Testing Futures Market Efficiency and Optimal Hedge Ratio Estimation: Evidence from Futures and Options on RTS

This study investigates futures market efficiency and optimal hedge ratio estimation. First, cointegration between spot and futures prices is studied using Johansen method, with two different model specifications. If prices are found cointegrated, restrictions on cointegrating vector and adjustment coefficients are imposed, to account for unbiasedness, weak exogeneity and prediction hypothesis. Second, optimal hedge ratios are estimated using static OLS, and time-varying DVEC and CCC models. In-sample and out-of-sample results for one, two and five period ahead are reported. The futures used in thesis are RTS index, EUR/RUB exchange rate and Brent oil, traded in Futures and options on RTS.(FORTS) For in-sample period, data points were acquired from start of trading of each futures contract, RTS index from August 2005, EUR/RUB exchange rate March 2009 and Brent oil October 2008, lasting till end of May 2011. Out-of-sample period covers start of June 2011, till end of December 2011. Our results indicate that all three asset pairs, spot and futures, are cointegrated. We found RTS index futures to be unbiased predictor of spot price, mixed evidence for exchange rate, and for Brent oil futures unbiasedness was not supported. Weak exogeneity results for all pairs indicated spot price to lead in price discovery process. Prediction hypothesis, unbiasedness and weak exogeneity of futures, was rejected for all asset pairs. Variance reduction results varied between assets, in-sample in range of 40-85 percent and out-of sample in range of 40-96 percent. Differences between models were found small, except for Brent oil in which OLS clearly dominated. Out-of-sample results indicated exceptionally high variance reduction for RTS index, approximately 95 percent.

Combined selection in early generation testing of self-pollinated plants

Seven selection indexes based on the phenotypic value of the individual and the mean performance of its family were assessed for their application in breeding of self-pollinated plants. There is no clear superiority from one index to another although some show one or more negative aspects, such as favoring the selection of a top performing plant from an inferior family in detriment of an excellent plant from a superior family

Intensity and physiological responses to the 6-minute walk test in middle-aged and older adults: a comparison with cardiopulmonary exercise testing

The 6-minute walk test (6MWT) is a simple field test that is widely used in clinical settings to assess functional exercise capacity. However, studies with healthy subjects are scarce. We hypothesized that the 6MWT might be useful to assess exercise capacity in healthy subjects. The purpose of this study was to evaluate 6MWT intensity in middle-aged and older adults, as well as to develop a simple equation to predict oxygen uptake ( V ˙ O 2 ) from the 6-min walk distance (6MWD). Eighty-six participants, 40 men and 46 women, 40-74 years of age and with a mean body mass index of 28±6 kg/m2, performed the 6MWT according to American Thoracic Society guidelines. Physiological responses were evaluated during the 6MWT using a K4b2 Cosmed telemetry gas analyzer. On a different occasion, the subjects performed ramp protocol cardiopulmonary exercise testing (CPET) on a treadmill. Peak V ˙ O 2 in the 6MWT corresponded to 78±13% of the peak V ˙ O 2 during CPET, and the maximum heart rate corresponded to 80±23% of that obtained in CPET. Peak V ˙ O 2 in CPET was adequately predicted by the 6MWD by a linear regression equation: V ˙ O 2 mL·min-1·kg-1 = -2.863 + (0.0563×6MWDm) (R2=0.76). The 6MWT represents a moderate-to-high intensity activity in middle-aged and older adults and proved to be useful for predicting cardiorespiratory fitness in the present study. Our results suggest that the 6MWT may also be useful in asymptomatic individuals, and its use in walk-based conditioning programs should be encouraged.

Enzyme reactions as index of freshness of Fish and Shellfish

An attempt has been made in this study to screen some fish muscle enzymes to assess their potential worth in testing the degree of freshness of fish. A problem with routine enzyme activity determinations is the complexity of the method of enzyme assay. Hence, in the present study as far as possible simple assay techniques were adopted. Several species were screened to assess the possibility of employing this procedure on a large scale. It is hoped that findings of this study will lead to the development of meaningful criteria in testing the freshness of fish. This thesis has been divided into five chapters

Statistical inference for testing Gini coefficients: an application for Colombia

This paper uses Colombian household survey data collected over the period 1984-2005 to estimate Gini coe¢ cients along with their corresponding standard errors. We Önd a statistically signiÖcant increase in wage income inequality following the adoption of the liberalisation measures of the early 1990s, and mixed evidence during the recovery years that followed the economic recession of the late 1990s. We also Önd that in several cases the observed di§erences in the Gini coe¢ cients across cities have not been statistically signiÖcant.

Calculating the exclusion probability and paternity index for X-chromosomal loci in the presence of substructure

There has been recent interest in the use of X-chromosomal loci for forensic and relatedness testing casework, with many authors developing new X-linked short tandem repeat (STR) loci suitable for forensic use. Here we present formulae for two key quantities in paternity testing, the average probability of exclusion and the paternity index, which are suitable for Xchromosomal loci in the presence of population substructure.

Hedging options in a garch environment: testing the term structure of stochastic volatility models

This paper develops a methodology for testing the term structure of volatility forecasts derived from stochastic volatility models, and implements it to analyze models of S&P500 index volatility. U sing measurements of the ability of volatility models to hedge and value term structure dependent option positions, we fmd that hedging tests support the Black-Scholes delta and gamma hedges, but not the simple vega hedge when there is no model of the term structure of volatility. With various models, it is difficult to improve on a simple gamma hedge assuming constant volatility. Ofthe volatility models, the GARCH components estimate of term structure is preferred. Valuation tests indicate that all the models contain term structure information not incorporated in market prices.

