Modeling and predicting the CBOE market volatility index

This paper performs a thorough statistical examination of the time-series properties of the daily market volatility index (VIX) from the Chicago Board Options Exchange (CBOE). The motivation lies not only on the widespread consensus that the VIX is a barometer of the overall market sentiment as to what concerns investors' risk appetite, but also on the fact that there are many trading strategies that rely on the VIX index for hedging and speculative purposes. Preliminary analysis suggests that the VIX index displays long-range dependence. This is well in line with the strong empirical evidence in the literature supporting long memory in both options-implied and realized variances. We thus resort to both parametric and semiparametric heterogeneous autoregressive (HAR) processes for modeling and forecasting purposes. Our main ndings are as follows. First, we con rm the evidence in the literature that there is a negative relationship between the VIX index and the S&P 500 index return as well as a positive contemporaneous link with the volume of the S&P 500 index. Second, the term spread has a slightly negative long-run impact in the VIX index, when possible multicollinearity and endogeneity are controlled for. Finally, we cannot reject the linearity of the above relationships, neither in sample nor out of sample. As for the latter, we actually show that it is pretty hard to beat the pure HAR process because of the very persistent nature of the VIX index.

Anticipatory effects in the FTSE 100 index revisions

This paper examines the price impact of trading due to expected changes in the FTSE 100 index composition. We focus on the latter index because it employs publicly-known objective criteria to determine membership and hence it provides a natural context to investigate anticipatory trading e ects. We propose a panel-regression event study that backs out these anticipatory e ects by looking at the price impact of the ex-ante proba-bility of changing index membership status. Our ndings reveal that anticipative trading explains about 40% and 23% of the cumulative abnormal returns of additions and deletions, respectively. We con rm these in-sample results out of sample by tracking the performance of a trading strategy that relies on the addition/deletion probability estimates. The perfor-mance is indeed very promising in that it entails an average daily excess return of 11 basis points over the FTSE 100 index.

Employing the Components of the Human Development Index to Drive Resources to Educational Policies

A new form of composition of the indicators employed to generate the United Nations Human Development Index (HDI) is presented here. This form of composition is based on the assumption that random errors affect the measurement of each indicator. This assumption allows for replacing the vector of evaluations according to each indicator by vectors of probabilities of being the best or the worst according to such attribute. The probabilistic composition of such probabilities of preference according to each indicator into probabilities of being the best or the worst according to all of them generates indices that may unveil, on one hand, performances to be followed and, on the other hand, extreme conditions that an additive composition would hide. Differences between the results of application of the diverse forms of composition are examined in the case of the HDI and in the case of the districts version of the HDI employed to compare Brazilian municipalities. It is verified that the smallest correlation between the education.

Sustainability indexes: why join in? A study of the Corporate Sustainability Index (ISE) in Brazil

In the past decade, indicators have been created to assess the sustainability performance of companies listed in stock exchange markets. Academics and practitioners expect companies to benefit from being listed in such indexes, but evidence of value creation is still scarce. Since virtually all studies about the Corporate Sustainability Index (ISE) of the S~ ao Paulo Stock Exchange (Brazil) e the object of the present study e focused on the value of shares, we initially looked for answers in the finance theory. We collected secondary data about the financial and economic performance of companies forming the ISE's ‘theoretical portfolio’, as these kinds of indexes are also known. In a second stage, we sought additional motivations for companies to make efforts to be listed in the index. We collected additional data and interviewed representatives of key companies listed in the ISE, as well as industry leaders who chose not to participate in the selection process. The results support the main propositions of the institutional theory, as well as the ‘pays to be green’ literature e that the intangible value created by voluntary environmental initiatives, such as access to knowledge, new capabilities and reputational gain, better explain the efforts companies make to be listed in the ISE index

Relação entre estresse oxidativo e oesteopenia diabética em ratas pré-menopausadas

