Extreme Value Theory versus traditional GARCH approaches applied to financial data: a comparative evaluation

Although stock prices fluctuate, the variations are relatively small and are frequently assumed to be normal distributed on a large time scale. But sometimes these fluctuations can become determinant, especially when unforeseen large drops in asset prices are observed that could result in huge losses or even in market crashes. The evidence shows that these events happen far more often than would be expected under the generalized assumption of normal distributed financial returns. Thus it is crucial to properly model the distribution tails so as to be able to predict the frequency and magnitude of extreme stock price returns. In this paper we follow the approach suggested by McNeil and Frey (2000) and combine the GARCH-type models with the Extreme Value Theory (EVT) to estimate the tails of three financial index returns DJI,FTSE 100 and NIKKEI 225 representing three important financial areas in the world. Our results indicate that EVT-based conditional quantile estimates are much more accurate than those from conventional AR-GARCH models assuming normal or Student’s t-distribution innovations when doing out-of-sample estimation (within the insample estimation, this is so for the right tail of the distribution of returns).

A utilização da madeira na construção de edifícios: alternativas às soluções tradicionais

Esta dissertação insere-se num projecto de investigação relacionado com o papel que a madeira apresenta na construção nos tempos de hoje, necessário para obtenção do Mestrado em Engenharia Civil. A madeira apresenta, enquanto material de construção, especificidades únicas: é um material orgânico, ao contrário da pedra, do aço e do betão; é um material combustível, sem que isto implique necessariamente uma baixa resistência ao fogo; é um material tradicional, presente em pavimentos e coberturas de edifícios antigos e é, paradoxalmente, um material novo, adoptado em arrojadas obras de arquitectura contemporânea. Estas características, associadas à necessidade de garantir a sustentabilidade da construção e de conservar e reabilitar o património edificado, tornam essencial o estudo das propriedades mecânicas do material, dos seus processos de degradação química e biológica, dos meios de protecção e do comportamento de elementos estruturais ao fogo. As estruturas em madeira têm tido uma procura crescente no nosso país, revelando-se uma opção interessante, como alternativa a estruturas de aço ou de betão. No entanto, por configurarem ainda soluções estruturais, materiais e processos construtivos pouco comuns entre nós, considera-se que não estão suficientemente divulgados os instrumentos de que podemos e devemos dispor para a garantia da qualidade destas estruturas. É apresentado um estudo de viabilidade económica no âmbito do nosso país, comparando casas em madeira, modulares pré-fabricadas, com casas cuja construção é feita em alvenaria e betão armado, de forma a poder comparar os custos para ambas as soluções construtivas. Para tal, foram realizadas visitas a empresas, fábricas e a obras com o objectivo de entender como funciona o processo de fabrico de uma casa pré-fabricada em madeira.

Occupational exposure to aflatoxin (AFB1) in poultry production

Aflatoxin B1 (AFB1) has been recognized to cause cancer in the humans liver. Epidemiological and laboratory evidence also point towards the respiratory system as target for carcinogenesis. Exposure occurs mainly through food chain but inhalation represent an additional route of exposure. Agricultural workers have the greatest risk of occupational exposure due to their exposition to airborne aflatoxin through inhalation of dust.

Production of surfactants from bio-materials

Este trabalho foi desenvolvido no âmbito de um projecto europeu, BIOPRODUCTION, tendo em vista o desenvolvimento de dois tipos de biomaterias funcionais: ésteres de açúcares com ácidos gordos (SFAE) e metacrilatos funcionais. A síntese laboratorial do biosurfactante SFAE foi efectuada utilizando como matérias-primas diferentes sacáridos, nomeadamente sacarose, glucose e melaço de cana-de-açúcar (mistura de polissacáridos), e ésteres metílicos de ácidos gordos (FAME) de óleos vegetais, tais como colza e coco. Esta síntese é constituída por dois passos: acilação dos açúcares com anidrido acético, e transesterificação do açúcar acilado com FAME, utilizando triflatos de lantanídeos como catalisador. Diferentes estequiometrias foram testadas, bem como diferentes processos de modo a evitar a degradação dos açúcares. Foram efectuados testes preliminares de emulsão e calculou-se, empiricamente, o respectivo HLB. Procedeu-se à caracterização do produto através de FTIR e RMN e também à optimização iterativa do processo de síntese. A modificação, à escala laboratorial, de metacrilatos de metilo (MMA) realizou-se recorrendo à sua transesterificação com polióis convencionais. Efectuaram-se testes de reticulação do produto com diferentes catalisadores e iniciadores para posterior aplicação em revestimentos de borracha. Por fim, para ambos os produtos serão necessários estudos adicionais de caracterização, nomeadamente tensão superficial para os biosurfactantes e propriedades mecânicas para polímeros modificados com MMA.

