Modelo Nelson-Siegel dinâmico da estrutura a termo da taxa de juros com fatores exógenos macroeconômicos: uma aplicação ao mercado brasileiro

A tradicional representação da estrutura a termo das taxas de juros em três fatores latentes (nível, inclinação e curvatura) teve sua formulação original desenvolvida por Charles R. Nelson e Andrew F. Siegel em 1987. Desde então, diversas aplicações vêm sendo desenvolvidas por acadêmicos e profissionais de mercado tendo como base esta classe de modelos, sobretudo com a intenção de antecipar movimentos nas curvas de juros. Ao mesmo tempo, estudos recentes como os de Diebold, Piazzesi e Rudebusch (2010), Diebold, Rudebusch e Aruoba (2006), Pooter, Ravazallo e van Dijk (2010) e Li, Niu e Zeng (2012) sugerem que a incorporação de informação macroeconômica aos modelos da ETTJ pode proporcionar um maior poder preditivo. Neste trabalho, a versão dinâmica do modelo Nelson-Siegel, conforme proposta por Diebold e Li (2006), foi comparada a um modelo análogo, em que são incluídas variáveis exógenas macroeconômicas. Em paralelo, foram testados dois métodos diferentes para a estimação dos parâmetros: a tradicional abordagem em dois passos (Two-Step DNS), e a estimação com o Filtro de Kalman Estendido, que permite que os parâmetros sejam estimados recursivamente, a cada vez que uma nova informação é adicionada ao sistema. Em relação aos modelos testados, os resultados encontrados mostram-se pouco conclusivos, apontando uma melhora apenas marginal nas estimativas dentro e fora da amostra quando as variáveis exógenas são incluídas. Já a utilização do Filtro de Kalman Estendido mostrou resultados mais consistentes quando comparados ao método em dois passos para praticamente todos os horizontes de tempo estudados.

Monetary dynamics in a general equilibrium version of the Baumol-Tobin model

I study the welfare cost of inflation and the effect on prices after a permanent increase in the interest rate. In the steady state, the real money demand is homogeneous of degree one in income and its interest-rate elasticity is approximately equal to −1/2. Consumers are indifferent between an economy with 10% p.a. inflation and one with zero inflation if their income is 1% higher in the first economy. A permanent increase in the interest rate makes the price level to drop initially and inflation to adjust slowly to its steady state level.

Parallel Cyclostationarity-Exploiting Algorithm for Energy-Efficient Spectrum Sensing

The evolution of wireless communication systems leads to Dynamic Spectrum Allocation for Cognitive Radio, which requires reliable spectrum sensing techniques. Among the spectrum sensing methods proposed in the literature, those that exploit cyclostationary characteristics of radio signals are particularly suitable for communication environments with low signal-to-noise ratios, or with non-stationary noise. However, such methods have high computational complexity that directly raises the power consumption of devices which often have very stringent low-power requirements. We propose a strategy for cyclostationary spectrum sensing with reduced energy consumption. This strategy is based on the principle that p processors working at slower frequencies consume less power than a single processor for the same execution time. We devise a strict relation between the energy savings and common parallel system metrics. The results of simulations show that our strategy promises very significant savings in actual devices.

Bifurcation Analysis of a Van der Pol-Duffing Circuit with Parallel Resistor

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Design and Analysis of Optical Interconnection Networks for a Dataflow Parallel Computer

This work shows the design, simulation, and analysis of two optical interconnection networks for a Dataflow parallel computer architecture. To verify the optical interconnection network performance on the Dataflow architecture, we have analyzed the load balancing among the processors during the parallel programs executions. The load balancing is a very important parameter because it is directly associated to the dataflow parallelism degree. This article proves that optical interconnection networks designed with simple optical devices can provide efficiently the dataflow requirements of a high performance communication system.

An investigation on parallel, divergent and convergent acetylene dual jet diffusion flames

Results are presented and discussed of an experimental investigation on acetylene turbulent dual jet diffusion flames. The study includes parameters of flames in parallel, divergent and convergent configurations. Tests with two parallel jets with addition of helium in the fuel stream were also performed and analysed. The variation of overall flame length and of other name physical characteristics, such as width, volume and conditions for lifting, are presented as functions of burner tip Reynolds number, jet distance from each other and inclination angle. The effects of diluent concentration in the fuel gas stream are presented for single and two parallel jets. (C) 1999 Elsevier B.V. Ltd.

Adaptação e validação da escala de dependência de exercício físico em versão tradicional e informatizada

While providing physical and psychological benefits, excessive exercise could be or cause a compulsive behavior, making the individual dependent on it. In a parallel discussion, computerized psychological instruments, for a hand, reflects the development of information technology and your applicability to other areas, but also shows little advance for Psychological Assessment. In this perspective, this study aims to adapt the Exercise Dependence Scale (EDS-R) in two formats (paper-and-pencil and computerized) and evaluate evidence of factorial and convergent validity, and reliability of each version and compare them with each other. It is also proposed to observe the relationship of some bio-demographic (Sex, age, frequency, duration and intensity of practice exercise) and the exercise dependence (DEF). For this purpose, 709 regular physical activity practitioners, selected by procedures non-probabilistic sampling, responded a adapted version of EDS-R, Muscle Appearance Satisfaction Scale (MASS), Body Modification Scale (BMS) and a demographic questionnaire, analyzed through Exploratory Factor Analysis, Cronbach's Alpha and not parametric tests. Both the traditional version and the computer showed a seven factors structure, explaining 57 and 62% of the variance, respectively, and Cronbach's alphas of 0.83 and 0.89. Factors were: (1) intentionality, (2) continuity, (3) tolerance, (4) reduction of other activities, (5) lack of control, (6) abstinence and (7) time spent on exercise. Relationships were observed between the Exercise Dependence and the variables: age, diets, consumption of food supplements and medicines for weight change, desire to do plastic surgery and body satisfaction. We observed also a positive correlation between the DEF and the frequency, duration and intensity of exercise, and the factor "Dependence on exercising" from MASS, indicating convergent validity of the EDS-R. Finally, comparisons between the two formats were equivalent, with few changes: computerized version achieved higher DEF scores. Based on these results, it can be concluded that the EDS-R has factorial and convergent validity, reliability, to measure exerceise dependence on traditional e computerized formats. DEF is related to actions used to body modification and behaviors toward exercise. Finally, it was found equivalence between the formats, especially in psychometric parameters, thus suggesting feasibility of a computerized assessment. However, it was observed that the computerized data has sample recruiting strategies more limited

