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.

Simulation-based smoothing and filtering in factor stochastic volatility models : two econometric applications

In this article we use factor models to describe a certain class of covariance structure for financiaI time series models. More specifical1y, we concentrate on situations where the factor variances are modeled by a multivariate stochastic volatility structure. We build on previous work by allowing the factor loadings, in the factor mo deI structure, to have a time-varying structure and to capture changes in asset weights over time motivated by applications with multi pIe time series of daily exchange rates. We explore and discuss potential extensions to the models exposed here in the prediction area. This discussion leads to open issues on real time implementation and natural model comparisons.

Simulation -based smoothing and filtering in factor stochastic volatility models : two econometric applications (July-2001)

The past decade has wítenessed a series of (well accepted and defined) financial crises periods in the world economy. Most of these events aI,"e country specific and eventually spreaded out across neighbor countries, with the concept of vicinity extrapolating the geographic maps and entering the contagion maps. Unfortunately, what contagion represents and how to measure it are still unanswered questions. In this article we measure the transmission of shocks by cross-market correlation\ coefficients following Forbes and Rigobon's (2000) notion of shift-contagion,. Our main contribution relies upon the use of traditional factor model techniques combined with stochastic volatility mo deIs to study the dependence among Latin American stock price indexes and the North American indexo More specifically, we concentrate on situations where the factor variances are modeled by a multivariate stochastic volatility structure. From a theoretical perspective, we improve currently available methodology by allowing the factor loadings, in the factor model structure, to have a time-varying structure and to capture changes in the series' weights over time. By doing this, we believe that changes and interventions experienced by those five countries are well accommodated by our models which learns and adapts reasonably fast to those economic and idiosyncratic shocks. We empirically show that the time varying covariance structure can be modeled by one or two common factors and that some sort of contagion is present in most of the series' covariances during periods of economical instability, or crisis. Open issues on real time implementation and natural model comparisons are thoroughly discussed.

Interests prices and the Barosky - Summers resolution of the Gibson paradox under the gold standard

This paper presents a structural monetary úamework featunng a demand function for non-monetary uses of gold, such as the one drawn by Barsky and Summers in their 1988 analy8ÚI of the Gibson Paradox as a natural concomitant of the gold standard period. That structural model predicts that the laws of behavior of nominal prices and interest rates are functions of the rules set by the government to command the money supply. !ta fiduciary vemon obtaina Fisherian relationships &8 particular cases. !ta gold atandard 801ution yields a modelsimilar to the Barsky and Summers model, in which interest rates are exogeneous and subject to shocb. This paper integrates governnment bonds into the analysis, treats interest rates endogenously, and ahifts the responsibility for the shocb to the government budgetary financing policies. The Gibson paradox appears as "practically" the only cl&18 of behavioral pattern open for interest rates and price movements under apure gold standard economy. Fisherian-like relationshipe are utterly ruled out.

A structuralist Philips curve

This paper presents a structuralist model of the Philips curve and applies it to the US and Brazilian economies. The theoretical model starts from a simple markup rule to build a Philips curve based on the assumptions that firms have a desired rate of profit and wokers have a target real wage. Inflation expectations are modeled in terms of current inflation and the governments’ target, and the model shows that relative prices can have both a short-run and long-run influence on inflation. When applied to the US, the structuralist Philips curve results in a nonlinear model in which there are two steady states for inflation, and where the wageshare of income becomes the main instrument to drive inflation to the governments’ target. When applied to Brazil, the structuralist Philips curve reveals a nonlinear relationship between long-run inflation and the real exchange rate, so that the same inflation target can be consistent with more than one value of the exchange rate. The main conclusion of the paper is that a structuralist specification of the Philips curve is a useful instrument to model many macroeconomic topics as well as alternative theoretical closures.

