Using irregularly spaced returns to estimate multi-factor models : application to Brazilian equity data

Multi-factor models constitute a use fui tool to explain cross-sectional covariance in equities retums. We propose in this paper the use of irregularly spaced returns in the multi-factor model estimation and provide an empirical example with the 389 most liquid equities in the Brazilian Market. The market index shows itself significant to explain equity returns while the US$/Brazilian Real exchange rate and the Brazilian standard interest rate does not. This example shows the usefulness of the estimation method in further using the model to fill in missing values and to provide intervaI forecasts.

Does mixed frequency vector error correction model add relevant information to exchange misalignment calculus? Evidence for United States

Real exchange rate is an important macroeconomic price in the economy and a ects economic activity, interest rates, domestic prices, trade and investiments ows among other variables. Methodologies have been developed in empirical exchange rate misalignment studies to evaluate whether a real e ective exchange is overvalued or undervalued. There is a vast body of literature on the determinants of long-term real exchange rates and on empirical strategies to implement the equilibrium norms obtained from theoretical models. This study seeks to contribute to this literature by showing that it is possible to calculate the misalignment from a mixed ointegrated vector error correction framework. An empirical exercise using United States' real exchange rate data is performed. The results suggest that the model with mixed frequency data is preferred to the models with same frequency variables

Consumption-Wealth Ratio and Expected Stock Returns: Evidence from Panel Data on G7 Countries

Using the theoretical framework of Lettau and Ludvigson (2001), we perform an empirical investigation on how widespread is the predictability of cay {a modi ed consumption-wealth ratio { once we consider a set of important countries from a global perspective. We chose to work with the set of G7 countries, which represent more than 64% of net global wealth and 46% of global GDP at market exchange rates. We evaluate the forecasting performance of cay using a panel-data approach, since applying cointegration and other time-series techniques is now standard practice in the panel-data literature. Hence, we generalize Lettau and Ludvigson's tests for a panel of important countries. We employ macroeconomic and nancial quarterly data for the group of G7 countries, forming an unbalanced panel. For most countries, data is available from the early 1990s until 2014Q1, but for the U.S. economy it is available from 1981Q1 through 2014Q1. Results of an exhaustive empirical investigation are overwhelmingly in favor of the predictive power of cay in forecasting future stock returns and excess returns.

Monetary policy, default risk and the exchange rate

In a country with high probability of default, higher interest rates may render the currency less attractive if sovereign default is costly. This paper develops that intuition in a simple model and estimates the effect of changes in interest rates on the exchange rate in Brazil using data from the dates surrounding the monetary policy committee meetings and the methodology of identification through heteroskedasticity. Indeed, we find that unexpected increases in interest rates tend to lead the Brazilian currency to depreciate. It follows that granting more independence to a central bank that focus solely on inflation is not always a free-lunch.

Dynamic headspace solid-phase microextraction combined with one-dimensional gas chromatography–mass spectrometry as a powerful tool to differentiate banana cultivars based on their volatile metabolite profile

In this study the effect of the cultivar on the volatile profile of five different banana varieties was evaluated and determined by dynamic headspace solid-phase microextraction (dHS-SPME) combined with one-dimensional gas chromatography–mass spectrometry (1D-GC–qMS). This approach allowed the definition of a volatile metabolite profile to each banana variety and can be used as pertinent criteria of differentiation. The investigated banana varieties (Dwarf Cavendish, Prata, Maçã, Ouro and Platano) have certified botanical origin and belong to the Musaceae family, the most common genomic group cultivated in Madeira Island (Portugal). The influence of dHS-SPME experimental factors, namely, fibre coating, extraction time and extraction temperature, on the equilibrium headspace analysis was investigated and optimised using univariate optimisation design. A total of 68 volatile organic metabolites (VOMs) were tentatively identified and used to profile the volatile composition in different banana cultivars, thus emphasising the sensitivity and applicability of SPME for establishment of the volatile metabolomic pattern of plant secondary metabolites. Ethyl esters were found to comprise the largest chemical class accounting 80.9%, 86.5%, 51.2%, 90.1% and 6.1% of total peak area for Dwarf Cavendish, Prata, Ouro, Maçã and Platano volatile fraction, respectively. Gas chromatographic peak areas were submitted to multivariate statistical analysis (principal component and stepwise linear discriminant analysis) in order to visualise clusters within samples and to detect the volatile metabolites able to differentiate banana cultivars. The application of the multivariate analysis on the VOMs data set resulted in predictive abilities of 90% as evaluated by the cross-validation procedure.

Política de promoção da exportação : um olhar sobre a evolução da cultura de melão do Rio Grande do Norte

Some sectors in Brazil are earning notoriety in the international market, configuring itself in dynamic areas for the Country. The most typical case is the agribusiness. Rio Grande do Norte state has important role, because 90% of the output of the melon exported by Brazil is produced at Assu/Mossoró. The present work planned to verify the evolution of the culture of the melon produced at Assu/Mossoró area, from 1990 to 2003. Through descriptive research, utilizing the case study and documentary analysis of secondary data this work showed the evolution of the area reaped of melon in the pole Assu/Mossoró, the quantity produced of melon and of the value of the output of the melon between 1990 and 2003. The research verified that all of the factors studied show growth during the analyzed period, showing up the importance of the agribusiness for the region. However the analysis shows the vulnerability of the sector concerning external macroeconomics factors, such as the exchange rates. Showing the importance and/or dependence of the producers for public actions to development of the culture, that might be on areas like infrastructure, economics or taxes