Differential-Evolution-Based Optimization of the Dynamic Response for Parallel Operation of Inverters With No Controller Interconnection

In this paper, the use of differential evolution ( DE), a global search technique inspired by evolutionary theory, to find the parameters that are required to achieve optimum dynamic response of parallel operation of inverters with no interconnection among the controllers is proposed. Basically, in order to reach such a goal, the system is modeled in a certain way that the slopes of P-omega and Q-V curves are the parameters to be tuned. Such parameters, when properly tuned, result in system's eigenvalues located in positions that assure the system's stability and oscillation-free dynamic response with minimum settling time. This paper describes the modeling approach and provides an overview of the motivation for the optimization and a description of the DE technique. Simulation and experimental results are also presented, and they show the viability of the proposed method.

A simplified and higher dynamic range version of the J(1) ... J(4) method for optical phase measurements

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On the dynamic behaviour of a mass supported by a parallel combination of a spring and an elastically connected damper

This paper presents a consistent and concise analysis of the free and forced vibration of a mass supported by a parallel combination of a spring and an elastically supported damper (a Zener model). The results are presented in a compact form and the physical behaviour of the system is emphasised. This system is very similar to the conventional single-degree-of freedom system (sdof)-(Voigt model), but the dynamics can be quite different depending on the system parameters. The usefulness of the additional spring in series with the damper is investigated, and optimum damping values for the system subject to different types of excitation are determined and compared.There are three roots to the characteristic equation for the Zener model; two are complex conjugates and the third is purely real. It is shown that it is not possible to achieve critical damping of the complex roots unless the additional stiffness is at least eight times that of the main spring. For a harmonically excited system, there are some possible advantages in using the additional spring when the transmitted force to the base is of interest, but when the displacement response of the system is of interest then the benefits are marginal. It is shown that the additional spring affords no advantages when the system is excited by white noise. (c) 2007 Elsevier Ltd. All rights reserved.

Modelagem Matemática e Computacional de fenômenos eletrocinéticos em meios porosos carregados eletricamente

In this work we present a mathematical and computational modeling of electrokinetic phenomena in electrically charged porous medium. We consider the porous medium composed of three different scales (nanoscopic, microscopic and macroscopic). On the microscopic scale the domain is composed by a porous matrix and a solid phase. The pores are filled with an aqueous phase consisting of ionic solutes fully diluted, and the solid matrix consists of electrically charged particles. Initially we present the mathematical model that governs the electrical double layer in order to quantify the electric potential, electric charge density, ion adsorption and chemical adsorption in nanoscopic scale. Then, we derive the microscopic model, where the adsorption of ions due to the electric double layer and the reactions of protonation/ deprotanaç~ao and zeta potential obtained in modeling nanoscopic arise in microscopic scale through interface conditions in the problem of Stokes and Nerst-Planck equations respectively governing the movement of the aqueous solution and transport of ions. We developed the process of upscaling the problem nano/microscopic using the homogenization technique of periodic structures by deducing the macroscopic model with their respectives cell problems for effective parameters of the macroscopic equations. Considering a clayey porous medium consisting of kaolinite clay plates distributed parallel, we rewrite the macroscopic model in a one-dimensional version. Finally, using a sequential algorithm, we discretize the macroscopic model via the finite element method, along with the interactive method of Picard for the nonlinear terms. Numerical simulations on transient regime with variable pH in one-dimensional case are obtained, aiming computational modeling of the electroremediation process of clay soils contaminated

Ethyl Carbamate Analysis in German Fruit Spirits and Brazilian Sugarcane Spirits (Cachaca): Improved Sample Cleanup with Automated Parallel Evaporation

The analysis of alcoholic beverages for the important carcinogenic contaminant ethyl carbamate is very time-consuming and expensive. Due to possible matrix interferences, sample cleanup using diatomaceous earth (Extrelut) column is required prior to gas chromatographic and mass spectrometric measurement. A limiting step in this process is the rotary evaporation of the eluate containing the analyte in organic solvents, which is currently conducted manually and requires approximately 20-30 min per sample. This paper introduces the use of a parallel evaporation device for ethyl carbamate analysis, which allows for the simultaneous evaporation of 12 samples to a specified residual volume without manual intervention. A more efficient and, less expensive analysis is therefore possible. The method validation showed no differences between the fully-automated parallel evaporation and the manual operation. The applicability was proven by analyzing authentic spirit samples from Germany, Canada and Brazil. It is interesting to note that Brazilian cachacas had a relatively high incidence for ethyl carbamate contamination (55% of all samples were above 0.15 mg/l), which may be of public health relevance and requires further evaluation.

Postoperative periodontal pain prevention using two dexamethasone medication protocols: A double-blind, parallel-group, placebo-controlled randomized clinical trial

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