trust, beyond the satisfaction construct as moderator variable. The research method adopted was the experimental design which included 285 undergraduate students, with the trial which included 285 undergraduate students, with the field study of the mobile industry, specifically, the brands of cell phones. The research approach was quantitative and methods were descriptive statistics, factor analysis, cluster analysis, linear regression and non-parametric test of Wilcoxon for data analysis. Of the 16 hypothesis stemmed from the research model proposed, 12 were confirmed. The results showed that the complaint available on the internet, here represented by the available on the site Reclame Aqui, may impact consumer perceptions about brand loyalty, as well as its antecedents, being that these complaints can affect all the consumers, regardless of historical satisfaction with the brand. It also noted the positive relationship between the independent variables trust, image/brand reputation, perceived value, affective commitment and calculative commitment and the dependent variable - loyalty, even when considering the data obtained after exposure to the complaint. However, no unanimous conclusion that the relationship between these variables was strongest in the group with satisfactory experience. At the first moment of the research, the trust was the most important variable for the formation of loyalty. However, after exposure to treatment, the image/brand reputation, was more relevant. Contributions of the study, limitations and recommendations for future researches are approached in the present investigation

Influence of door handles design in effort perception: accessibility and usability

The application of ergonomics in product design is essential to its accessibility and usability. The development of manual devices should be based on ergonomic principles. Effort perception analysis is an essential approach to understand the physical and subjective aspects of the interface. The objective of the present study was to analyze the effort perception during a simulated task with different door handles by Portuguese subjects of both genders and different ages. This transversal study agreed with ethical aspects. 180 subjects of both genders pertaining to three age groups have participated. Five door handles with different shapes were evaluated. A subjective numeric rating scale of 5 levels was used to evaluate the effort. For statistical analysis it was applied the Friedman non-parametric test. The results have showed no significant differences of effort perception in door handles "A" and "B"; "A" and "D"; and "D" and "C". Door handle "E" presented the lowest values of all. In general, there's an inverse relationship between the results of biomechanical studies and the effort perception of the same task activity. This shows that door handles design influence directly these two variables and can interfere in the accessibility and usability of these kinds of products.

Ecologia trófica de anfíbios anuros: relações filogenéticas em diferentes escalas

Understand the origin, maintenance and the mechanisms that operate in the current biodiversity is the major goal of ecology. Species ecology can be influenced by different factors at different scales. There are three approaches about the ecological differences between species: the first brings that differences result from current processes on niche characteristics (e.g. diet, time, space); the second that species differences are explained by random patterns of speciation, extinction and dispersion, the third that historical events explain the formation and composition of species in communities. This study aims to evaluate the influence of phylogenetic relationships in determining ecological characteristics in amphibians (globally) and test with that, if ecological differences between species of frogs are the result of ancient pre-existing differences or as result of current interactions. Another objective of this study is to verify if ecological, historical or current characteristics determine the size of species geographical distribution. The diet data for analysis of trophic ecology were collected from published literature. We performed a non-parametric MANOVA to test the existence of phylogenetic effects in diet shifts on frogs history. Thus, it is expected to know the main factors that allow the coexistence of anuran species. We performed a phylogenetic regression to analyze if niche breadth, body size and evolutionary age variables determine the size of the geographical distribution of amphibians in the Amazon. In the present study, new contributions to knowledge of major ecological patterns of anurans are discussed under a phylogenetic perspective

A Fruticultura Irrigada de pequenos produtores no Baixo-Açu: Uma análise da eficiência de custo

This work has as an objective analyze the efficiency of producers costs of the irrigation Project Baixo-Açu , and identify the determining factors of this efficiency. To achieve these targets it was estimated, in a first stage, a frontier of costs by the method, non parametric of Data Envelopment Analysis-DEA, and measured the stakes of efficiency producers. On the second stage, it was utilized the Tobit regression pattern, estimating an inefficiency function of costs, and were indentified the associated factors of resources waste. Among the results found it was noticed the existence of a high waste of resources, that represent more than 54% of effective cost. Among the factors with the highest wastes are: energy, herbicides, defensives and chemical fertilizers. In a general way, the producers presented low efficiency level and, only, two, of seventy-five researched, achieved the frontier of costs minimization. These results reveal, in a certain way, that the producers in irrigated fruit growing in the project Baixo-Açu don t seek to minimize the production costs. It was still noticed, that the reduction of resources waste, and this way the inefficiency of costs, is associated with the agriculturalist education, his experience in agriculture, his access to the technical assistance and credit

Convergência ou divergência no desenvolvimento? um estudo multidimensional para o sudeste e o nordeste do Brasil, 1990-2010

The analysis of some aspects of development in Brazil in the past three decades reveals an improvement on a range of indicators isolated in the south east the richest region and north east the poorest region. From a database of twenty variables, the main purpose the study was to verify if there are indications of convergence or divergence in five dimensions of development between the two regions from 1990 to 2010. Aiming to identify the states more similar and different, and to verify changes in the composition of low development groups and high development in the adressed period, was used the analysis of groupings (Cluster Analysis). Additionally, to test equality of distance between states all the time, was used the non-parametric Test of Wilcoxon. This makes it possible to verify IF the distance between the states of two regions has been increasing or has been falling, showing signs of divergence or convergence. The results of Cluster s analysis suggest that there are indications of convergence inside the cluster of north east, but the distance between two regions has not changed. The results of test of Wilcoxon suggests that there have been no changes statistically significant in the distance between the states, in the two regions the standards of development became more homogenous, but the two regions will be far apart