Análise numérica do efeito de fatores influentes da reação álcali-agregado no desempenho de estruturas de concreto

The aim of this work is the numerical simulation of the mechanical performance of concrete affected by Alkali-Aggregate Reaction or RAA, reported by Stanton in 1940. The RAA has aroused attention in the context of Civil Engineering from the early 80, when they were reported consequences of his swelling effect in concrete structures, including cracking, failure and loss of serviceability. Despite the availability of experimental results the problem formulation still lacks refinement so that your solution remains doubtful. The numerical simulation is important resource for the assessment of damages in structures caused by the reaction, and their recoveries The tasks of support of this work were performed by means of the finite element approach, about orthotropic non-linear formulation, and, thermodynamic model of deformation by RAA. The results obtained revealed that the swelling effect of RAA induced decline of the mechanical performance of concrete by decreasing the margin of safety prior to the material failure. They showed that the temperature influences, exclusively, the kinetics of the reaction, so that the failure was the more precocious the higher the temperature of the solid mass of concrete

Random regression analyses using B-spline functions to model growth of Nellore cattle

The objective of this study was to estimate (co)variance components using random regression on B-spline functions to weight records obtained from birth to adulthood. A total of 82 064 weight records of 8145 females obtained from the data bank of the Nellore Breeding Program (PMGRN/Nellore Brazil) which started in 1987, were used. The models included direct additive and maternal genetic effects and animal and maternal permanent environmental effects as random. Contemporary group and dam age at calving (linear and quadratic effect) were included as fixed effects, and orthogonal Legendre polynomials of age (cubic regression) were considered as random covariate. The random effects were modeled using B-spline functions considering linear, quadratic and cubic polynomials for each individual segment. Residual variances were grouped in five age classes. Direct additive genetic and animal permanent environmental effects were modeled using up to seven knots (six segments). A single segment with two knots at the end points of the curve was used for the estimation of maternal genetic and maternal permanent environmental effects. A total of 15 models were studied, with the number of parameters ranging from 17 to 81. The models that used B-splines were compared with multi-trait analyses with nine weight traits and to a random regression model that used orthogonal Legendre polynomials. A model fitting quadratic B-splines, with four knots or three segments for direct additive genetic effect and animal permanent environmental effect and two knots for maternal additive genetic effect and maternal permanent environmental effect, was the most appropriate and parsimonious model to describe the covariance structure of the data. Selection for higher weight, such as at young ages, should be performed taking into account an increase in mature cow weight. Particularly, this is important in most of Nellore beef cattle production systems, where the cow herd is maintained on range conditions. There is limited modification of the growth curve of Nellore cattle with respect to the aim of selecting them for rapid growth at young ages while maintaining constant adult weight.

Structural modeling and mutational analysis of yeast eukaryotic translation initiation factor 5A reveal new critical residues and reinforce its involvement in protein synthesis

Eukaryotic translation initiation factor 5A (eIF5A) is a protein that is highly conserved and essential for cell viability. This factor is the only protein known to contain the unique and essential amino acid residue hypusine. This work focused on the structural and functional characterization of Saccharomyces cerevisiae eIF5A. The tertiary structure of yeast eIF5A was modeled based on the structure of its Leishmania mexicana homologue and this model was used to predict the structural localization of new site-directed and randomly generated mutations. Most of the 40 new mutants exhibited phenotypes that resulted from eIF-5A protein-folding defects. Our data provided evidence that the C-terminal alpha-helix present in yeast eIF5A is an essential structural element, whereas the eIF5A N-terminal 10 amino acid extension not present in archaeal eIF5A homologs, is not. Moreover, the mutants containing substitutions at or in the vicinity of the hypusine modification site displayed nonviable or temperature-sensitive phenotypes and were defective in hypusine modification. Interestingly, two of the temperature-sensitive strains produced stable mutant eIF5A proteins - eIF5A(K56A) and eIF5A(Q22H,L93F)- and showed defects in protein synthesis at the restrictive temperature. Our data revealed important structural features of eIF5A that are required for its vital role in cell viability and underscored an essential function of eIF5A in the translation step of gene expression.

