Intrahousehold allocation in an unintentional random experiment

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A teoria da eficiência no mercado de capitais: uma revisão da literatura e dos trabalhos empíricos: o modelos de Random walk aplicado ao índice de mercado de ações Bovespa

Durante muitos anos uma controversa questão tem ocupado tanto os discursos acadêmicos quanto os financeiros. O problema a ser resolvido diz respeito à evolução passada dos preços das ações e se tal evolução poderia ser utilizada para prever o comportamento dos preços futuros dessas ações.

Estimation of random coefficients logit demand models: an application to the Brazilian fixed income fund market

Estimation of demand and supply in differentiated products markets is a central issue in Empirical Industrial Organization and has been used to study the effects of taxes, merges, introduction of new goods, market power, among others. Logit and Random Coefficients Logit are examples of demand models used to study these effects. For the supply side it is generally supposed a Nash equilibrium in prices. This work presents a detailed discussion of these models of demand and supply as well as the procedure for estimation. Lastly, is made an application to the Brazilian fixed income fund market.

Portifolio selection with random transaction costs

Transaction costs have a random component in the bid-ask spread. Facing a high bid-ask spread, the consumer has the option to wait for better terms oI' trade, but only by carrying an undesirable portfolio balance. We present the best policy in this case. We pose the control problem and show that the value function is the uni que viscosity solution of the relevant variational inequality. Next, a numerical procedure for the problem is presented.

Earnings dynamics and inequality in Venezuela: 1995-1997

In this paper, we decompose the variance of logarithmic monthly earnings of prime age males into its permanent and transitory components, using a five-wave rotating panel from the Venezuelan “Encuesta de Hogares por Muestreo” from 1995 to 1997. As far as we know, this is the first time a variance components model is estimated for a developing country. We test several specifications and find that an error component model with individual random effects and first order serially correlated errors fits the data well. In the simplest model, around 22% of earnings variance is explained by the variance of permanent component, 77% by purely stochastic variation and the remaining 1% by serial correlation. These results contrast with studies from industrial countries where the permanent component is predominant. The permanent component is usually interpreted as the results of productivity characteristics of individuals whereas the transitory component is due to stochastic perturbations such as job and/or price instability, among others. Our findings may be due to the timing of the panel when occurred precisely during macroeconomic turmoil resulting from a severe financial crisis. The findings suggest that earnings instability is an important source of inequality in a region characterized by high inequality and macroeconomic instability.

Does mixed frequency vector error correction model add relevant information to exchange misalignment calculus? Evidence for United States

Real exchange rate is an important macroeconomic price in the economy and a ects economic activity, interest rates, domestic prices, trade and investiments ows among other variables. Methodologies have been developed in empirical exchange rate misalignment studies to evaluate whether a real e ective exchange is overvalued or undervalued. There is a vast body of literature on the determinants of long-term real exchange rates and on empirical strategies to implement the equilibrium norms obtained from theoretical models. This study seeks to contribute to this literature by showing that it is possible to calculate the misalignment from a mixed ointegrated vector error correction framework. An empirical exercise using United States' real exchange rate data is performed. The results suggest that the model with mixed frequency data is preferred to the models with same frequency variables

A Higher order and stable method for the numerical integration of Random Differential Equations

Trabalho apresentado no Congresso Nacional de Matemática Aplicada à Indústria, 18 a 21 de novembro de 2014, Caldas Novas - Goiás

Numerical integration of coupled stochastic oscillators driven by Random Forces

Trabalho apresentado no International Conference on Scientific Computation And Differential Equations 2015

Especificação de um modelo para explicação e projeção de retornos do IBRX-100

Neste trabalho, propomos uma especificação de modelo econométrico na forma reduzida, estimado por mínimos quadrados ordinários (MQO) e baseado em variáveis macroeconômicas, com o objetivo de explicar os retornos trimestrais do índice de ações IBRX-100, entre 2001 e 2015. Testamos ainda a eficiência preditiva do modelo e concluímos que o erro de previsão estimado em janela móvel, com re-estimação de MQO a cada rodada, e utilização de VAR auxiliar para projeção dos regressores, é significativamente inferior ao erro de previsão associado à hipótese de Random Walk para o horizonte de previsão de um trimestre a frente.