Tornar-se, ser e viver do professorado: entre regularidades e variações identitárias

The main aim of this research has been to analyze the identity patterns of the teacher s staff of fundamental education public schools in the Metropolitan Area of Natal-RN. It sets out from the hypothesis that being a teacher within this context grows out of the regularities of a specific habitus, which, according to Bourdieu, develops into mental schemes of thought and action within a specific social group. This habitus forms the basis on which is built the social representation of being a teacher prevailing in the group, as well as the symbolic differences that typify its identity variations. Three data sources have been fundamental in building up this thesis: (a) formative essays of students graduating from a Higher Teacher s Formation Course, as well as observing some of the public defense of these essays during field work; (b) a questionnaire aimed at classifying economically, socially, and culturally a sample of public teachers of the Natal-RN county; and (c) submitting a sub-sample of this group to the process of Multiple Classification Procedures (MCP). The analysis of data was done according to the multidimensional, non-parametric statistical procedures of both the Category Content Analysis and Enunciation Analysis methods. The results of the analysis took into account an ample set of variables, its associations and implications, the cultural and social profile of the population under scrutiny, their life styles, as well as the strategies they developed in the process of becoming a teacher, and the social representation of being a teacher . We came to the conclusion that the social identity of the teachers corps, or as we prefer to say it being a teacher , is a result of a set of regularities produced by the habitus that gives social shape and meaning to the existence of the group proper. We note the existence of identity variations caused by the variables (a) educational level; and (b) mode of action in fundamental education (if these are the first or last grades where the subjects operate). However, these variations will not break the power of the regularities that give shape, meaning, and social visibility to the group. The social representation of being a teacher points to the tensions, ambiguities, and trends inherent to common sense, as well as to a strong tendency to reassign a new meaning to being a teacher. Our thesis, therefore, is that the identity configuration of the teachers corps under scrutiny is characterized by an integrative synthesis, by-product of a habitus that is superimposed, and at the same time co-exists with different identity variations

Representação social do ensinar: a dimensão pedagógica do habitus professoral

Teaching is an activity inherent to the human condition. Historically, from the institutionalization of education, the key role to pursue that activity has been attributed to the teacher, who is required to adapt to the demands of each historical conjuncture. Currently, according to the new paradigmatic requirements, the teacher must possess various skills in order to handle the complex and challenging act of teaching. Assuming the existence of a gap between what the State and the scientific discourse recommend the teacher act upon in the classroom, a decision was made to identify the configuration and structure of social representation in the act of teaching, put forth by elementary school teachers in the public schools of Natal, RN, Brazil. Therefore, the research relied on the theoretical model developed by Domingos Sobrinho (1998, 2000, 2003), which articulates the praxeology of Pierre Bourdieu with the theory of social representations of Serge Moscovici (1978). It was intended to demonstrate how teachers habitus, in its due historical context, directs the construction of social representations in the act of teaching which guides the actions of the teacher, particularly in the classroom context. At the methodological level, the following methods and techniques were used: bibliographic and documentary review in order to identify the scientific discourse on the subject matter and the official parameters of educational regulation and the act of teaching; the Procedure of Multiple Classifications PMC in order to capture the configuration and structure of the representational content in focus, the direct observation of the classroom to identify in actual terms the social representation as "guide to action" as the theory preaches. From the standpoint of the analysis, quantitative data were analysed through Multidimensional Scaling MDS, covering in this study the Multidimensional Scale Analysis MSA and Smallest Space Analysis SSA; and non-parametric statiscal techniques. Additional data of qualitative value had to undergo categorical content analysis. It was then concluded that the teachers investigated guided themselves by social representation, the product of collectively constructed and shared assumptions about the act of teaching, forming a synthesis of different sources of information and knowledge acquirement, involving elements of common sense, religious habitus, pedagogic models considered outdated, the agencies responsible for teacher training and the hegemonic discourse about education today

Haematological and biochemical reference intervals for farmed channel catfish

The reference intervals for biochemical variables and red blood cell indices of healthy intensively bred channel catfish Ictalurus punctatus were determined. The blood variables were determined using standardized clinical methods. The reference intervals (25th and 75th percentiles) were established using a non-parametric method. Reference intervals for plasma glucose, serum total protein, sodium, potassium, calcium, magnesium, chloride concentration, primary and secondary red blood cell indices were established. The haematological and biochemical reference intervals established may allow important clinical decisions about channel catfish. (c) 2007 the Authors Journal compilation (C) 2007 the Fisheries Society of the British Isles.

