Ensaios sobre a estrutura a termo da taxa de juros

Esta tese é composta de três artigos que analisam a estrutura a termo das taxas de juros usando diferentes bases de dados e modelos. O capítulo 1 propõe um modelo paramétrico de taxas de juros que permite a segmentação e choques locais na estrutura a termo. Adotando dados do tesouro americano, duas versões desse modelo segmentado são implementadas. Baseado em uma sequência de 142 experimentos de previsão, os modelos propostos são comparados à benchmarks e concluí-se que eles performam melhor nos resultados das previsões fora da amostra, especialmente para as maturidades curtas e para o horizonte de previsão de 12 meses. O capítulo 2 acrescenta restrições de não arbitragem ao estimar um modelo polinomial gaussiano dinâmico de estrutura a termo para o mercado de taxas de juros brasileiro. Esse artigo propõe uma importante aproximação para a série temporal dos fatores de risco da estrutura a termo, que permite a extração do prêmio de risco das taxas de juros sem a necessidade de otimização de um modelo dinâmico completo. Essa metodologia tem a vantagem de ser facilmente implementada e obtém uma boa aproximação para o prêmio de risco da estrutura a termo, que pode ser usada em diferentes aplicações. O capítulo 3 modela a dinâmica conjunta das taxas nominais e reais usando um modelo afim de não arbitagem com variáveis macroeconômicas para a estrutura a termo, afim de decompor a diferença entre as taxas nominais e reais em prêmio de risco de inflação e expectativa de inflação no mercado americano. Uma versão sem variáveis macroeconômicas e uma versão com essas variáveis são implementadas e os prêmios de risco de inflação obtidos são pequenos e estáveis no período analisado, porém possuem diferenças na comparação dos dois modelos analisados.

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

Análise e desenvolvimento de controladores preditivos multivariáveis baseados em multi-modelos bilineares

This work addresses issues related to analysis and development of multivariable predictive controllers based on bilinear multi-models. Linear Generalized Predictive Control (GPC) monovariable and multivariable is shown, and highlighted its properties, key features and applications in industry. Bilinear GPC, the basis for the development of this thesis, is presented by the time-step quasilinearization approach. Some results are presented using this controller in order to show its best performance when compared to linear GPC, since the bilinear models represent better the dynamics of certain processes. Time-step quasilinearization, due to the fact that it is an approximation, causes a prediction error, which limits the performance of this controller when prediction horizon increases. Due to its prediction error, Bilinear GPC with iterative compensation is shown in order to minimize this error, seeking a better performance than the classic Bilinear GPC. Results of iterative compensation algorithm are shown. The use of multi-model is discussed in this thesis, in order to correct the deficiency of controllers based on single model, when they are applied in cases with large operation ranges. Methods of measuring the distance between models, also called metrics, are the main contribution of this thesis. Several application results in simulated distillation columns, which are close enough to actual behaviour of them, are made, and the results have shown satisfactory

Comparison of methodologies for degree-day estimation using numerical methods

O desenvolvimento de projetos relacionados ao desempenho de diversas culturas tem recebido aperfeiçoamento cada vez maior, incorporado a modelos matemáticos sendo indispensável à utilização de equações cada vez mais consistentes que possibilitem previsão e maior aproximação do comportamento real, diminuindo o erro na obtenção das estimativas. Entre as operações unitárias que demandam maior estudo estão aquelas relacionadas com o crescimento da cultura, caracterizadas pela temperatura ideal para o acréscimo de matéria seca. Pelo amplo uso dos métodos matemáticos na representação, análise e obtenção de estimativas de graus-dia, juntamente com a grande importância que a cultura da cana-de-açúcar tem para a economia brasileira, foi realizada uma avaliação dos modelos matemáticos comumente usados e dos métodos numéricos de integração na estimativa da disponibilidade de graus-dia para essa cultura, na região de Botucatu, Estado de São Paulo. Os modelos de integração, com discretização de 6 em 6 h, apresentaram resultados satisfatórios na estimativa de graus-dia. As metodologias tradicionais apresentaram desempenhos satisfatórios quanto à estimativa de grausdia com base na curva de temperatura horária para cada dia e para os agrupamentos de três, sete, 15 e 30 dias. Pelo método numérico de integração, a região de Botucatu, Estado de São Paulo, apresentou disponibilidade térmica anual média de 1.070,6 GD para a cultura da cana-de-açúcar.

