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.

Assessing interdependence among countries' fundamentals and its implications for exchange rate misalignment estimates: An empirical exercise based on GVAR

Exchange rates are important macroeconomic prices and changes in these rates a ect economic activity, prices, interest rates, and trade ows. 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 the global vector autoregressions model (GVAR) proposed by Pesaran and co-authors can add relevant information to the literature on measuring exchange rate misalignment. Our empirical exercise suggests that the estimate exchange rate misalignment obtained from GVAR can be quite di erent to that using the traditional cointegrated time series techniques, which treat countries as detached entities. The di erences between the two approaches are more pronounced for small and developing countries. Our results also suggest a strong interdependence among eurozone countries, as expected

Does absorptive capacity affect project performance? A study based on project management practices, organization learning, and knowledge

The literature has emphasized that absorptive capacity (AC) leads to performance, but in projects its influences still unclear. Additionally, the project success is not well understood by the literature, and AC can be an important mechanism to explain it. Therefore, the purpose of this study is to investigate the effect of absorptive capacity on project performance in the construction industry of São Paulo State. We study this influence through potential and realized absorptive capacity proposed by Zahra and George (2002). For achieving this goal, we use a combination of qualitative and quantitative research. The qualitative research is based on 15 interviews with project managers in different sectors to understand the main constructs and support the next quantitative phase. The content analysis was the technique used to analyze those interviews. In quantitative phase through a survey questionnaire, we collected 157 responses in the construction sector with project managers. The confirmatory factor analysis and hierarchical linear regression were the techniques used to assess the data. Our findings suggest that the realized absorptive capacity has a positive influence on performance, but potential absorptive capacity and the interactions effect have no influence on performance. Moreover, the planning and monitoring have a positive impact on budget and schedule, and customer satisfaction while risk coping capacity has a positive impact on business success. In academics terms, this research enables a better understanding of the importance of absorptive capacity in the construction industry and it confirms that knowledge application in processes and routines enhances performance. For management, the absorptive capacity enables the improvements of internal capabilities reflected in the increased project management efficiency. Indeed, when a company manages project practices efficiently it enhances business and project performance; however, it needs initially to improve its internal abilities to enrich processes and routines through relevant knowledge.

JML- Based formal development of a Java card application for managing medical appointments

Although formal methods can dramatically increase the quality of software systems, they have not widely been adopted in software industry. Many software companies have the perception that formal methods are not cost-effective cause they are plenty of mathematical symbols that are difficult for non-experts to assimilate. The Java Modelling Language (short for JML) Section 3.3 is an academic initiative towards the development of a common formal specification language for Java programs, and the implementation of tools to check program correctness. This master thesis work shows how JML based formal methods can be used to formally develop a privacy sensitive Java application. This is a smart card application for managing medical appointments. The application is named HealthCard. We follow the software development strategy introduced by João Pestana, presented in Section 3.4. Our work influenced the development of this strategy by providing hands-on insight on challenges related to development of a privacy sensitive application in Java. Pestana’s strategy is based on a three-step evolution strategy of software specifications, from informal ones, through semiformal ones, to JML formal specifications. We further prove that this strategy can be automated by implementing a tool that generates JML formal specifications from a welldefined subset of informal software specifications. Hence, our work proves that JML-based formal methods techniques are cost-effective, and that they can be made popular in software industry. Although formal methods are not popular in many software development companies, we endeavour to integrate formal methods to general software practices. We hope our work can contribute to a better acceptance of mathematical based formalisms and tools used by software engineers. The structure of this document is as follows. In Section 2, we describe the preliminaries of this thesis work. We make an introduction to the application for managing medical applications we have implemented. We also describe the technologies used in the development of the application. This section further illustrates the Java Card Remote Method Invocation communication model used in the medical application for the client and server applications. Section 3 introduces software correctness, including the design by contract and the concept of contract in JML. Section 4 presents the design structure of the application. Section 5 shows the implementation of the HealthCard. Section 6 describes how the HealthCard is verified and validated using JML formal methods tools. Section 7 includes some metrics of the HealthCard implementation and specification. Section 8 presents a short example of how a client-side of a smart card application can be implemented while respecting formal specifications. Section 9 describes a prototype tools to generate JML formal specifications from informal specifications automatically. Section 10 describes some challenges and main ideas came acrorss during the development of the HealthCard. The full formal specification and implementation of the HealthCard smart card application presented in this document can be reached at https://sourceforge.net/projects/healthcard/.