Poesia digital: três leituras da Obra de Jason Nelson

The development of digital technologies has opened up a new niche for artistic production. It began to emerge artworks that could only happen in the digital context. In this study, we investigated the syntax of defining digital poetry, recognized internationally as one of the possibilities of this new artistic practice, and how happens the meaning during the reading process. As research corpus, we chose the poem "Birds Still Warm From Flying", by american poet Jason Nelson. And we structure our analysis looking through three perspectives: the digital poem as a game; as the evolution of experimental trends of twentieth-century poetry; and as a representation of Rubik`s Cube, a famous three-dimensional puzzle from the 1970`s. Initially, we made some considerations about the construction of digital poetry as a hypermedia artwork, looking through convergence and hybridization of artistic and media languages. Then, we saw some similarities between Nelson`s poem and electronic games, based on our critical observations about the concept of interactivity. Subsequently, we wrote a historical overview about the poetic experimentation in the twentieth century, bringing examples of sound poetry and visual poetry as evidence that the birth of digital poetry is also the result of the evolution of these experiments. Finally, we use the Charles Sanders Peirce`s semiotics to analyze the signs that give references able to make us recognize the Rubik`s Cube in "Birds Still Warm From Flying"

Using of model updating considering damped frequency response function

The search for better performance in the structural systems has been taken to more refined models, involving the analysis of a growing number of details, which should be correctly formulated aiming at defining a representative model of the real system. Representative models demand a great detailing of the project and search for new techniques of evaluation and analysis. Model updating is one of this technologies, it can be used to improve the predictive capabilities of computer-based models. This paper presents a FRF-based finite element model updating procedure whose the updating variables are physical parameters of the model. It includes the damping effects in the updating procedure assuming proportional and none proportional damping mechanism. The updating parameters are defined at an element level or macro regions of the model. So, the parameters are adjusted locally, facilitating the physical interpretation of the adjusting of the model. Different tests for simulated and experimental data are discussed aiming at defining the characteristics and potentialities of the methodology.

Association Between Insulin Resistance, Glucose Intolerance, and Hypertension in Pregnancy

There is an association between insulin resistance, glucose intolerance, and essential hypertension, but the relation between insulin resistance, glucose intolerance, and hypertension diagnosed during pregnancy is not well understood. Transient hypertension of pregnancy, the new-onset nonproteinuric hypertension of late pregnancy, is associated with a high risk of later essential hypertension and glucose intolerance; thus, these conditions may have a similar pathophysiology. To assess the association between insulin resistance, glucose intolerance, essential hypertension, and subsequent development of proteinuric and nonproteinuric hypertension in pregnancy in women without underlying essential hypertension, we performed a prospective study comparing glucose (fasting, I and 2 hours postglucose load), insulin, glycosylated hemoglobin (HbA1c), high-density lipoprotein cholesterol (HDL-C), and triglycerides levels on routine screening for gestational diabetes mellitus. Women who developed hypertension in pregnancy (n = 37) had higher glycemic levels (fasting, 1 and 2 hours postglucose load) on a 100-gram oral glucose loading test, although only the fasting values showed a statistical significance (p < 0.05), and a significantly higher frequency of abnormal glucose loading tests, two hours after glucose load (>= 140 mg/dL) (p < 0.05) than women who remained normotensive (n = 180). Glucose intolerance was common in women who developed both subtypes of hypertension, particularly preeclampsia. Women who developed hypertension had greater prepregnancy body mass index (p < 0.0001), higher frequency and intensity of acanthosis nigricans (p < 0.0001), and higher baseline systolic and diastolic blood pressures (p <= 0.0001 for both), although all subjects were normotensive at baseline by study design; they also presented lower levels of HDL-C (p < 0.05). However, after adjustment for these and other potential confounders, an abnormal glucose loading test remained a significant predictor of development of hypertension (p < 0.05) and, specifically, preeclampsia (p < 0.01). There was a trend toward higher insulin and homeostasis model assessment-insulin resistance (HOMA-IR) levels in women developing any type of hypertension. When comparing women that remained normotensive to term with those with transient hypertension and preeclampsia, the preeclamptic women were born with lower weight (p < 0.05) and shorter length (p < 0.005); at screening they were older (p < 0.005), showed higher frequency and intensity of acanthosis nigricans (p < 0.0001), had higher prepregnancy BMI (p < 0.0005), as well as higher baseline systolic and diastolic blood pressures (p <= 0.0001 for both). They also showed higher HOMA-IR levels that did not show a statistical significance. When glucose tolerance status was taken in account, an association was found between increasing indexes of hypertension (p < 0.05) and of HOMA-IR (p < 0.05) with the worsening of glucose tolerance. These results suggest that insulin resistance and relative glucose intolerance are associated with an increased risk of new-onset hypertension in pregnancy, particularly preeclampsia, and support the hypothesis that insulin resistance may play a role in the pathogenesis of this disorder.