Molecular analysis of the Von Hippel-Lindau (VHL) gene in a family with non-syndromic pheochromocytoma: the importance of genetic testing

Dois pacientes índices da família analisada neste estudo foram submetidos a adrenalectomia bilateral devido a feocromocitoma. Foi, então, realizado o estudo genético dos pacientes e de sete parentes de primeiro grau. Os dois pacientes com feocromocitoma e dois outros membros assintomáticos da família apresentaram a mutação c496G>T no exon 3 do gene VHL. A família perdeu seguimento médico. Três anos após a realização da avaliação genética, a irmã dos pacientes, portadora da mutação, foi encaminhada para o nosso serviço após uma gestação complicada por pré-eclampsia. Ela referia paroxismos sugestivos de feocromocitoma, mas as metanefrinas urinárias eram negativas. Entretanto, a tomografia computadorizada de abdômen evidenciou uma massa adrenal que também se contrastou na cintilografia com metaiodobenzilguanidina (MIBG). Esse estudo mostra que a análise molecular do paciente índice pode levar à identificação de parentes assintomáticos portadores da mutação. Além disso, mesmo com as metanefrinas urinárias negativas, a identificação de uma mutação específica levou a um aumento da suspeita e detecção de feocromocitoma na irmã dos afetados pela doença.

In vitro analysis of shear bond strength and adhesive remnant index comparing light curing and self-curing composites

OBJETIVO: Avaliar in vitro a resistência ao cisalhamento de compósitos autopolimerizáveis (Concise e Alpha Plast) e fotopolimerizáveis (Transbond XT e Natural Ortho) utilizados na colagem de braquetes metálicos da marca Morelli, analisando o índice de adesivo remanescente (ARI) e da integridade da superfície do esmalte por meio de microscopia eletrônica de varredura (MEV). MÉTODOS: foram utilizados 40 pré-molares humanos extraídos. As raízes dos dentes foram incluídas em gesso-pedra especial, no interior de tubos de PVC usados para a confecção dos corpos de prova. Esses corpos de prova foram divididos em quatro grupos: grupo G1, braquetes associados ao compósito Concise; grupo G2, braquetes associados ao compósito Alpha Plast; grupo G3, braquetes associados ao compósito Transbond XT; e grupo G4, braquetes associados ao compósito Natural Ortho. Os grupos foram submetidos ao teste de cisalhamento em máquina universal de ensaios, a uma velocidade de 0,5mm por minuto. RESULTADOS: houve diferença estatística entre os grupos G3 e G4, sendo os valores de G4 superiores; no entanto, não foram encontradas diferenças estatisticamente significativas entre os grupos G1, G2 e G3 e G1, G2 e G4. Na análise do ARI não foram encontradas diferenças estatísticas entre os grupos, predominando escores baixos. De acordo com a análise da MEV, constatou-se o rompimento dos compósitos e a integridade do esmalte entre os grupos. CONCLUSÃO: a resistência ao cisalhamento foi satisfatória e semelhante entre os compósitos utilizados, sendo que a resina Natural Ortho apresentou-se superior à Transbond XT.

Diagnostic index of three-dimensional osteoarthritic changes in temporomandibular joint condylar morphology

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

Evaluation of femur of orchiectomized guinea pigs by bone densitometry using dual-energy x-ray absortiometry (DXA) and mechanical testing

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

RELATIONSHIP AMONG EXTRACTIVES, LIGNIN AND HOLOCELLULOSE CONTENTS WITH PERFORMANCE INDEX OF SEVEN WOOD SPECIES USED FOR BOWS OF STRING INSTRUMENTS

In this paper we investigate the influence of extractives, lignin and holocellulose contents on performance index (PI) of seven woods used or tested for violin bows. Woods with higher values of this index (PI = root MOE/rho, where MOE is modulus of elasticity and rho is density) have a higher bending stiffness at a given mass, which can be related to bow wood quality. Extractive content was negatively correlated with PI in Caesalpinia echinata, Hanclroanthus sp. and Astronium lecointei. In C. echinata holocellulose was positively correlated with PI. These results need to be further explored with more samples and by testing additional wood properties. Although the chemical constituents could provide an indication of quality, it is not possible to establish appropriate woods for bows solely by examining their chemical constituents.

Testing the Performance of Fourteen Native Tropical Tree Species in Two Abandoned Pastures of the Lacandon Rainforest Region of Chiapas, Mexico

The rainforest of Mexico has been degraded and severely fragmented, and urgently require restoration. However, the practice of restoration has been limited by the lack of species-specific data on survival and growth responses to local environmental variation. This study explores the differential performance of 14 wet tropical early-, mid- or late-successional tree species that were grown in two abandoned pastures with contrasting land-use histories. After 18 months, seedling survival and growth of at least 7 of the 14 tree species studied were significantly higher in the site with a much longer history of land use (site 2). Saplings of the three early-successional species showed exceptional growth rates. However, differences in performance were noted in relation to the differential soil properties between the experimental sites. Mid-successional species generally showed slow growth rates but high seedling survival, whereas late-successional species exhibited poor seedling survival at both the study sites. Stepwise linear regressions revealed that the species integrated response index combining survivorship and growth measurements, was influenced mostly by differences in soil pH between the two abandoned pastures. Our results suggest that local environmental variation among abandoned pastures of contrasting land-use histories influences sapling survival and growth. Furthermore, the similarity of responses among species with the same successional status allowed us to make some preliminary site and species-specific silvicultural recommendations. Future field experiments should extend the number of species and the range of environmental conditions to identify site generalists or more narrowly adapted species, that we would call sensitive.