New metallomolecular wires based on carbon-rich bridging systems: a systematic study

This dissertation presents and discusses the preparation of molecular wires (MW) candidates that would then be probed for electron transfer properties. These wires are bridged by 1,4-diethynylbenzene derivatives with alkoxy side chains with palladium and ruthenium metal complex termini. Characterization of these compounds was performed by usual spectroscopic techniques like 1H, 13C{1H} and 31P{1H} NMR, MS, FTIR and UV-Vis as well as by cyclic voltammetry which allowed classifying the candidates in the Robin–Day system and determination of bridges side chain and length effects on electronic transport. Preparation of the 1,4-diethynylbenzene derivatives was done with synthetic pathways that relied heavily in palladium catalyzed cross-couplings (Sonogashira). A family of single ringed 1,4-diethynylbenzene ligands with different length alkoxy side chains (OCH3, OC2H5, OC7H15) was thus prepared allowing for the influence of these ring decorations to be assessed. The ruthenium binuclear rods showed communication between metal centres only when the shorter ligands were used whereas the longer Ru complexes showed only one redox pair in CV studies which is in agreement to non-communicating metal centres. Cyclic voltammetry studies show irreversible one wave processes for palladium dinuclear complexes, making these rods function as molecular insulators. Fluorescence decay studies performed on the prepared compounds (ligands and complexes) show a pattern of decreasing decay times upon coordination to the metal centres which can due to ligand charge redistribution upon coordination leading to non-radiative relaxation paths. Regarding the X-ray structures, two new ligand related structures were obtained as well as new structure for a palladium rod. The effect of the side chains was observed to be important to the wires’ electronic properties when comparing with the analogues without a side chain. The effect brought by longer chains is nevertheless almost negligible.

Classification of Boal, Malvazia, Sercial and Verdelho wines based on terpenoid patterns

Thirty-six Madeira wine samples from Boal, Malvazia, Sercial and Verdelho white grape varieties were analyzed in order to estimate the free fraction of monoterpenols and C13 norisoprenoids (terpenoid compounds) using dynamic headspace solid phase micro-extraction (HS-SPME) technique coupled with gas chromatography–mass spectrometry (GC–MS). The average values from three vintages (1998–2000) show that these wines have characteristic profiles of terpenoid compounds. Malvazia wines exhibits the highest values of total free monoterpenols, contrary to Verdelho wines which had the lowest levels of terpenoids but produced the highest concentration of farnesol. The use of multivariate analysis techniques allows establishing relations between the compounds and the varieties under investigation. Principal component analysis (PCA) and linear discriminant analysis (LDA) were applied to the obtained matrix data. A good separation and classification power between the four groups as a function of their varietal origin was observed.

Effectiveness of high-throughput miniaturized sorbent- and solid phase microextraction techniques combined with gas chromatography–mass spectrometry analysis for a rapid screening of volatile and semi-volatile composition of wines: a comparative study

