Analysis of contagion from the constant conditional correlation model with Markov regime switching

Over the last decades, the analysis of the transmissions of international nancial events has become the subject of many academic studies focused on multivariate volatility models volatility. The goal of this study is to evaluate the nancial contagion between stock market returns. The econometric approach employed was originally presented by Pelletier (2006), named Regime Switching Dynamic Correlation (RSDC). This methodology involves the combination of Constant Conditional Correlation Model (CCC) proposed by Bollerslev (1990) with Markov Regime Switching Model suggested by Hamilton and Susmel (1994). A modi cation was made in the original RSDC model, the introduction of the GJR-GARCH model formulated in Glosten, Jagannathan e Runkle (1993), on the equation of the conditional univariate variances to allow asymmetric e ects in volatility be captured. The database was built with the series of daily closing stock market indices in the United States (SP500), United Kingdom (FTSE100), Brazil (IBOVESPA) and South Korea (KOSPI) for the period from 02/01/2003 to 09/20/2012. Throughout the work the methodology was compared with others most widespread in the literature, and the model RSDC with two regimes was de ned as the most appropriate for the selected sample. The set of results provide evidence for the existence of nancial contagion between markets of the four countries considering the de nition of nancial contagion from the World Bank called very restrictive. Such a conclusion should be evaluated carefully considering the wide diversity of de nitions of contagion in the literature.

Speculative bubbles and contagion: analysis of volatility’s clusters during the DotCom bubble based on the dynamic conditional correlation model

Revendo a definição e determinação de bolhas especulativas no contexto de contágio, este estudo analisa a bolha do DotCom nos mercados acionistas americanos e europeus usando o modelo de correlação condicional dinâmica (DCC) proposto por Engle e Sheppard (2001) como uma explicação econométrica e, por outro lado, as finanças comportamentais como uma explicação psicológica. Contágio é definido, neste contexto, como a quebra estatística nos DCC’s estimados, medidos através das alterações das suas médias e medianas. Surpreendentemente, o contágio é menor durante bolhas de preços, sendo que o resultado principal indica a presença de contágio entre os diferentes índices dos dois continentes e demonstra a presença de alterações estruturais durante a crise financeira.

Speculative bubbles and contagion: analysis of volatility's clusters during the DotCom bubble based on the dynamic conditional correlation model

Reviewing the de nition and measurement of speculative bubbles in context of contagion, this paper analyses the DotCom bubble in American and European equity markets using the dynamic conditional correlation (DCC) model proposed by (Engle and Sheppard 2001) as on one hand as an econometrics explanation and on the other hand the behavioral nance as an psychological explanation. Contagion is de ned in this context as the statistical break in the computed DCCs as measured by the shifts in their means and medians. Even it is astonishing, that the contagion is lower during price bubbles, the main nding indicates the presence of contagion in the di¤erent indices among those two continents and proves the presence of structural changes during nancial crisis

Estimates of genetic parameters for visual scores and their correlation with production and reproductive traits in Brahman cattle

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

Mineralogy of the clay fraction of alfisols in two slope curvatures: IV - spatial correlation with physical properties

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

Intraocular pressure and its correlation with blood gas parameters in crested caracaras (Caracara plancus) anesthetized with isoflurane and sevoflurane

Avaliou-se a pressão intra-ocular (PIO) e estimaram-se as correlações entre PIO e pressão de dióxido de carbono (PaCO2) e pH arterial de cinco caracarás (Caracara plancus), anestesiados com isofluorano (ISO) ou sevofluorano (SEV). Valores basais da PIO foram aferidos em ambos os olhos (M0). Cateterizou-se previamente a artéria braquial para obtenção de parâmetros hemogasométricos e cardiorrespiratórios. Anestesia foi induzida com ISO a 5V% e mantida por 40 minutos com 2,5V%. PIO e amostras de sangue foram avaliadas em diferentes momentos até o final do procedimento. Após recuperação, uma segunda anestesia foi realizada com SEV a 6% e mantida com 3,5%. Os parâmetros foram aferidos nos mesmos momentos estabelecidos previamente. A PIO decresceu significativamente (P=0,012) de M0 em todos os momentos e não houve diferença estatística entre ISO e SEV. Correlações significativas entre PIO e PaCO2 e entre PIO e pH sangüíneo foram observadas apenas para a anestesia com SEV. O pH sangüíneo decresceu paralelamente a PIO, enquanto a PaCO2 aumentou, em carcarás anestesiados com isofluorano e sevofluorano.