Mathematical tests about the existence and applications of PPS-wavelets in function approximation problems

Neural networks and wavelet transform have been recently seen as attractive tools for developing eficient solutions for many real world problems in function approximation. Function approximation is a very important task in environments where computation has to be based on extracting information from data samples in real world processes. So, mathematical model is a very important tool to guarantee the development of the neural network area. In this article we will introduce one series of mathematical demonstrations that guarantee the wavelets properties for the PPS functions. As application, we will show the use of PPS-wavelets in pattern recognition problems of handwritten digit through function approximation techniques.

Cubic approximation for the transverse displacement in BEM for elastic plates analysis

This work presents an application for the plate analysis formulation by BEM where 3 boundary equations are used, written for the transverse displacement w and the normal and tangential derivatives partial derivativew/partial derivativen and partial derivativew/partial derivatives. In this extension, the transverse displacement w is approximated by a cubic polynomial and, as a consequence, partial derivativew/partial derivatives has a quadratic approximation. This alternative BEM formulation improves the analysis of thin plates, when compared to the formulation using the linear approximation for the displacements, mainly in the obtaining of the bending moments at the boundary of the plate. The implementation of this proposal to the computational codes is simple. (C) 2004 Published by Elsevier Ltd.

Effect of measurement error and autocorrelation on the (X)over-bar chart

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Safety illusion and error trap in a collectively-operated machine accident

Workplace accidents involving machines are relevant for their magnitude and their impacts on worker health. Despite consolidated critical statements, explanation centered on errors of operators remains predominant with industry professionals, hampering preventive measures and the improvement of production-system reliability. Several initiatives were adopted by enforcement agencies in partnership with universities to stimulate production and diffusion of analysis methodologies with a systemic approach. Starting from one accident case that occurred with a worker who operated a brake-clutch type mechanical press, the article explores cognitive aspects and the existence of traps in the operation of this machine. It deals with a large-sized press that, despite being endowed with a light curtain in areas of access to the pressing zone, did not meet legal requirements. The safety devices gave rise to an illusion of safety, permitting activation of the machine when a worker was still found within the operational zone. Preventive interventions must stimulate the tailoring of systems to the characteristics of workers, minimizing the creation of traps and encouraging safety policies and practices that replace judgments of behaviors that participate in accidents by analyses of reasons that lead workers to act in that manner.

Adaptação transcultural Portugal-Brasil do Inventário de Burnout de Maslach para estudantes

OBJETIVO: Realizar a adaptação transcultural da versão em português do Inventário de Burnout de Maslach para estudantes e investigar sua confiabilidade, validade e invariância transcultural. MÉTODOS: A validação de face envolveu participação de equipe multidisciplinar. Foi realizada validação de conteúdo. A versão em português foi preenchida em 2009, pela internet, por 958 estudantes universitários brasileiros e 556 portugueses da zona urbana. Realizou-se análise fatorial confirmatória utilizando-se como índices de ajustamento o χ²/df, o comparative fit index (CFI), goodness of fit index (GFI) e o root mean square error of approximation (RMSEA). Para verificação da estabilidade da solução fatorial conforme a versão original em inglês, realizou-se validação cruzada em 2/3 da amostra total e replicada no 1/3 restante. A validade convergente foi estimada pela variância extraída média e confiabilidade composta. Avaliou-se a validade discriminante e a consistência interna foi estimada pelo coeficiente alfa de Cronbach. A validade concorrente foi estimada por análise correlacional da versão em português e dos escores médios do Inventário de Burnout de Copenhague; a divergente foi comparada à Escala de Depressão de Beck. Foi avaliada a invariância do modelo entre a amostra brasileira e a portuguesa. RESULTADOS: O modelo trifatorial de Exaustão, Descrença e Eficácia apresentou ajustamento adequado (χ²/df = 8,498; CFI = 0,916; GFI = 0,902; RMSEA = 0,086). A estrutura fatorial foi estável (λ: χ²dif = 11,383, p = 0,50; Cov: χ²dif = 6,479, p = 0,372; Resíduos: χ²dif = 21,514, p = 0,121). Observou-se adequada validade convergente (VEM = 0,45;0,64, CC = 0,82;0,88), discriminante (ρ² = 0,06;0,33) e consistência interna (α = 0,83;0,88). A validade concorrente da versão em português com o Inventário de Copenhague foi adequada (r = 0,21;0,74). A avaliação da validade divergente do instrumento foi prejudicada pela aproximação do conceito teórico das dimensões Exaustão e Descrença da versão em português com a Escala de Beck. Não se observou invariância do instrumento entre as amostras brasileiras e portuguesas (λ:χ²dif = 84,768, p < 0,001; Cov: χ²dif = 129,206, p < 0,001; Resíduos: χ²dif = 518,760, p < 0,001). CONCLUSÕES: A versão em português do Inventário de Burnout de Maslach para estudantes apresentou adequada confiabilidade e validade, mas sua estrutura fatorial não foi invariante entre os países, apontando ausência de estabilidade transcultural.