The relationship between lipid peroxidation, antioxidant defense and diabetic osteopenia remains unclear. This study evaluated the relationship between lipid peroxidation index, antioxidant defense parameter and bone metabolism in a premenopausal diabetic model by measurements such as thiobarbituric acid-reactive substances concentration (TBARS) and reduced glutathione (GSH) content in brain homogenates, histomorphometric analysis, biomechanical testing and bone mineral density (BMD). Female Wistar rats with regular estrous cycle were divided into two groups: Group 1: control rats (n = 15) and Group 2: diabetic rats (n = 15). Diabetes mellitus was induced by alloxan and confirmed by glycemia 250 mg/dL. The experimental period understood 1 and 5 after days induction and 45, 75 and 120 days after the installation of diabetes mellitus.The lipid peroxidation index, measured by TBARS concentration, showed a significant increase (p<0.05) in diabetic animals in comparison to animals control. However, the antioxidant parameter, measured by GSH content, was significantly decrease (p<0.05) in diabetic animals. Histomorphometric analysis showed a significant increase (p<0.05) in femoral trabecular separation together with a significant decrease (p<0.05) in trabecular thickness and reduced trabecular bone volume in diabetic rats. Moreover, biomechanical testing and BMD values were significant decrease (p<0.05) in diabetic group. Thus, our results demonstrated that increased lipid peroxidation and altered antioxidant defense could be related to the development of oxidative stress and diabetic osteopenia in premenopausal rats

Síndrome metabólica e risco cardiovascular na pós- menopausa: avaliação por diferentes critérios diagnósticos e influência de fatores sócio-econômicos

The metabolic syndrome (MetS) involves a group of risk factors and is associated with a significantly higher risk of developing cardiovascular diseases (CVD) and type 2 diabetes. Recent studies have shown the importance of preventing CVD through early diagnosis and treatment of patients with MetS. The objective of our study was to determine the prevalence of MetS by different diagnostic criteria in postmenopausal women and analyze the influence of socioeconomic factors on cardiovascular risk in this sample of the population. A cross-sectional study involving 127 postmenopausal women (45 to 64 years) from Natal and Mossoró, Brazil. The study was approved by the Research Ethics Committee of the Federal University of Rio Grande do Norte. The experimental protocol consisted of applying structured interview, clinical examination and implementation of dosages blood. The diagnosis of MetS was based on NCEP-ATP III (National Cholesterol Education Program-Adult Treatment Panel III) and IDF (International Diabetes Federation) criteria. The research was accomplished with the participation of an interdisciplinary team in their several phases. The result of the sample studied had mean age of 53.9 ± 4.6 years and per capita income of 54.5 dollars. The prevalence of MetS, according to NCEP-ATP III and IDF criteria, was 52.8% and 61.4$, respectively. The agreement rate between NCEP-ATP III and IDF criteria was 81.9%, with a kappa value of 0.63 (CI 95%, 0.49-0.76), indicating good agreement between the two definitions. The most prevalent cardiovascular risk factor was HDL < 50 mg/dl, observed in 96.1% of the women analyzed, followed by increased waist circumference (≥ 80 cm) in 78.0%, elevated blood pressure in 51.2%, triglycerides ≥ 150 mg/dl in 40.9% and glycemia ≥ 100 mg/dl in 37.0% of the women. The occurrence of MetS was significantly associated with schooling and body mass index (BMI). High blood pressure was significantly associated with low family income, low schooling and weight gain. There was no significant association between the intensity of climacteric symptomatology and the occurrence of MetS. The conclusions of the research were that MetS and its individual components show a high prevalence in postmenopausal Brazilian women, and significant associations with weight gain and low socioeconomic indicators. The data point to the need for an interdisciplinary approach at the basic health care level, directed toward the early identification of risk factors and the promotion of cardiovascular health of climacteric women.

Development of a quality index method (QIM) sensory scheme and study of shelf-life of ice-stored blackspot seabream (Pagellus bogaraveo)

The aim of this work was to develop a quality index method (QIM) scheme for whole ice-boxed refrigerated blackspot seabream and to perform shelf-life evaluations, using sensory analysis, GR Torrymeter measurements and bacterial counts of specific spoilage organisms (SSO) during chilled storage. A QIM scheme based on a total of 30 demerit points was developed. Sensory, physical and microbiological data were integrated and used to determine the rejection point. Results indicated that the shelf-life of blackspot seabream is around 12-13 days. (C) 2011 Elsevier Ltd. All rights reserved.

