Is stock market volatility persistent? A fractionally integrated approach

This paper seeks to study the persistence in the G7’s stock market volatility, which is carried out using the GARCH, IGARCH and FIGARCH models. The data set consists of the daily returns of the S&P/TSX 60, CAC 40, DAX 30, MIB 30, NIKKEI 225, FTSE 100 and S&P 500 indexes over the period 1999-2009. The results evidences long memory in volatility, which is more pronounced in Germany, Italy and France. On the other hand, Japan appears as the country where this phenomenon is less obvious; nevertheless, the persistence prevails but with minor intensity.

What drives corporate default risk premia? Evidence from the CDS market

This paper studies the evolution of the default risk premia for European firms during the years surrounding the recent credit crisis. We employ the information embedded in Credit Default Swaps (CDS) and Moody’s KMV EDF default probabilities to analyze the common factors driving this risk premia. The risk premium is characterized in several directions: Firstly, we perform a panel data analysis to capture the relationship between CDS spreads and actual default probabilities. Secondly, we employ the intensity framework of Jarrow et al. (2005) in order to measure the theoretical effect of risk premium on expected bond returns. Thirdly, we carry out a dynamic panel data to identify the macroeconomic sources of risk premium. Finally, a vector autoregressive model analyzes which proportion of the co-movement is attributable to financial or macro variables. Our estimations report coefficients for risk premium substantially higher than previously referred for US firms and a time varying behavior. A dominant factor explains around 60% of the common movements in risk premia. Additionally, empirical evidence suggests a public-to-private risk transfer between the sovereign CDS spreads and corporate risk premia.

Evidence of portuguese stock market abnormal returns

According to the stock market efficiency theory, it is not possible to consistently beat the market. However, technical analysis is more and more spread as an efficient way to achieve abnormal returns. In fact there is evidence that momentum investing strategies provide abnormal returns in different stock markets, Jegadeesh, N. and Titman, S. (1993), George, T. and Hwang, C. (2004) and Du, D. (2009). In this work we study if like other markets, the Portuguese stock market also allows to obtain abnormal returns, using a strategy that consists in picking stocks according to their past performance. Our work confirms the results of Soares, J. and Serra, A. (2005) and Pereira, P. (2009), showing that an investor can get abnormal returns investing in momentum portfolios. The Portuguese stock market evidences momentum returns in short term, exhibiting reversal in long term.

Industry concentration and market volatility

In this paper our aim is to gain a better understanding of the relationship between market volatility and industrial structure. As conflicting results have been documented regarding the relationship between market industry concentration and market volatility, this study investigates this relationship in the time series. We have found that this relationship is only significant and positive for Spain. Our results suggest that we cannot generalize across different countries that market industrial structure (concentration) is a significant factor in explaining market volatility.

The role of an illiquidity factor in the Portuguese stock market

This study examines the role of illiquidity (proxied by the proportion of zero returns) as an additional risk factor in asset pricing. We use Portuguese monthly data, covering the period between January 1988 and December 2008. We compute an illiquidity factor using the Fama and French [Fama, E. F., and K. R. French (1993), "Common risk factors in the returns on stocks and bonds", Journal of Financial Economics, Vol. 33, Nº. 1, pp. 3-56] procedure and analyze the performance of CAPM, Fama-French three-factor model and illiquidity-augmented versions of these models in explaining both the time-series and the cross-section of returns. Our results reveal that the effect of characteristic liquidity is subsumed by the models considered, but the risk of illiquidity is not priced in the Portuguese stock market.