Air contaminants in animal production: the poultry case

A descriptive study was developed in order to assess air contamination caused by fungi and particles in seven poultry units. Twenty seven air samples of 25 litters were collected through impaction method. Air sampling and particle concentration measurement were performed in the pavilions’ interior and also outside premises, since this was the place regarded as reference. Simultaneously, temperature and relative humidity were also registered. Regarding fungal load in the air from the seven poultry farms, the highest value obtained was 24040 CFU/m3 and the lowest was 320 CFU/m3. Twenty eight species/genera of fungi were identified, being Scopulariopsis brevicaulis (39.0%) the most commonly isolated species and Rhizopus sp. (30.0%) the most commonly isolated genus. From the Aspergillus genus, Aspergillus flavus (74.5%) was the most frequently detected species. There was a significant correlation (r=0.487; p=0.014) between temperature and the level of fungal contamination (CFU/m3). Considering contamination caused by particles, in this study, particles with larger dimensions (PM5.0 and PM10) have higher concentrations. There was also a significant correlation between relative humidity and concentration of smaller particles namely, PM0.5 (r=0.438; p=0.025) and PM1.0 (r=0.537; p=0.005). Characterizing typical exposure levels to these contaminants in this specific occupational setting is required to allow a more detailed risk assessment analysis and to set exposure limits to protect workers’ health.

Occupational exposure to aflatoxin (AFB1) in poultry production

Aflatoxin B1 (AFB1) has been recognized to produce cancer in human liver. In addition, epidemiological and laboratory studies demonstrated that the respiratory system was a target for AFB1. Exposure occurs predominantly through the food chain, but inhalation represents an additional route of exposure. The present study aimed to examine AFB1 exposure among poultry workers in Portugal. Blood samples were collected from a total of 31 poultry workers from six poultry farms. In addition, a control group (n = 30) was included comprised of workers who undertook administrative tasks. Measurement of AFB1 in serum was performed by enzyme-linked immunosorbent assay (ELISA). For examining fungi contamination, air samples were collected through an impaction method. Air sampling was obtained in pavilion interior and outside the premises, since this was the place regarded as the reference location. Using molecular methods, toxicogenic strains (aflatoxin-producing) were investigated within the group of species belonging to Aspergillus flavus complex. Eighteen poultry workers (59%) had detectable levels of AFB1 with values ranging from <1 ng/ml to4.23 ng/ml and with a mean value of 2 ± 0.98ng/ml. AFB1 was not detected in the serum sampled from any of the controls. Aspergillus flavus was the fungal species third most frequently found in the indoor air samples analyzed (7.2%) and was the most frequently isolated species in air samples containing only Aspergillus genus (74.5%). The presence of aflatoxigenic strains was only confirmed in outdoor air samples from one of the units, indicating the presence of a source inside the building in at least one case. Data indicate that AFB1 inhalation represents an additional risk in this occupational setting that needs to be recognized, assessed, and prevented.

Biological monitoring of aflatoxin (AFB1) in workers of swine and poultry production

Although a great body of literature exists concerning the ingestion of food contaminated with aflatoxin, there are still few studies regarding mycotoxin inhalation in occupational settings. Since mycotoxins are relatively non-volatile, inhalation exposure is cause by inhalation of airborne fungal particulates or fungi-contaminated substrates that contain aflatoxin. We intend to know if there is occupational exposure to aflatoxin in Portuguese poultry and swine production. A total of 19 individuals (11 swine; 8 poultry) agreed and provided blood samples during the course of this investigation. Measurement of AFB1 was performed by ELISA. The samples were treated with pronase (Merck), wash in a Column C18 and purification was made with immunoaffinity columns (R.biopharma), specific for AFB1. It was applied statistical test (Mann-Whitney) to verified statistical difference in AFB1 results between the two settings. Results varied with concentrations from