In this study the feasibility of different extraction procedures was evaluated in order to test their potential for the extraction of the volatile (VOCs) and semi-volatile constituents (SVOCs) from wines. In this sense, and before they could be analysed by gas chromatography–quadrupole first stage masss spectrometry (GC–qMS), three different high-throughput miniaturized (ad)sorptive extraction techniques, based on solid phase extraction (SPE), microextraction by packed sorbents (MEPS) and solid phase microextraction (SPME), were studied for the first time together, for the extraction step. To achieve the most complete volatile and semi-volatile signature, distinct SPE (LiChrolut EN, Poropak Q, Styrene-Divinylbenzene and Amberlite XAD-2) and MEPS (C2, C8, C18, Silica and M1 (mixed C8-SCX)) sorbent materials, and different SPME fibre coatings (PA, PDMS, PEG, DVB/CAR/PDMS, PDMS/DVB, and CAR/PDMS), were tested and compared. All the extraction techniques were followed by GC–qMS analysis, which allowed the identification of up to 103 VOCs and SVOCs, distributed by distinct chemical families: higher alcohols, esters, fatty acids, carbonyl compounds and furan compounds. Mass spectra, standard compounds and retention index were used for identification purposes. SPE technique, using LiChrolut EN as sorbent (SPELiChrolut EN), was the most efficient method allowing for the identification of 78 VOCs and SVOCs, 63 and 19 more than MEPS and SPME techniques, respectively. In MEPS technique the best results in terms of number of extractable/identified compounds and total peak areas of volatile and semi-volatile fraction, were obtained by using C8 resin whereas DVB/CAR/PDMS was revealed the most efficient SPME coating to extract VOCs and SVOCs from Bual wine. Diethyl malate (18.8 ± 3.2%) was the main component found in wine SPELiChrolut EN extracts followed by ethyl succinate (13.5 ± 5.3%), 3-methyl-1-butanol (13.2 ± 1.7%), and 2-phenylethanol (11.2 ± 9.9%), while in SPMEDVB/CAR/PDMS technique 3-methyl-1-butanol (43.3 ± 0.6%) followed by diethyl succinate (18.9 ± 1.6%), and 2-furfural (10.4 ± 0.4%), are the major compounds. The major VOCs and SVOCs isolated by MEPSC8 were 3-methyl-1-butanol (26.8 ± 0.6%, from wine total volatile fraction), diethyl succinate (24.9 ± 0.8%), and diethyl malate (16.3 ± 0.9%). Regardless of the extraction technique, the highest extraction efficiency corresponds to esters and higher alcohols and the lowest to fatty acids. Despite some drawbacks associated with the SPE procedure such as the use of organic solvents, the time-consuming and tedious sampling procedure, it was observed that SPELiChrolut EN, revealed to be the most effective technique allowing the extraction of a higher number of compounds (78) rather than the other extraction techniques studied.

Low generation triazine-based dendrimers-synthesis, characterzation and in vitro biological activity

In the present study, two low generation triazine-based dendrimers, G1.0(Cl)4 dendrimer and G1.5(OH)8 dendrimer, were synthesized and their cytotoxicity were tested by using the NIH 3T3 and the A2780 cell lines. In the synthesis process of the G1.0(Cl)4 dendrimer, cyanuric chloride (CAC) which has high reactivity chlorine atom was connected to the terminal of triethylene glycol (TEG) via nucleophilic substitution by controlling temperature. The prepared G1.0(Cl)4 dendrimer was purified by silica gel column chromatography. Then the four chlorine atoms in the G1.0(Cl)4 dendrimer were substituted by diethanolamine (DEA) to give dendrimer with the hydroxyl terminal group G1.5(OH)8. The starting materials, CAC, G1.0(Cl)4 dendrimer and G1.5(OH)8 dendrimer were analyzed by one-dimensional NMR, FTIR and MS techniques. The two dendrimers, G1.0(Cl)4 and G1.5(OH)8, showed perfect stability in the air environment at room temperature. However, G1.0(Cl)4 is not soluble in water while the G1.5(OH)8 dendrimer is a water soluble compound. Furthermore, cell biological evaluation at the studied concentrations showed that the CAC, as well as the prepared G1.0(Cl)4 and G1.5(OH)8 dendrimers, have no cytotoxicity towards the NIH 3T3 and A2780 cell lines.

Digestibility and metabolizable energy of maize gluten feed for dogs as measured by two different techniques