The Interpretation of Verbal Probability Expressions Used in the IAS/IFRS: the auditors Rrgistered with the portuguese securities market commission

One of the main arguments in favour of the adoption and convergence with the international accounting standards published by the IASB (i.e. IAS/IFRS) is that these will allow comparability of financial reporting across countries. However, because these standards use verbal probability expressions (v.g. “probable”) when establishing the recognition and disclosure criteria for accounting elements, they require professional accountants to interpret and classify the probability of an outcome or event taking into account those terms and expressions and to best decide in terms of financial reporting. This paper reports part of a research we carried out on the interpretation of “in context” verbal probability expressions used in the IAS/IFRS by the auditors registered with the Portuguese Securities Market Commission, the Comissão do Mercado de Valores Mobiliários (CMVM). Our results provide support for the hypothesis that culture affects the CMVM registered auditors’ interpretation of verbal probability expressions through its influence on the accounting value (or attitude) of conservatism. Our results also suggest that there are significant differences in their interpretation of the term “probable”, which is consistent with literature in general. Since “probable” is the most frequent verbal probability expression used in the IAS/IFRS, this may have a negative impact on financial statements comparability.

Folk culture and political power: practices and representations of moliceiro culture in Portugal, cultural sociology

This article analyses the painted panels of the moliceiro boat, a traditional working boat of the Ria de Aveiro region of Portugal. The article examines how the painted panels have been invented and reinvented over time. The boat and its panels are contextualized both within the changing socio-economic conditions of the Ria de Aveiro region, and the changing socio-political conditions of Portugal throughout the 20th century and until the present day. The article historically analyses the social significance of ‘moliceiro culture’, examining in particular the power relations it expresses and its ambiguous past and present relationships with the political and the economic powers of the Portuguese state. The article unpacks some of the complexity of the relations that have pertained between public and private, local and national, folk culture and ‘art’, and popular and institutional in the Ria de Aveiro region in particular, and Portugal more generally.

A DC-DC Step-Up mu-Power Converter for Energy Harvesting Applications, Using Maximum Power PointTracking, Based on Fractional Open Circuit Voltage

A DC-DC step-up micro power converter for solar energy harvesting applications is presented. The circuit is based on a switched-capacitorvoltage tripler architecture with MOSFET capacitors, which results in an, area approximately eight times smaller than using MiM capacitors for the 0.131mu m CMOS technology. In order to compensate for the loss of efficiency, due to the larger parasitic capacitances, a charge reutilization scheme is employed. The circuit is self-clocked, using a phase controller designed specifically to work with an amorphous silicon solar cell, in order to obtain themaximum available power from the cell. This will be done by tracking its maximum power point (MPPT) using the fractional open circuit voltage method. Electrical simulations of the circuit, together with an equivalent electrical model of an amorphous silicon solar cell, show that the circuit can deliver apower of 1132 mu W to the load, corresponding to a maximum efficiency of 66.81%.

A Step-up mu-Power Converter for Solar Energy Harvesting Applications, using Hill Climbing Maximum Power Point Tracking

This paper presents a step-up micro-power converter for solar energy harvesting applications. The circuit uses a SC voltage tripler architecture, controlled by an MPPT circuit based on the Hill Climbing algorithm. This circuit was designed in a 0.13 mu m CMOS technology in order to work with an a-Si PV cell. The circuit has a local power supply voltage, created using a scaled down SC voltage tripler, controlled by the same MPPT circuit, to make the circuit robust to load and illumination variations. The SC circuits use a combination of PMOS and NMOS transistors to reduce the occupied area. A charge re-use scheme is used to compensate the large parasitic capacitors associated to the MOS transistors. The simulation results show that the circuit can deliver a power of 1266 mu W to the load using 1712 mu W of power from the PV cell, corresponding to an efficiency as high as 73.91%. The simulations also show that the circuit is capable of starting up with only 19% of the maximum illumination level.

Comparative study of power converter topologies and control strategies for the harmonic performance of variable-speed wind turbine generator systems

Power converters play a vital role in the integration of wind power into the electrical grid. Variable-speed wind turbine generator systems have a considerable interest of application for grid connection at constant frequency. In this paper, comprehensive simulation studies are carried out with three power converter topologies: matrix, two-level and multilevel. A fractional-order control strategy is studied for the variable-speed operation of wind turbine generator systems. The studies are in order to compare power converter topologies and control strategies. The studies reveal that the multilevel converter and the proposed fractional-order control strategy enable an improvement in the power quality, in comparison with the other power converters using a classical integer-order control strategy. (C) 2010 Elsevier Ltd. All rights reserved.