A new cloning system based on the OprI lipoprotein for the production of recombinant bacterial cell wall-derived immunogenic formulations

The conjugation of antigens with ligands of pattern recognition receptors (PRR) is emerging as a promising strategy for the modulation of specific immunity. Here, we describe a new Escherichia coli system for the cloning and expression of heterologous antigens in fusion with the OprI lipoprotein, a TLR ligand from the Pseudomonas aeruginosa outer membrane (OM). Analysis of the OprI expressed by this system reveals a triacylated lipid moiety mainly composed by palmitic acid residues. By offering a tight regulation of expression and allowing for antigen purification by metal affinity chromatography, the new system circumvents the major drawbacks of former versions. In addition, the anchoring of OprI to the OM of the host cell is further explored for the production of novel recombinant bacterial cell wall-derived formulations (OM fragments and OM vesicles) with distinct potential for PRR activation. As an example, the African swine fever virus ORF A104R was cloned and the recombinant antigen was obtained in the three formulations. Overall, our results validate a new system suitable for the production of immunogenic formulations that can be used for the development of experimental vaccines and for studies on the modulation of acquired immunity.

Decision support system with incomplete and domain incoherent information management

Many of the most common human functions such as temporal and non-monotonic reasoning have not yet been fully mapped in developed systems, even though some theoretical breakthroughs have already been accomplished. This is mainly due to the inherent computational complexity of the theoretical approaches. In the particular area of fault diagnosis in power systems however, some systems which tried to solve the problem, have been deployed using methodologies such as production rule based expert systems, neural networks, recognition of chronicles, fuzzy expert systems, etc. SPARSE (from the Portuguese acronym, which means expert system for incident analysis and restoration support) was one of the developed systems and, in the sequence of its development, came the need to cope with incomplete and/or incorrect information as well as the traditional problems for power systems fault diagnosis based on SCADA (supervisory control and data acquisition) information retrieval, namely real-time operation, huge amounts of information, etc. This paper presents an architecture for a decision support system, which can solve the presented problems, using a symbiosis of the event calculus and the default reasoning rule based system paradigms, insuring soft real-time operation with incomplete, incorrect or domain incoherent information handling ability. A prototype implementation of this system is already at work in the control centre of the Portuguese Transmission Network.

Study on the use of MgAl hydrotalcites as solid heterogeneous catalysts for biodiesel production

This paper, reports experimental work on the use of new heterogeneous solid basic catalysts for biodiesel production: double oxides of Mg and Al, produced by calcination, at high temperature, of MgAl lamellar structures, the hydrotalcites (HT). The most suitable catalyst system studied are hydrotalcite Mg:Al 2:1 calcinated at 507 degrees C and 700 degrees C, leading to higher values of FAME also in the second reaction stage. One of the prepared catalysts resulted in 97.1% Fatty acids methyl esters (FAME) in the 1st reaction step, 92.2% FAME in the 2nd reaction step and 34% FAME in the 3rd reaction step. The biodiesel obtained in the transesterification reaction showed composition and quality parameters within the limits specified by the European Standard EN 14214. 2.5% wt catalyst/oil and a molar ratio methanol:oil of 9:1 or 12:1 at 60 -65 degrees C and 4 h of reaction time are the best operating conditions achieved in this study. This study showed the potential of Mg/Al hydrotalcites as heterogeneous catalysts for biodiesel production. (C) 2011 Elsevier Ltd. All rights reserved.

Exposure to particles in Portuguese swine production

Several studies have shown that human exposures to airbome dust and microorganisms, such as bacteria and fungi, can cause respiratory diseases. Agricultural workers have been found to be at high risk of exposures to airborne particles. From a human health perspective dust exposure in pig farming is the most important risk because of the large number of workers needed in pig production and the increasing number of working hours inside enclosed buildings. In the pig buildings, particulate matters like dust play a role in not only deteriorating indoor air quality but also can cause an adverse health effect on workers. Generally, dust is recognized to adsorb and transport odorous compounds and biological agents. The aim of this study was to determine particles contamination in 7 swine farms located in Lisbon district, Portugal.