Genetic and environmental factors that affect the best time of Thoroughbred horses in Brazil

On the basis of information provided by the Brazilian Association of Race Horse Breeders, we analysed the racing performance of 947 Thoroughbred horses in races held from 1985 to 1992. The performance was evaluated using the best, time of the animals. The variance component was obtained by the derivative-free restricted maximum likelihood method, and the model used contained fixed effects of the racing month and year, sex, race track, track condition, animal age, number of competitors in race, and distance, and the random animal effect. The low heritability estimate obtained (0.12) indicates that selection based on animal phenotypic value must induce small genetic changes in this trail.

Initiating structural studies of Lys49-PLA2 homologues complexed with an anionic detergent, a fatty acid and a natural lipid

Lys49-Phospholipase A(2) (Lys49-PLA(2) - EC 3.1.1.4) homologues damage membranes by a Ca2+-independent mechanism which does not involve catalytic activity. Both MjTX-II from Bothrops moojeni and BthTX-I from Bothrops jararacussu are dimeric in solution and in the crystalline states, and a model for the Ca2+-independent membrane damaging mechanism has been suggested in which flexibility at the dimer interface region pert-nits quaternary structural transitions between open and closed membrane bound dimer conformations which results in the perturbation of membrane phospholipids and disruption of the bilayer structure [1]. With the aim of gaining insights into the structural determinants involved in protein/lipid association, we report here the crystallization and preliminary X-ray analysis of the (i) MjTX-II/SDS complex at a resolution of 2.78Angstrom, (ii) MjTX-II/STE complex at a resolution of 1.8 Angstrom and (W) BthTX-I/DMPC complex at 2.72Angstrom. These complexes were crystallized by the hanging drop vapour-diffusion technique in (i) HEPES buffer (pH 7.5) 1.8M ammonium sulfate with 2% (w/v) polyethyleneglycol 400, in (ii) 0.6-0.8 M sodium citrate as the precipitant (pH 6.0-6.5) and in (iii) sodium citrate buffer (pH 5.8) and PEG 4000 and 20% isopropanol, respectively. Single crystals of these complexes have been obtained and X-ray diffraction data have been collected at room temperature using a R-AXIS IV imaging plate system and graphite monochromated Cu Kalpha X-ray radiation generated by a Rigaku RU300 rotating anode generator for (i) and (W) and using using a Synchrotron Radiation Source (Laboratorio Nacional de Luz Sincrotron, LNLS, Campinas, Brazil) for (ii).

Search for physics beyond the standard model using multilepton signatures in pp collisions at root s=7 TeV

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Search for B-s(0) -> mu(+)mu(-) and B-0 -> mu(+)mu(-) Decays in pp Collisions at root s=7 TeV

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)