Avaliação do status de zinco e da expressão gênica de metalotioneínas em pacientes com aterosclerose tratados com rosuvastatina

The study had as objective to evaluate the zinc status by means of dietary intake, zinc in plasma and in erythrocytes and the metallothionein gene expression in patients with atherosclerosis in use of rosuvastatin. The research involved 27 adult and elderly patients of both genders with atherosclerosis that were treated with rosuvastatin (10mg/day) during 4 months. We performed the dosage of lipids, glucose, AST and ALT, ultrasensitive C-reactive protein (hsCRP), plasmatic and erythrocyte zinc and 1 and 2 metallothionein gene expression. The assessment of body mass index (BMI) and abdominal circumference (AC) was performed, besides the analysis of dietary intake of patients. The majority of the evaluated patients presented overweight, before and after the treatment, with no significant difference between the times of the study. It was identified that the AC was significantly reduced in the group (p<0.05) after the intervention. The majority of the patients had intake below the recommendation of calories and fibers and above recommendation of proteins. The mono and polyunsaturated fats were adequate for the majority of the patients, however, the saturated fat and cholesterol were consumed in excess by a great part of the individuals. The intake of zinc was inadequate, being noticed an inadequacy of 100% in the male gender and of 84% in the female. After the treatment with rosuvastatin there was a significant reduction in the total cholesterol (TC) and LDL-c (p<0.01) and no alterations were observed in the HDL-c and triacylglycerols. It was also verified that the reduction of glycemia (p<0.05) and of hsCRP (p<0.01). The analysis did not demonstrate significant differences in the plasmatic and erythrocyte zinc concentration after the treatment. There was, after the treatment, reduction of the MT1F gene (p<0.05) without, however, occurring significant alterations in the MT2A gene. The treatment with rosuvastatin was effective in the reduction of TC and LDL-c, and promoted the reduction of inflammatory marker hsCRP. The zinc in the plasma and erythrocyte was not altered by the use of the medication and there was a reduction in the MT1F gene, possibly due to the reduction of inflammation. The majority of patients presented inadequate intake of zinc and this inadequacy did not have relation with the mineral parameters in plasma and erythrocytes or with the metallothionein gene expression

Aminophylline affects glycemia control and increases anaerobic glycolysis in horses during incremental exercise

A study was conducted on the effects of acute administration of aminophylline on physiological variables in purebred Arabian horses submitted to incremental exercise test. Twelve horses were submitted to two physical tests separated by a 10-day interval in a crossover study. These horses were divided into two groups: control (C, n = 12) and aminophylline (AM, n = 12). The drug at 10 mg/kg body weight or saline was given intravenously, 30 minutes before the incremental exercise test. The treadmill exercise test consisted of an initial warmup followed by gradually increasing physical exigency. Blood samples were assayed for lactic acid, glucose, and insulin. Maximal lactic acidemia was greater (P = .0238) in the AM group. Both V-2 and V-4 (velocities at which lactate concentrations were 2 and 4 mmol/ L, respectively) were reduced in the AM group by 15.85% (P = .0402) and 17.76% (P = .0 109), respectively. At rest as well as at 4 minutes, insulinemia was greater in the AM group (P = .0417 and .0393), Glycemia group at times 8 was statistically lower in the Al (P = .0138) and 10 minutes (P = .0432). Use of ammophylline in horses during incremental exercise does not seem to be beneficial, because this drug has a tendency to cause hypoglycemia and to increase dependence on anaerobic glucose metabolism.

Bispectral index in dogs at three intravenous infusion rates of propofol

Objective To establish the correlation between the bispectral index (BIS) and different rates of infusion of propofol in dogs.Study design Prospective experimental trial.Animals Eight adult dogs weighing 6-20 kg.Methods Eight animals underwent three treatments at intervals of 20 days. Propofol was used for induction of anesthesia (10 mg kg(-1) IV), followed by a continuous rate infusion (CRI) at 0.2 mg kg(-1) minute(-1) (P2), 0.4 mg kg(-1) minute(-1) (P4) or 0.8 mg kg(-1) minute(-1) (P8) for 55 minutes. The BIS values were measured at 10, 20, 30, 40, and 50 minutes (T10, T20, T30, T40, and T50, respectively) after the CRI of propofol was started. Numeric data were submitted to analysis of variance followed by Tukey test (p < 0.05).Results The BIS differed significantly among groups at T40, when P8 was lower than P2 and P4. At T50, P8 was lower than P2. The electromyographic activity (EMG) in P2 and P4 was higher than P8 at T40 and T50.Conclusion An increase in propofol infusion rates decreases the BIS values and EMG.