A congestion management and transmission price simulator for competitive electricity markets

In a liberalized electricity market, the Transmission System Operator (TSO) plays a crucial role in power system operation. Among many other tasks, TSO detects congestion situations and allocates the payments of electricity transmission. This paper presents a software tool for congestion management and transmission price determination in electricity markets. The congestion management is based on a reformulated Optimal Power Flow (OPF), whose main goal is to obtain a feasible solution for the re-dispatch minimizing the changes in the dispatch proposed by the market operator. The transmission price computation considers the physical impact caused by the market agents in the transmission network. The final tariff includes existing system costs and also costs due to the initial congestion situation and losses costs. The paper includes a case study for the IEEE 30 bus power system.

DITRANS - a multi-agent system for integrated diagnosis of power transformers

This paper describes the development and the implementation of a multi-agent system for integrated diagnosis of power transformers. The system is divided in layers which contain a number of agents performing different functions. The social ability and cooperation between the agents lead to the final diagnosis and to other relevant conclusions through integrating various monitoring technologies, diagnostic methods and data sources, such as the dissolved gas analysis.

Influência e contrainfluência na inversão do poder tipográfico entre Portugal e o Brasil: narrativa e atividade nos editores portugueses

Tempo fértil em alterações que transformaram a face do universo editorial em Portugal e no Brasil, os anos que decorrem entre a última metade da década de 1930 e o fim da década de 1960 constituem o período em que se assiste a uma inversão nos processos de influência tipográfica entre os dois países, com Portugal a passar de exportador para importador de livros no seu comércio com o Brasil. Este artigo pretende analisar o ponto de vista da edição portuguesa nos modos variados como os seus agentes foram representando o Brasil enquanto centro produtor e disseminador do livro, e como as mudanças suscitadas foram ocorrendo num contexto de oscilação – e tensão – entre discursos amarrados a uma época de ouro (ou imaginada como tal) que ficava relutantemente para trás e práticas de colaboração efectiva entre os universos tipográficos português e brasileiro, essencialmente suportadas na actuação de editores individuais. ABSTRACT - There was a time of many alterations that changed the face of the publishing world in Portugal and Brazil during the years spanning from the second half of the 1930’s to the end of the 1960’s. This was a period in which one could observe an inversion of publishing influences between the two countries, with Portugal shifting its role and becoming a net book importer in its trade with Brazil. This article intends to analyze the Portuguese publishing world’s point of view as their agents in different ways changed their attitudes toward Brazil as a centre of book production and diffusion. The text also sets out to understand how these transformations occurred in a context of oscillation – and tension – among discourses tied to a golden age (or imagined as such) that was reluctantly left behind, and practices of effective collaboration between the Portuguese and Brazilian publishing worlds – resulting fundamentally from the actions of individual publishers.

VPPs information needs for effective operation in competitive electricity markets

The large increase of renewable energy sources and Distributed Generation (DG) of electricity gives place to the Virtual Power Producer (VPP) concept. VPPs may turn electricity generation by renewable sources valuable in electricity markets. Information availability and adequate decision-support tools are crucial for achieving VPPs’ goals. This involves information concerning associated producers and market operation. This paper presents ViProd, a simulation tool that allows simulating VPPs operation, focusing mainly in the information requirements for adequate decision making.

Importance of technologies characteristics for VPPs

The large increase of renewable energy sources and Distributed Generation (DG) of electricity gives place to the Virtual Power Producer (VPP) concept. VPPs can reinforce the importance of these generation technologies making them valuable in electricity markets. One of the most important tasks of a VPP is the conjugation of technologies to obtain a consistent set of associated producers and allow them to operate in the electric market. This paper presents some characteristics regarding already existent technologies and relevant aspects for producers and for VPP.