Parametric correlation functions to model the structure of permanent environmental (co)variances in milk yield random regression models

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

Fractal correlation of heart rate variability in obese children

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

Fractal correlation property of heart rate variability in chronic obstructive pulmonary disease

Background: It was reported that autonomic nervous system function is altered in subjects with chronic obstructive pulmonary disease (COPD). We evaluated short-and long-term fractal exponents of heart rate variability (HRV) in COPD subjects.Patients and methods: We analyzed data from 30 volunteers, who were divided into two groups according to spirometric values: COPD (n = 15) and control (n = 15). For analysis of HRV indices, HRV was recorded beat by beat with the volunteers in the supine position for 30 minutes. We analyzed the linear indices in the time (SDNN [standard deviation of normal to normal] and RMSSD [root-mean square of differences]) and frequency domains (low frequency [LF], high frequency [HF], and LF/HF), and the short-and long-term fractal exponents were obtained by detrended fluctuation analysis. We considered P < 0.05 to be a significant difference.Results: COPD patients presented reduced levels of all linear exponents and decreased short-term fractal exponent (alpha-1: 0.899 +/- 0.18 versus 1.025 +/- 0.09, P = 0.026). There was no significant difference between COPD and control groups in alpha-2 and alpha-1/alpha-2 ratio.Conclusion: COPD subjects present reduced short-term fractal correlation properties of HRV, which indicates that this index can be used for risk stratification, assessment of systemic disease manifestations, and therapeutic procedures to monitor those patients.

Altered expression of the costimulatory molecules CD80, CD86, CD152, PD-1 and ICOS on T-cells from paracoccidioidomycosis patients: Lack of correlation with T-cell hyporesponsiveness

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

BUBR1 expression in benign oral lesions and squamous cell carcinomas: Correlation with human papillomavirus

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Correlation between the fighting rates of REM sleep-deprived rats and susceptibility to the 'wild running' of audiogenic seizures

Sleep-deprived rats exhibit defensive fighting as well as explosive flights very similar to the wild-running of audiogenic seizures. In order to determine why sleep deprivation is a common factor that facilitates both panic and convulsive manifestations, the present study was undertaken to investigate whether rats that display sleep deprivation-induced fighting (SDIF) are the same as those that are susceptible to audiogenic wild-running (WR). Twenty-eight male adult Wistar rats were divided into two groups assigned to two e-sleep deprivation for 5 days and had their SDIF evaluated in social experimental schemes. In the first, 18 subjects were submitted to REM grouping. After 1 week for recovery, their susceptibility to WR was tested in an acoustic stimulation trial ( 104 dB, 200 Hz, 60 S). Rats that did not present WR received a lactate infusion and were tested again by acoustic stimulation 40 min later. In the second experimental scheme, 10 subjects were initially evaluated for WR susceptibility and the number of SDIF was recorded in social grouping after I week. Three categories of WR-susceptibility were determined: WR-sensitive rats, intermediate WR-sensitive rats and WR-insensitive rats. T'he number of SDIF in each category was significantly different and there was a high positive correlation (r=0.89; Spearman test) between the number of SDIF and the level of WR-susceptibility. We conclude that the reasons why sleep deprivation exerts facilitatory effects on both panic and convulsive manifestations are due to overlappings of neural pathways responsible for both behavioral patterns and for the property of sleep deprivation to increase neuronal excitability. (C) 2002 Elsevier B.V. B.V. All rights reserved.

Experimental and theoretical correlation of very intense visible green photoluminescence in BaZrO3 powders

Very intense visible green photoluminescence (PL) was observed at room temperature in structurally ordered-disordered BaZrO3 powders. Ab initio calculations, ultraviolet-visible absorption spectroscopy, electron paramagnetic resonance, and PL were performed. Theoretical and experimental results showed that local defects in the cubic structure caused by [ZrO5 center dot V-O(z)] complex clusters, where V-O(z) = V-O(x), V-O(center dot), and V-O(center dot center dot), play an important role in the formation of hole-electron pairs, giving rise to a charge gradient in the structure which is responsible for PL emission. (c) 2008 American Institute of Physics.

Optical and electrical properties of polymerizing plasmas and their correlation with DLC film properties

Diamond-like carbon (DLC) films were grown from radiofrequency plasmas of acetylene-argon mixtures, at different excitation powers, P. The effects of this parameter on the plasma potential, electron density, electron temperature, and plasma activity were investigated using a Langmuir probe. The mean electron temperature increased from about 0.5 to about 7.0 eV while the mean electron density decreased from about 1.2x10(9) to about 0.2x10(9) cm(-3) as P was increased from 25 to 150 W. Both the plasma potential and the plasma activity were found to increase with increasing P. Through actinometric optical emission spectrometry, the relative concentrations of CH, [CH], and H, [H], in the discharge were mapped as a function of the applied power. A rise in [H] and a fall in [CH] with increasing P were observed and are discussed in relation to the plasma characteristics and the subimplantation model. The optical properties of the films were calculated from ultraviolet-visible spectroscopic data; the surface resistivity was measured by the two-point probe method. The optical gap, E(G), and the surface resistivity, rho(s), fall with increasing P. E(G) and rho(s) are in the ranges of about 2.0-1.3 eV and 10(14)-10(16) Omega/square, respectively. The plasma power also influences the film self-bias, V(b), via a linear dependence, and the effect of V(b) on ion bombardment during growth is addressed together with variation in the relative densities of sp(2) and sp(3) bonds in the films as determined by Raman spectroscopy.

Correlation of microcrack fracture size with fatigue cycling on non-crimp fabric/RTM6 composite in the uniaxial fatigue test

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