Análise de contágio a partir do modelo de correlação condicional constante com mudança de regime Markoviana

Nas últimas décadas, a análise dos padrões de propagação internacional de eventos financeiros se tornou o tema de grande parte dos estudos acadêmicos focados em modelos de volatilidade multivariados. Diante deste contexto, objetivo central do presente estudo é avaliar o fenômeno de contágio financeiro entre retornos de índices de Bolsas de Valores de diferentes países a partir de uma abordagem econométrica, apresentada originalmente em Pelletier (2006), sobre a denominação de Regime Switching Dynamic Correlation (RSDC). Tal metodologia envolve a combinação do Modelo de Correlação Condicional Constante (CCC) proposto por Bollerslev (1990) com o Modelo de Mudança de Regime de Markov sugerido por Hamilton e Susmel (1994). Foi feita uma modificação no modelo original RSDC, a introdução do modelo GJR-GARCH formulado em Glosten, Jagannathan e Runkle (1993), na equação das variâncias condicionais individuais das séries para permitir capturar os efeitos assimétricos na volatilidade. A base de dados foi construída com as séries diárias de fechamento dos índices das Bolsas de Valores dos Estados Unidos (SP500), Reino Unido (FTSE100), Brasil (IBOVESPA) e Coréia do Sul (KOSPI) para o período de 02/01/2003 até 20/09/2012. Ao longo do trabalho a metodologia utilizada foi confrontada com outras mais difundidos na literatura, e o modelo RSDC com dois regimes foi definido como o mais apropriado para a amostra selecionada. O conjunto de resultados encontrados fornecem evidências a favor da existência de contágio financeiro entre os mercados dos quatro países considerando a definição de contágio financeiro do Banco Mundial denominada de “muito restritiva”. Tal conclusão deve ser avaliada com cautela considerando a extensa diversidade de definições de contágio existentes na literatura.

The Taylor rule under inquiry: Hidden states

This work empirically evaluates the Taylor rule for the US and Brazil using Markov-Switching Regimes. I find that the inflation parameter of the US Taylor rule is less than one in many periods, contrasting heavily with Clarida, Gal´ı and Gertler (2000), and the same happens with Brazilian data. When the inflation parameter is greater than one, it encompasses periods that these authors considered they should be less than one. Brazil is used for comparative purposes because it experienced a high level inflation until 1994 and then a major stabilization plan reduced the growth in prices to civilized levels. Thus, it is a natural laboratory to test theories designed to work in any environment. The findings point to a theoretical gap that deserves further investigation and show that monetary policy in Brazil has been ineffective, which is coherent with the general attitude of population in relation to this measure.

Taylor rule with hidden states

This work evaluates empirically the Taylor rule for the US and Brazil using Kalman Filter and Markov-Switching Regimes. We show that the parameters of the rule change significantly with variations in both output and output gap proxies, considering hidden variables and states. Such conclusions call naturally for robust optimal monetary rules. We also show that Brazil and US have very contrasting parameters, first because Brazil presents time-varying intercept, second because of the rigidity in the parameters of the Brazilian Taylor rule, regardless the output gap proxy, data frequency or sample data. Finally, we show that the long-run inflation parameter of the US Taylor rule is less than one in many periods, contrasting strongly with Orphanides (forthcoming) and Clarida, Gal´i and Gertler (2000), and the same happens with Brazilian monthly data.

Evaluation of an average numerator relationship matrix model and a Bayesian hierarchical model for growth traits in Nellore cattle with uncertain paternity

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

Modelagem de usinas eólicas através de um processo de Markov e técnicas de confiabilidade para a estimativa anual da energia produzida

This study aims to use a computational model that considers the statistical characteristics of the wind and the reliability characteristics of a wind turbine, such as failure rates and repair, representing the wind farm by a Markov process to determine the estimated annual energy generated, and compare it with a real case. This model can also be used in reliability studies, and provides some performance indicators that will help in analyzing the feasibility of setting up a wind farm, once the power curve is known and the availability of wind speed measurements. To validate this model, simulations were done using the database of the wind farm of Macau PETROBRAS. The results were very close to the real, thereby confirming that the model successfully reproduced the behavior of all components involved. Finally, a comparison was made of the results presented by this model, with the result of estimated annual energy considering the modeling of the distribution wind by a statistical distribution of Weibull

Extraction of Building Roof Contours From LiDAR Data Using a Markov-Random-Field-Based Approach

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

Extração automática de contornos de telhados usando dados de varredura a laser e campos randômicos de Markov

This paper proposes a methodology for automatic extraction of building roof contours from a Digital Elevation Model (DEM), which is generated through the regularization of an available laser point cloud. The methodology is based on two steps. First, in order to detect high objects (buildings, trees etc.), the DEM is segmented through a recursive splitting technique and a Bayesian merging technique. The recursive splitting technique uses the quadtree structure for subdividing the DEM into homogeneous regions. In order to minimize the fragmentation, which is commonly observed in the results of the recursive splitting segmentation, a region merging technique based on the Bayesian framework is applied to the previously segmented data. The high object polygons are extracted by using vectorization and polygonization techniques. Second, the building roof contours are identified among all high objects extracted previously. Taking into account some roof properties and some feature measurements (e. g., area, rectangularity, and angles between principal axes of the roofs), an energy function was developed based on the Markov Random Field (MRF) model. The solution of this function is a polygon set corresponding to building roof contours and is found by using a minimization technique, like the Simulated Annealing (SA) algorithm. Experiments carried out with laser scanning DEM's showed that the methodology works properly, as it delivered roof contours with approximately 90% shape accuracy and no false positive was verified.