Fungi, MVOCs and dust exposure assessment in poultry production

Agricultural workers especially poultry farmers, are at increased risk of occupational respiratory diseases. In poultry production besides fungi microbial volatile organic compounds (MVOCs) are also present due to compounds released during fungal metabolism. Dust is also one of the risk factors present in animal housing and is comprised by poultry residues, fungi and feathers. A study was developed aiming to assess occupational exposure to fungi, MVOCs and dust in seven poultry units located in Portugal.

Detectives with pimples: how teen noir is crossing the frontiers of the traditional noir films

In the last ten years, teen noir movies and series — such as Donnie Darko (2001), Brick (2005), or Veronica Mars (2004-2007) — have become increasingly popular among audiences, both in the USA and in Europe, and aroused the curiosity of critics. These teen noir adventures present darker themes and technical features that distinguish them from numerous productions aiming at young adults. Their narrative and aesthetic characteristics reinvent and subvert the tradition of classic noir movies of the forties and fifties, thus generating a sense of novelty. In this article, I focus my attention on Veronica Mars, a famous teen noir series, created by Rob Thomas, to examine: a) the teen noir themes; b) the new profile and role of the private investigator; c) the empowerment of girls/young women; d) razor-sharp dialogues; e) intertextual references to old- school noir movies. In order to do so, resort to the research of specialists in the field of neo noir, such as Mark Conrad, Foster Hirsch, or Roz Kaveney. My main goal is to prove that a new (sub)genre is slowly emerging and revivifying teen cinema.

Cellular hypomethylation is associated with impaired nitric oxide production by cultured human endothelial cells

Hyperhomocysteinemia (HHcy) is a risk factor for vascular disease, but the underlying mechanisms remain incompletely defined. Reduced bioavailability of nitric oxide (NO) is a principal manifestation of underlying endothelial dysfunction, which is an initial event in vascular disease. Inhibition of cellular methylation reactions by S-adenosylhomocysteine (AdoHcy), which accumulates during HHcy, has been suggested to contribute to vascular dysfunction. However, thus far, the effect of intracellular AdoHcy accumulation on NO bioavailability has not yet been fully substantiated by experimental evidence. The present study was carried out to evaluate whether disturbances in cellular methylation status affect NO production by cultured human endothelial cells. Here, we show that a hypomethylating environment, induced by the accumulation of AdoHcy, impairs NO production. Consistent with this finding, we observed decreased eNOS expression and activity, but, by contrast, enhanced NOS3 transcription. Taken together, our data support the existence of regulatory post-transcriptional mechanisms modulated by cellular methylation potential leading to impaired NO production by cultured human endothelial cells. As such, our conclusions may have implications for the HHcy-mediated reductions in NO bioavailability and endothelial dysfunction.

Mental health and psychiatry research in Brazil: scientific production from 1999 to 2003

OBJECTIVE: To assess the extent of mental health scientific production in Brazil from 1999 to 2003, and to identify the nature of the publications generated, their sources of finance and the ways of publicly disseminating the research findings. METHODS: Searches for publications were conducted in the Medline and PsychInfo databases for the period 1999-2003. A semi-structured questionnaire developed by an international team was applied to 626 mental health researchers, covering each interviewee's educational background, research experience, access to funding sources, public impact and research priorities. The sample was composed by 626 mental health researchers identified from 792 publications indexed on Medline and PsychInfo databases for the period above, and from a list of reviewers of Revista Brasileira de Psiquiatria. RESULTS: In Brazil, 792 publications were produced by 525 authors between 1999 and 2003 (441 indexed in Medline and 398 in the ISI database). The main topics were: depression (29.1%), substance misuse (14.6%), psychoses (10%), childhood disorders (7%) and dementia (6.7%). Among the 626 Brazilian mental health researchers, 329 answered the questionnaire. CONCLUSIONS: There were steadily increasing numbers of Brazilian articles on mental health published in foreign journals from 1999 to 2003: the number of articles in Medline tripled and it doubled in the ISI database. The content of these articles corresponded to the priorities within mental health, but there is a need for better interlinking between researchers and mental health policymakers.