Maize gluten feed (MGF) is a co-product of wet milling of maize, and is composed of structures that remain after most starch, gluten and germ has been extracted from the grain. Although currently used in dog foods, its digestibility and energy values have not been documented. Two techniques were used to determine nutrient digestibility of MGF for dog foods. Both techniques used extruded diets fed to Beagle dogs, with six replicates per diet. The first study used a difference method in which 300 g/kg of a reference diet was replaced by MGF. Based on the difference method, the coefficient of total tract apparent digestibility (CTTAD) of MGF was 0.53 for dry matter (DM), 0.69 for crude protein (CP), 0.74 for fat, 0.99 for starch, and 0.55 for gross energy (GE). The calculated metabolizable energy (ME) of MGF was 7.99 MJ/kg (as-fed). The second study used a regression method and included a basal diet and a basal diet with 70, 140 and 210 g MGF/kg of diet (as a substitute for maize starch). Maize gluten feed inclusion resulted in a linear reduction of CTTAD of DM (R(2)=0.99; P<0.001), CP (R(2)=0.95; P=0.002), fat (R(2)=0.87; P=0.009). starch (R(2)=0.81; P<0.001), and GE (R(2)=0.99; P<0.001). Faecal production increased linearly from 56 g to 107 g/dog/d (R(2)=0.99; P<0.001), with a linear reduction of faecal DM (R(2)=0.99: P<0.001) and a linear increase in faecal lactic acid concentration (P<0.02). Both urine (R(2)=0.77; P=0.029) and faeces (R(2)=0.92: P=0.019) showed a linear reduction in pH. Results of ingredient MAD obtained by the regression and difference methods were close (6% or less of variation) for CP, fat, and starch, and also for ME content (1.4% higher for the difference method), but the two methods disagreed on calculated CTTAD of DM and organic matter. The high dietary fiber content of MGF (382 g/kg) may explain the low digestibility of this ingredient. Maize gluten feed could be a useful ingredient for formulations designed to have low energy or reduce the urine pH of dogs. (C) 2011 Elsevier B.V. All rights reserved.

Fertility Rates Following Fixed-Time Artificial Insemination in Dairy Heifers in a Practical Progesterone-Based Protocol

Background: In bovines, more efficient management practices are important for maximizing profitability. In order to increase the pregnancy rates in artificial insemination (AI) programs, several hormonal protocols were developed to synchronize the follicular wave and the moment of ovulation in beef and dairy cattle. In dairy cattle, detection of estrus can be difficult due to a number of factors including the incidence of silent estrus. Hormonal treatments designed to control both luteal and follicular function has permitting efficient synchronizations of time of ovulation. Thus, the AI can be performed in a large number of animals on a fixed schedule without the need for detection of estrus. Using these management techniques, the fixed-time artificial insemination (TAI) can overcome the problem of accurate estrus detection and help in reducing the incidence of repeat breeding. In addition, with TAI in cattle operations, it is possible to facilitate management practices and commercialization, and to reduce the time and semen wasting with animals inseminated at incorrect times. The investigation of practical and efficient TAI protocols is important for reducing the labor and animal handling of TAI in dairy cattle, as well as for increasing the profitability of the cattle management system. This study was carried out in order to investigate the effectiveness of TAI in dairy heifers treated with a practical progesterone-based protocol.Materials, Methods & Results: This experiment was conducted at the university farm located in southwestern Brazil, during May 2009. Thirty-nine cycling crossbred dairy heifers were employed in this study. All animals received a single intramuscular injection of estradiol benzoate and intravaginal progesterone releasing device in a random stage of the estrous cycle (Day 0). on day 7 the animals were treated with PGF2a analogue and on day 9 the device was removed. Forty-eight hours after the device removal (day 11) a synthetic analogue of GnRH was administered and the animals were fixed-time artificially inseminated at the time of GnRH injection. The inseminations were performed using four different batches from the same Holstein bull. Among the heifers that were synchronized (87.2%), 30.8% ovulated until 24 h after TAI and 56.4% ovulated between 24 and 32 h after TAI. The conception rate was 61.5%. No effects of ovulation time in conception rates were detected. The conception rate from heifers that ovulated until 24 h after TAI was 58.3% and from heifers that ovulated between 24 and 32 h after TAI was 77.3%. The mean of ovulatory follicle in heifers that ovulated until 24 h was 14.3 mm and in heifers that ovulated between 24 and 32 h was 11.9 mm.Discussion: Taking together, the findings of the present study, along with those of others, emphasize the concept that development of practical methods for TAI offers significant advantages to dairy producers if conception rates are close or greater to those obtained after breeding at detected estrus. Thus, the results of the present study reinforce the possibility of making dairy cattle production more cost-effective using TAI. In conclusion, with the progesterone-based TAI protocol of the present experiment all synchronized animals ovulated up to 32 h after GnRH+TAI and no effects of ovulation time related to conception rate was detected. The exogenous control of luteal and follicular development facilitated the reproductive management and animal handling. Also, inseminating the heifers at the moment of GnRH injection in a progesterone-based TAI protocol is a practical strategy and provided satisfactory results regarding ovulation and conception rates in dairy heifers.