A contextualização e a interdisplinaridade no ensino de Química: uma analise de livros didáticos ACIDO-BASE e das propostas pedagógicas realizadas pelos docentes diante da temática

Nowadays, chemistry contents taught in high school continue to be presented in a fragmented and decontextualized manner by the teachers and the textbooks. Even though it is known that contextualization and interdisciplinary exchange play an important role in the process of Chemistry teaching/learning. Therefore, the present study aims at enlightening the importance of these methodological foundations in the learning of chemistry. The data acquisition about the subject Contextualization and Interdisciplinary Exchange involved in Chemistry Teaching was developed through bibliographical researches on chemistry textbooks, which focused on the analysis of the topics acid and base , since it is a theme studied throughout all three years of high school. The present study also developed questionnaires which were applied to analyze to what extent chemistry teachers are working in a contextualized and interdisciplinary manner throughout the process of Chemistry teaching/learning. The results obtained in the researches show that a contextualized and interdisciplinary teaching contributes to a more meaningful acquisition of chemistry knowledge, in a dynamic and interactive way, but there are still many roadblocks towards the achievement of this kind of Chemistry teaching/learning process

Dynamic stationary response of reinforced plates by the boundary element method

A direct version of the boundary element method (BEM) is developed to model the stationary dynamic response of reinforced plate structures, such as reinforced panels in buildings, automobiles, and airplanes. The dynamic stationary fundamental solutions of thin plates and plane stress state are used to transform the governing partial differential equations into boundary integral equations (BIEs). Two sets of uncoupled BIEs are formulated, respectively, for the in-plane state ( membrane) and for the out-of-plane state ( bending). These uncoupled systems are joined to formamacro-element, in which membrane and bending effects are present. The association of these macro-elements is able to simulate thin-walled structures, including reinforced plate structures. In the present formulation, the BIE is discretized by continuous and/or discontinuous linear elements. Four displacement integral equations are written for every boundary node. Modal data, that is, natural frequencies and the corresponding mode shapes of reinforced plates, are obtained from information contained in the frequency response functions (FRFs). A specific example is presented to illustrate the versatility of the proposed methodology. Different configurations of the reinforcements are used to simulate simply supported and clamped boundary conditions for the plate structures. The procedure is validated by comparison with results determined by the finite element method (FEM).

Vende-se uma vila: análise intra-urbana das vilas na Vila de Ponta Negra e no bairro de Nova Descoberta - Zona Sul de Natal

This dissertation is about low-income rental housing vilas in the South Zone in the city of Natal. Vilas are a string of houses, built privately in an urban plot of land, usually a backyard, facing a narrow street beco. This type of housing is originated in the 19th century in the Brazilian scenario. In Natal, this has become more popular since the late 1960s. This study is aimed at analyzing the urban integration of the vilas, considering that these house a low income population, vis à vis the speedy development of Natal s most economically dynamic area. The study starts with a discussion of the production of space, taking into consideration categories such as use value, exchange value, commodity and land rent. Field work was undertaken through structured interviews with dwellers of vilas in Nova Descoberta and Ponta Negra neighbourhoods. Owners of vilas were also interviewed. Data collected indicated worrisome housing conditions. Vilas, in the areas researched, are increasingly becoming unwelcome, constituting guetos in a place where landscape is changing rapidly. Gentrification is fast under way, first because of rise in rent and taxes; second because of general rise in living costs

Recursive renormalization of the singlet one-pion-exchange plus point-like interactions

The subtracted kernel approach is shown to be a powerful method to be implemented recursively in scattering equations with regular plus point-like interactions. The advantages of the method allows one to recursively renormalize the potentials, with higher derivatives of the Dirac-delta, improving previous results. The applicability of the method is verified in the calculation of the 1 So nucleon-nucleon phase-shifts, when considering a potential with one-pion-exchange plus a contact interaction and its derivatives. The S-1(0) renormalization parameters are fitted to the data. The method can in principle be extended to any derivative order of the contact interaction, to higher partial waves and to coupled channels. (c) 2005 Elsevier B.V. All rights reserved.

GALACTIC NONLINEAR DYNAMIC MODEL

We develop a model for spiral galaxies based on a nonlinear realization of the Newtonian dynamics starting from the momentum and mass conservations in the phase space. The radial solution exhibits a rotation curve in qualitative accordance with the observational data.

Subtractive renormalization of one-pion-exchange and contact interactions

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

Dynamic Scaling and Growth Kinetics of 3-Glycidoxypropyltrimethoxysilane-Derived Organic/Silica Hybrids

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

Kinetic model of poly(3-hydroxybutyrate) thermal degradation from experimental non-isothermal data

The non-isothermal data given by TG curves for poly(3-hydroxybutyrate) (PHB) were studied in order to obtain a consistent kinetic model that better represents the PHB thermal decomposition. Thus, data obtained from the dynamic TG curves were suitably managed in order to obtain the Arrhenius kinetic parameter E according to the isoconversional F-W-O method. Once the E parameters is found, a suitable logA and kinetic model (f(alpha)) could be calculated. Hence, the kinetic triplet (E +/- SD, logA +/- SD and f(alpha)) obtained for the thermal decomposition of PHB under non-isothermal conditions was E=152 +/- 4 kJ mol(-1), logA=14.1 +/- 0.2 s(-1) for the kinetic model, and the autocatalytic model function was: f(alpha)=alpha(m)(1-alpha)(n)=alpha(0.42)(1-alpha)(0.56).

Molecular Docking and Molecular Dynamic Studies of Semi-Synthetic Piperidine Alkaloids as Acetylcholinesterase Inhibitors

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