Bispectral index in dogs with high intracranial pressure, anesthetized with propofol and submitted to two levels of FiO2

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

Effect of Fusarium graminearum and infection index on germination and vigor of maize seeds

Patógenos em sementes de milho (Zea mays) causam sérios problemas, como a perda de sua capacidade germinativa. O objetivo do trabalho foi determinar qual o melhor tempo para infecção das sementes de milho com Fusarium graminearum, para posterior avaliação dos danos causados pelo fungo na germinação e vigor das mesmas. As sementes foram colocadas sobre meio de BDA contendo o patógeno e incubadas por 4, 8, 16 e 32 h. Após os respectivos períodos de incubação, estas foram submetidas ao teste de sanidade (papel de filtro), com duas variações, sem e com assepsia superficial, usando hipoclorito de sódio a 1% de cloro ativo, por 3 min. Determinado o melhor tempo para infecção, outras sementes foram infetadas com o patógeno, para realização dos testes de germinação e vigor (envelhecimento acelerado e teste de frio) com uma mistura de sementes sadias (colocadas sobre o meio BDA) e sementes inoculadas, resultando em 0, 20, 40, 60, 80 e 100% de sementes infetadas com o fungo em estudo. Os resultados obtidos mostraram que o período de incubação de 32 h foi suficiente para se obter sementes infetadas. Com relação à germinação, não houve diferenças significativas entre os diferentes níveis de infecção, provavelmente devido ao alto vigor das sementes de milho testadas. Quanto aos testes de vigor, os níveis de infecção diferiram significativamente da testemunha, apesar de não terem diferido entre si.

Compositional nutrient diagnosis of corn using the Mahalanobis distance as nutrient imbalance index

Parent, L. E., Natale, W. and Ziadi, N. 2009. Compositional nutrient diagnosis of corn using the Mahalanobis distance as nutrient imbalance index. Can. J. Soil Sci. 89: 383-390. Compositional nutrient diagnosis (CND) provides a plant nutrient imbalance index (CND - r(2)) with assumed chi(2) distribution. The Mahalanobis distance D(2), which detects outliers in compositional data sets, also has a chi(2) distribution. The objective of this paper was to compare D(2) and CND - r(2) nutrient imbalance indexes in corn (Zea mays L.). We measured grain yield as well as N, P, K, Ca, Mg, Cu, Fe, Mn, and Zn concentrations in the ear leaf at silk stage for 210 calibration sites in the St. Lawrence Lowlands [2300-2700 corn thermal units (CTU)] as well as 30 phosphorus (2300-2700 CTU; 10 sites) and 10 nitrogen (1900-2100 CTU; one site) replicated fertilizer treatments for validation. We derived CND norms as mean, standard deviation, and the inverse covariance matrix of centred log ratios (clr) for high yielding specimens (>= 9.0 Mg grain ha(-1) at 150 g H(2)O kg(-1) moisture content) in the 2300-2700 CTU zone. Using chi(2) = 17 (P < 0.05) with nine degrees of freedom (i.e., nine nutrients) as a rejection criterion for outliers and a yield threshold of 8.6 Mg ha(-1) after Cate-Nelson partitioning between low- and high-yielders in the P validation data set, D(2) misclassified two specimens compared with nine for CND -r(2). The D(2) classification was not significantly different from a chi(2) classification (P > 0.05), but the CND - r(2) classification differed significantly from chi(2) or D(2) (P < 0.001). A threshold value for nutrient imbalance could thus be derived probabilistically for conducting D(2) diagnosis, while the CND - r(2) nutrient imbalance threshold must be calibrated using fertilizer trials. In the proposed CND - D(2) procedure, D(2) is first computed to classify the specimen as possible outlier. Thereafter, nutrient indices are ranked in their order of limitation. The D(2) norms appeared less effective in the 1900-2100 CTU zone.

Soil water retention and s index after crop rotation and chiseling

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

The nitrogen sufficiency index underlying estimates of nitrogen fertilization requirements of common bean

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