Likelihood approximations and discrete models for tied survival data

Ties among event times are often recorded in survival studies. For example, in a two week laboratory study where event times are measured in days, ties are very likely to occur. The proportional hazards model might be used in this setting using an approximated partial likelihood function. This approximation works well when the number of ties is small. on the other hand, discrete regression models are suggested when the data are heavily tied. However, in many situations it is not clear which approach should be used in practice. In this work, empirical guidelines based on Monte Carlo simulations are provided. These recommendations are based on a measure of the amount of tied data present and the mean square error. An example illustrates the proposed criterion.

s-wave approximation for asymmetry in nonmesonic decay of finite hypernuclei

We establish the bridge between the commonly used Nabetani-Ogaito-Sato-Kishimoto (NOSK) formula for the asymmetry parameter a(Lambda) in the Lambda p -> np emission of polarized hypernuclei, and the shell-model (SM) formalism for finite hypernuclei. We demonstrate that the s-wave approximation leads to a SM formula for a(Lambda) that is as simple as the NOSK one and that reproduces the exact results for (5)(Lambda)He and (12)(Lambda)C better than initially expected. The simplicity achieved here is indeed remarkable. The new formalism makes the theoretical evaluation of a(Lambda) more transparent and explains clearly why the one-meson exchange model is unable to account for the experimental data of (5)(Lambda)He.

Low-energy direct muon transfer from H to Ne10+, S16+ and Ar18+ using the two-state close-coupling approximation to the Faddeev-Hahn-type equation

We perform a three-body calculation of direct muon-transfer rates from thermalized muonic hydrogen isotopes to bare nuclei Ne10+, S16+ and Ar18+ employing integro-differential Faddeev-Hahn-type equations in configuration space with a two-state close-coupling approximation scheme. All Coulomb potentials including the strong final-state Coulomb repulsion are treated exactly. A long-range polarization potential is included in the elastic channel to take into account the high polarizability of the muonic hydrogen. The transfer rates so-calculated are in good agreement with recent experiments. We find that the muon is captured predominantly in the n = 6, 9 and 10 states of muonic Ne10+, S16+ and Ar18+, respectively.

Finite-volume form factors in semi-classical approximation

A semi-classical approach is used to obtain Lorentz covariant expressions for the form factors between the kink states of a quantum field theory with degenerate vacua. Implemented on a cylinder geometry it provides an estimate of the spectral representation of correlation functions in a finite volume. Illustrative examples of the applicability of the method are provided by the sine-Gordon and the broken phi(4) theories in 1 + 1 dimensions. (C) 2003 Elsevier B.V. All rights reserved.

A dynamical gluon mass solution in Mandelstam's approximation

We discuss the pure gauge Schwinger-Dyson equation for the gluon propagator in the Landau gauge within an approximation proposed by Mandelstam many years ago. We show that a dynamical gluon mass arises as a solution. This solution is obtained numerically in the full range of momenta that we have considered without the introduction of any ansatz or asymptotic expression in the infrared region. The vertex function that we use follows a prescription formulated by Cornwall to determine the existence of a dynamical gluon mass in the light cone gauge. The renormalization procedure differs from the one proposed by Mandelstam and allows for the possibility of a dynamical gluon mass. Some of the properties of this solution, such as its dependence on A(QCD) and its perturbative scaling behavior are also discussed.