Portfolio efficiency tests with conditioning information using empirical likelihood estimation

We evaluate the use of Generalized Empirical Likelihood (GEL) estimators in portfolios efficiency tests for asset pricing models in the presence of conditional information. Estimators from GEL family presents some optimal statistical properties, such as robustness to misspecification and better properties in finite samples. Unlike GMM, the bias for GEL estimators do not increase as more moment conditions are included, which is expected in conditional efficiency analysis. We found some evidences that estimators from GEL class really performs differently in small samples, where efficiency tests using GEL generate lower estimates compared to tests using the standard approach with GMM. With Monte Carlo experiments we see that GEL has better performance when distortions are present in data, especially under heavy tails and Gaussian shocks.

Enantioselective direct aldol reaction of α-keto esters catalyzed by (Sa)-binam-D-prolinamide under quasi solvent-free conditions

(Sa)-Binam-D-prolinamide (20 mol%), instead of (Sa)-binam-L-prolinamide, in combination with chloroacetic acid (100 mol%) is an efficient organocatalyst for the direct aldol reaction between α-keto esters as electrophiles and alkyl and α-functionalised ketones, under quasi solvent-free conditions, providing access to highly functionalised chiral quaternary γ-keto α-hydroxyesters with up to 92% ee.

Spin splitting in a polarized quasi-two-dimensional exciton gas

We have observed a large spin splitting between "spin" +1 and -1 heavy-hole excitons, having unbalanced populations, in undoped GaAs/AlAs quantum wells in the absence of any external magnetic field. Time-resolved photoluminescence spectroscopy, under excitation with circularly polarized light, reveals that, for high excitonic density and short times after the pulsed excitation, the emission from majority excitons lies above that of minority ones. The amount of the splitting, which can be as large as 50% of the binding energy, increases with excitonic density and presents a time evolution closely connected with the degree of polarization of the luminescence. Our results are interpreted on the light of a recently developed model, which shows that, while intraexcitonic exchange interaction is responsible for the spin relaxation processes, exciton-exciton interaction produces a breaking of the spin degeneracy in two-dimensional semiconductors.

Local convergence of quasi-Newton methods under metric regularity

We consider quasi-Newton methods for generalized equations in Banach spaces under metric regularity and give a sufficient condition for q-linear convergence. Then we show that the well-known Broyden update satisfies this sufficient condition in Hilbert spaces. We also establish various modes of q-superlinear convergence of the Broyden update under strong metric subregularity, metric regularity and strong metric regularity. In particular, we show that the Broyden update applied to a generalized equation in Hilbert spaces satisfies the Dennis–Moré condition for q-superlinear convergence. Simple numerical examples illustrate the results.

A quasi-elastic aquifer deformational behavior: Madrid aquifer case study

The purpose of this paper is to analyze the quasi-elastic deformational behavior that has been induced by groundwater withdrawal of the Tertiary detrital aquifer of Madrid (Spain). The spatial and temporal evolution of ground surface displacement was estimated by processing two datasets of radar satellite images (SAR) using Persistent Scatterer Interferometry (PSI). The first SAR dataset was acquired between April 1992 and November 2000 by ERS-1 and ERS-2 satellites, and the second one by the ENVISAT satellite between August 2002 and September 2010. The spatial distribution of PSI measurements reveals that the magnitude of the displacement increases gradually towards the center of the well field area, where approximately 80 mm of maximum cumulated displacement is registered. The correlation analysis made between displacement and piezometric time series provides a correlation coefficient greater than 85% for all the wells. The elastic and inelastic components of measured displacements were separated, observing that the elastic component is, on average, more than 4 times the inelastic component for the studied period. Moreover, the hysteresis loops on the stress–strain plots indicate that the response is in the elastic range. These results demonstrate the quasi-elastic behavior of the aquifer. During the aquifer recovery phase ground surface uplift almost recovers from the subsidence experienced during the preceding extraction phase. Taking into account this unique aquifer system, a one dimensional elastic model was calibrated in the period 1997–2000. Subsequently, the model was used to predict the ground surface movements during the period 1992–2010. Modeled displacements were validated with PSI displacement measurements, exhibiting an error of 13% on average, related with the inelastic component of deformation occurring as a long-term trend in low permeability fine-grained units. This result further demonstrates the quasi-elastic deformational behavior of this unique aquifer system.