Undersampled Critical Branching Processes on Small-World and Random Networks Fail to Reproduce the Statistics of Spike Avalanches

The power-law size distributions obtained experimentally for neuronal avalanches are an important evidence of criticality in the brain. This evidence is supported by the fact that a critical branching process exhibits the same exponent t~3=2. Models at criticality have been employed to mimic avalanche propagation and explain the statistics observed experimentally. However, a crucial aspect of neuronal recordings has been almost completely neglected in the models: undersampling. While in a typical multielectrode array hundreds of neurons are recorded, in the same area of neuronal tissue tens of thousands of neurons can be found. Here we investigate the consequences of undersampling in models with three different topologies (two-dimensional, small-world and random network) and three different dynamical regimes (subcritical, critical and supercritical). We found that undersampling modifies avalanche size distributions, extinguishing the power laws observed in critical systems. Distributions from subcritical systems are also modified, but the shape of the undersampled distributions is more similar to that of a fully sampled system. Undersampled supercritical systems can recover the general characteristics of the fully sampled version, provided that enough neurons are measured. Undersampling in two-dimensional and small-world networks leads to similar effects, while the random network is insensitive to sampling density due to the lack of a well-defined neighborhood. We conjecture that neuronal avalanches recorded from local field potentials avoid undersampling effects due to the nature of this signal, but the same does not hold for spike avalanches. We conclude that undersampled branching-process-like models in these topologies fail to reproduce the statistics of spike avalanches.

Efeitos genéticos e ambientais sobre o perímetro escrotal de animais da raça Caracu

Neste trabalho foram avaliados os efeitos de idade (IDS) e peso aos 15 meses (P15) sobre medidas de perímetro escrotal ao sobreano de 1.892 machos da raça Caracu e estimada a herdabilidade desta característica. Utilizaram-se dois modelos de análise: em um dos modelos, foram incluídos o efeito de grupo de contemporâneos (GC) e, como covariável, a idade ao sobreano (efeitos linear e quadrático); e, no outro, o efeito de GC e, como covariável, o peso ao sobreano (efeitos linear e quadrático). A idade não teve efeito significativo no perímetro escrotal, o que está relacionado à homogeneidade dos animais nos grupos de contemporâneos, enquanto os efeitos linear e quadrático de P15 foram significativos sobre o perímetro escrotal, indicando grande influência do peso sobre a variação desta característica. A herdabilidade do perímetro escrotal foi estimada pelo método Bayesiano utilizando-se um modelo animal. O modelo incluiu os efeitos de GC e P15 (linear e quadrático) e os efeitos genéticos aditivo direto e residual. O valor médio estimado de herdabilidade do PE ao sobreano foi 0,38 e comprova que esta característica pode ser utilizada como critério de seleção para precocidade sexual em programas de melhoramento genético de animais da raça Caracu.

Estimation of genetic parameters for partial egg production periods by means of random regression models

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Random regressions models to describe the genetic variation of milk yield over multiple parities in Buffaloes

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

Efeitos genéticos e não-genéticos sobre o intervalo de parto em fêmeas suínas no Sudeste do Brasil

The effect of environmental and genetic effects on the farrowing interval in Dalland (C-40) sows in the Southeast of Brazil was studied. Data consisting of 1,013 farrowing intervals recorded in two herds were analyzed, using a model that included the sire and the dam as random effects and the year of farrowing, the herd and the farrowing season as fixed effects, plus the covariables sow's age at farrowing, litter size at birth, lactation length and weaning-estrus interval. For the farrowing interval first only, variance components were estimated by REML, with an animal model that included, as fixed effect, a contemporary group and, as random effects, the additive genetic variance and the error. The mean farrowing interval was 140.9+5.7 days, with a 4.0% coefficient of variation. Variance analysis showed no effect of either year, season of farrowing or herd on the farrowing interval. The sire effect was not important for the farrowing interval, but the dam represented an important source of variation. The total number of piglets born and the sow's age at farrowing had no influence on the farrowing interval. The length of lactation exerted an influence on the farrowing interval, accounting for 19.4% of the total variation of this trait. Likewise, the linear regression of the weaning-estrus interval in relation to the farrowing interval was highly significant, accounting for 51.7% of the total variation. The heritability estimate was 0.00, suggesting that no genetic gain can be obtained by selection for a shorter farrowing interval.