Two-branes with variable tension model and the effective Newtonian constant

It is shown that, in the two brane time variation model framework, if the hidden brane tension varies according to the phenomenological Eotvos law, the visible brane tension behavior is such that its time derivative is negative in the past and positive after a specific time of cosmological evolution. This behavior is interpreted in terms of a useful mechanical system analog and its relation with the variation of the Newtonian (effective) gravitational constant is explored.

Variable parameter and double sampling (X)over-bar charts in the presence of correlation: The Markov chain approach

The general assumption under which the (X) over bar chart is designed is that the process mean has a constant in-control value. However, there are situations in which the process mean wanders. When it wanders according to a first-order autoregressive (AR (1)) model, a complex approach involving Markov chains and integral equation methods is used to evaluate the properties of the (X) over bar chart. In this paper, we propose the use of a pure Markov chain approach to study the performance of the (X) over bar chart. The performance of the chat (X) over bar with variable parameters and the (X) over bar with double sampling are compared. (C) 2011 Elsevier B.V. All rights reserved.

Circuit board accident - organizational dimension hidden by prescribed safety

This study analyzes an accident in which two maintenance workers suffered severe burns while replacing a circuit breaker panel in a steel mill, following model of analysis and prevention of accidents (MAPA) developed with the objective of enlarging the perimeter of interventions and contributing to deconstruction of blame attribution practices. The study was based on materials produced by a health service team in an in-depth analysis of the accident. The analysis shows that decisions related to system modernization were taken without considering their implications in maintenance scheduling and creating conflicts of priorities and of interests between production and safety; and also reveals that the lack of a systemic perspective in safety management was its principal failure. To explain the accident as merely non-fulfillment of idealized formal safety rules feeds practices of blame attribution supported by alibi norms and inhibits possible prevention. In contrast, accident analyses undertaken in worker health surveillance services show potential to reveal origins of these events incubated in the history of the system ignored in practices guided by the traditional paradigm.

Exploring community assembly through an individual-based model for trophic interactions

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Lobe identity in the Mongolian gerbil prostatic complex: A new rodent model for prostate study

Knowledge of structural and physiological differences among the prostatic lobes (PL) is the basis for development of experimental studies in traditional laboratory rodents. Although Mongolian gerbil reproductive organs have been increasingly investigated, its prostate structure is far from being properly known, and investigations of this organ focused on the ventral lobe (VL). Thus, the present study provides a thorough morphological description of prostatic complex in the male adult gerbil on the basis of topographic, histological, and ultrastructural analysis and ductal branching. Like other rodents, four pairs of PL were observed. However, in contrast to the rat and mouse, the VL is the least voluminous component and the dorsolateral lobe (DLL) is the most prominent and spatially isolated from remaining PL. The occurrence of a dorsal lobe (DL), hidden between bladder and insertion of seminal vesicles, has not been mentioned in previous reports with Mongolian gerbil. Collagenase digestion followed by microdissection revealed that, except for DL, which has a tubularacinar organization, all PL exhibit tubular organization and variable ductal branching. Distinct histological and ultrastructural features such as secretory epithelium, aspect of luminal secretion and stromal organization are reported for each PL and are confirmed by morphometric and stereological methods. Histological sections showed at least three intralobar segments in VL and DL. Ultrastructural analysis evidenced that, although luminal epithelial cells of PL share typical features of exocrine secretory cells, there are striking lobe phenotypical variations. Both merocrine and apocrine pathways are observed in variable rates in all PL, with the predominance of the former in the DLL and the latter in the CG. The morphological observations presented herein point to distinct structural identities for each PL, which probably reflects,specific functional compromise of seminal fluid secretion. These data also point to the gerbil as a good model for investigations concerning the regulation of prostate development and homeostasis, mainly with regard to the dorsal and dorsolateral PL.

Fluorescence spectroscopy for the detection of tongue carcinoma - validation in an animal model

The efficacy of fluorescence spectroscopy to detect squamous cell carcinoma is evaluated in an animal model following laser excitation at 442 and 532 nm. Lesions are chemically induced with a topical DMBA application at the left lateral tongue of Golden Syrian hamsters. The animals are investigated every 2 weeks after the 4th week of induction until a total of 26 weeks. The right lateral tongue of each animal is considered as a control site (normal contralateral tissue) and the induced lesions are analyzed as a set of points covering the entire clinically detectable area. Based on fluorescence spectral differences, four indices are determined to discriminate normal and carcinoma tissues, based on intraspectral analysis. The spectral data are also analyzed using a multivariate data analysis and the results are compared with histology as the diagnostic gold standard. The best result achieved is for blue excitation using the KNN (K-nearest neighbor, a interspectral analysis) algorithm with a sensitivity of 95.7% and a specificity of 91.6%. These high indices indicate that fluorescence spectroscopy may constitute a fast noninvasive auxiliary tool for diagnostic of cancer within the oral cavity. (C) 2008 Society of Photo-Optical Instrumentation Engineers.

Hidden sector effects on double Higgs production near threshold at the LHC

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

THE HIGGS PORTAL and AN UNIFIED MODEL FOR DARK ENERGY and DARK MATTER

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)