Correlação entre medidas paramétricas e não-paramétricas de estabilidade em soja

Foram avaliadas a adaptabilidade e a estabilidade de genótipos de soja (Glycine max L.) segundo a metodologia clássica de Eberhart e Russell e a estabilidade dos mesmos genótipos pela metodologia não-paramétrica de Huhn. Os experimentos foram conduzidos no delineamento em blocos casualizados, com três repetições e com 30 tratamentos (genótipos de soja), durante três anos consecutivos. As parcelas experimentais foram constituídas por quatro linhas de cultivo, espaçadas de 0,50 m e com densidade de 25 plantas por metro linear. Como área útil, foram tomadas as linhas centrais, eliminando-se 0,5 m de cada extremidade. A comparação entre as metodologias foi efetuada considerando-se o caráter produção de grãos. Verificou-se correlação de posição significativa dos postos dos genótipos, entre o desvio da regressão e as duas medidas não-paramétricas de estabilidade, porém o mesmo não foi observado entre o coeficiente de regressão e as medidas não-paramétricas (Si(1) e Si(2)). As medidas Si(1) e Si(2) mostraram-se quase que perfeitamente correlacionadas.

Metodologia estatística na solução do problema do caixeiro viajante e na avaliação de algoritmos : um estudo aplicado à transgenética computacional

The problems of combinatory optimization have involved a large number of researchers in search of approximative solutions for them, since it is generally accepted that they are unsolvable in polynomial time. Initially, these solutions were focused on heuristics. Currently, metaheuristics are used more for this task, especially those based on evolutionary algorithms. The two main contributions of this work are: the creation of what is called an -Operon- heuristic, for the construction of the information chains necessary for the implementation of transgenetic (evolutionary) algorithms, mainly using statistical methodology - the Cluster Analysis and the Principal Component Analysis; and the utilization of statistical analyses that are adequate for the evaluation of the performance of the algorithms that are developed to solve these problems. The aim of the Operon is to construct good quality dynamic information chains to promote an -intelligent- search in the space of solutions. The Traveling Salesman Problem (TSP) is intended for applications based on a transgenetic algorithmic known as ProtoG. A strategy is also proposed for the renovation of part of the chromosome population indicated by adopting a minimum limit in the coefficient of variation of the adequation function of the individuals, with calculations based on the population. Statistical methodology is used for the evaluation of the performance of four algorithms, as follows: the proposed ProtoG, two memetic algorithms and a Simulated Annealing algorithm. Three performance analyses of these algorithms are proposed. The first is accomplished through the Logistic Regression, based on the probability of finding an optimal solution for a TSP instance by the algorithm being tested. The second is accomplished through Survival Analysis, based on a probability of the time observed for its execution until an optimal solution is achieved. The third is accomplished by means of a non-parametric Analysis of Variance, considering the Percent Error of the Solution (PES) obtained by the percentage in which the solution found exceeds the best solution available in the literature. Six experiments have been conducted applied to sixty-one instances of Euclidean TSP with sizes of up to 1,655 cities. The first two experiments deal with the adjustments of four parameters used in the ProtoG algorithm in an attempt to improve its performance. The last four have been undertaken to evaluate the performance of the ProtoG in comparison to the three algorithms adopted. For these sixty-one instances, it has been concluded on the grounds of statistical tests that there is evidence that the ProtoG performs better than these three algorithms in fifty instances. In addition, for the thirty-six instances considered in the last three trials in which the performance of the algorithms was evaluated through PES, it was observed that the PES average obtained with the ProtoG was less than 1% in almost half of these instances, having reached the greatest average for one instance of 1,173 cities, with an PES average equal to 3.52%. Therefore, the ProtoG can be considered a competitive algorithm for solving the TSP, since it is not rare in the literature find PESs averages greater than 10% to be reported for instances of this size.

Contribuições para a análise de sinais neuronais e biomédicos

Following the new tendency of interdisciplinarity of modern science, a new field called neuroengineering has come to light in the last decades. After 2000, scientific journals and conferences all around the world have been created on this theme. The present work comprises three different subareas related to neuroengineering and electrical engineering: neural stimulation; theoretical and computational neuroscience; and neuronal signal processing; as well as biomedical engineering. The research can be divided in three parts: (i) A new method of neuronal photostimulation was developed based on the use of caged compounds. Using the inhibitory neurotransmitter GABA caged by a ruthenium complex it was possible to block neuronal population activity using a laser pulse. The obtained results were evaluated by Wavelet analysis and tested by non-parametric statistics. (ii) A mathematical method was created to identify neuronal assemblies. Neuronal assemblies were proposed as the basis of learning by Donald Hebb remain the most accepted theory for neuronal representation of external stimuli. Using the Marcenko-Pastur law of eigenvalue distribution it was possible to detect neuronal assemblies and to compute their activity with high temporal resolution. The application of the method in real electrophysiological data revealed that neurons from the neocortex and hippocampus can be part of the same assembly, and that neurons can participate in multiple assemblies. (iii) A new method of automatic classification of heart beats was developed, which does not rely on a data base for training and is not specialized in specific pathologies. The method is based on Wavelet decomposition and normality measures of random variables. Throughout, the results presented in the three fields of knowledge represent qualification in neural and biomedical engineering