Estimation of Time-Limited Channel Spectra From Nonuniform Samples

This paper deals with the estimation of a time-invariant channel spectrum from its own nonuniform samples, assuming there is a bound on the channel’s delay spread. Except for this last assumption, this is the basic estimation problem in systems providing channel spectral samples. However, as shown in the paper, the delay spread bound leads us to view the spectrum as a band-limited signal, rather than the Fourier transform of a tapped delay line (TDL). Using this alternative model, a linear estimator is presented that approximately minimizes the expected root-mean-square (RMS) error for a deterministic channel. Its main advantage over the TDL is that it takes into account the spectrum’s smoothness (time width), thus providing a performance improvement. The proposed estimator is compared numerically with the maximum likelihood (ML) estimator based on a TDL model in pilot-assisted channel estimation (PACE) for OFDM.

Complexidade textual e progressão escolar em dois registos : um estudo de correlação baseado em um corpus quasi-longitudinal

Tese de doutoramento, Linguística (Linguística Educacional), Universidade de Lisboa, Faculdade de Letras, 2016

Reflections on quasi-loss of nationality in comparative, international and European perspective. CEPS Liberty and Security in Europe No. 66/August 2014

This paper focuses on situations in which a person is said never to have had the nationality of a country, even though (s)he assumed (and in many cases the authorities of the country concerned shared that assumption) that (s)he possessed that nationality. Contrary to situations of loss of nationality, where something is taken away that had existed, quasi-loss involves situations in which nationality was never acquired. This contribution seeks to examine whether a person should under certain circumstances be protected against quasi-loss of nationality. In order to do so, the paper first maps out situations of quasi-loss in EU member states, describing typical cases in which a person never acquired the nationality of the country, although (s)he was at some time considered as a national. Drawing on this taxonomy, the paper attempts to uncover whether national, European and international laws offer some protection, and if yes, to which extent, for situations of quasi-loss. It concludes with outlining best practices which Member States should comply with in handling such situations.

How to deal with quasi-loss of nationality situations? Learning from promising practices. CEPS Liberty and Security in Europe No. 71/December 2014

This paper was prepared as a Policy Brief for discussion at the final conference of the project on Involuntary Loss of European Citizenship: Exchanging Knowledge and Identifying Guidelines for Europe, 11-12 December 2014. Co-funded by the European Commission’s DG for Justice, Citizenship and Fundamental Rights, the ILEC project has aimed to establish a framework for debate on international norms on involuntary loss of nationality. For more information visit: www.ilecproject.eu.

Identifying Factor Productivity from Micro-data: The case of EU agriculture. Factor Markets Working Paper No. 34, January 2013

The classical problem of agricultural productivity measurement has regained interest owing to recent price hikes in world food markets. At the same time, there is a new methodological debate on the appropriate identification strategies for addressing endogeneity and collinearity problems in production function estimation. We examine the plausibility of four established and innovative identification strategies for the case of agriculture and test a set of related estimators using farm-level panel datasets from seven EU countries. The newly suggested control function and dynamic panel approaches provide attractive conceptual improvements over the received ‘within’ and duality models. Even so, empirical implementation of the conceptual sophistications built into these estimators does not always live up to expectations. This is particularly true for the dynamic panel estimator, which mostly failed to identify reasonable elasticities for the (quasi-) fixed factors. Less demanding proxy approaches represent an interesting alternative for agricultural applications. In our EU sample, we find very low shadow prices for labour, land and fixed capital across countries. The production elasticity of materials is high, so improving the availability of working capital is the most promising way to increase agricultural productivity.

Revisiting the synthetic control estimator

The synthetic control (SC) method has been recently proposed as an alternative to estimate treatment effects in comparative case studies. The SC relies on the assumption that there is a weighted average of the control units that reconstruct the potential outcome of the treated unit in the absence of treatment. If these weights were known, then one could estimate the counterfactual for the treated unit using this weighted average. With these weights, the SC would provide an unbiased estimator for the treatment effect even if selection into treatment is correlated with the unobserved heterogeneity. In this paper, we revisit the SC method in a linear factor model where the SC weights are considered nuisance parameters that are estimated to construct the SC estimator. We show that, when the number of control units is fixed, the estimated SC weights will generally not converge to the weights that reconstruct the factor loadings of the treated unit, even when the number of pre-intervention periods goes to infinity. As a consequence, the SC estimator will be asymptotically biased if treatment assignment is correlated with the unobserved heterogeneity. The asymptotic bias only vanishes when the variance of the idiosyncratic error goes to zero. We suggest a slight modification in the SC method that guarantees that the SC estimator is asymptotically unbiased and has a lower asymptotic variance than the difference-in-differences (DID) estimator when the DID identification assumption is satisfied. If the DID assumption is not satisfied, then both estimators would be asymptotically biased, and it would not be possible to rank them in terms of their asymptotic bias.

Data base analyzer and parameter estimator (DBAPE) interactive computer program user's manual /

Mode of access: Internet.