Sistema de gestão ambiental sob a perspectiva da resource-based view: um estudo de caso no verdegreen Hotel - João Pessoa/PB

The pressure for a new pattern of sustainable development began to require of modern organizations the conciliation between competitiveness and a environmental protection. In this sense, a tool that acts in the implementation of structured strategies is the Environmental Management System (EMS), which focuses on improving environmental performance. This improvement, in turn, can generate to the organizations many benefits , among which, obtaining competitive advantages, susceptible of measurement from different perspectives. One of these is the application of VRIO model, reasoned by the Resource-Based View (RBV), which considers that differences between companies occurs due to differences between its internal resources and capabilities. However, although was been found some studies in the literature that evaluate the competitive potential of certain organizations , such assessments are not performed on specific objects, like the SEM s. Thus, the aim of this study was to evaluate the resources and capabilities (environmental strategies) adopted by the SGA of the Verdegreen Hotel, identifying which of these have the potential to generate competitive advantage. For this, this exploratory-descriptive character study and delineated as field research and case study was used as data collection tools: a literature survey, semi-structured interviews, document research and participant observation. The interpretation of results and consolidation of information were conducted from a qualitative approach, using two techniques of data analysis, namely: content analysis and analysis through VRIO model. The results show that the hotel is quite structured in relation to their EMS, as well as reaching related to improving the management of environmental factors, strengthening the image and gains in competitiveness benefits. On the other hand, the main difficulties for the implementation of the system are related to employees and suppliers. With regard to environmental strategies adopted, of the 25 strategies identified, 10 showed the potential to generate competitive advantage

Study of the interaction between cardiolipin bilayers and methylene blue in polymer-based Layer-by-Layer and Langmuir films applied as membrane mimetic systems

An increase of the reports involving mimetic systems has been observed. Briefly, these systems use biological phospholipids to exploit specific interactions between membrane-models and drugs. Here, the Layer-by-Layer (LbL) and Langmuir techniques were used to investigate the interaction between cardiolipin (CLP-negative phospholipid) and a cationic-like drug methylene blue (MB). Supported by a cationic polyelectrolyte (PAH), LbL films containing PAH/(CLP + MB) and PAH/(CLP + MB + AgNP) were grown up to 14 bilayers. The optical microscopy analysis revealed a decrease of the CLP vesicle sizes in the presence of MB as a possible consequence of the MB action onto the mechanical properties of the CLP membrane. From FTIR spectra, changes mainly related to peak position and band intensity and shape were observed in the spectra from PAH/CLP when in the presence of MB. The latter supports that the interactions between the phosphate and amine charged groups from CLP and PAH, respectively, established during the LbL film fabrication, besides the CLP hydrocarbon environment, are influenced by the presence of MB. Using the micro-Raman technique, a chemical mapping was build based on MB spectrum by resonance Raman scattering (RRS) and surface-enhanced resonance Raman scattering (SERRS). The later phenomenon was activated by Ag nanoparticles (AgNPs) trapped within the LbL film allowing collecting spectra for a single bilayer of PAH/(CLP + MB + AgNP). A rough estimation showed a SERRS amplification of 10(3) in comparison to RRS spectra. As a complementary approach, Langmuir films of CLP in the presence of co-spread MB were investigated through surface pressure vs mean molecular area (pi-A) isotherms. The results showed that for concentrations of MB below 100 mol%, the drug is expelled to water subphase for high values of surface pressure (condensed phase). For concentration at 100% and higher, the MB keeps bound to CLP floating monolayer. (C) 2010 Elsevier B.V. All rights reserved.

Spray layer-by-layer films based on phospholipid vesicles aiming sensing application via e-tongue system

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

A New Approach for Nontechnical Losses Detection Based on Optimum-Path Forest

Nowadays, fraud detection is important to avoid nontechnical energy losses. Various electric companies around the world have been faced with such losses, mainly from industrial and commercial consumers. This problem has traditionally been dealt with using artificial intelligence techniques, although their use can result in difficulties such as a high computational burden in the training phase and problems with parameter optimization. A recently-developed pattern recognition technique called optimum-path forest (OPF), however, has been shown to be superior to state-of-the-art artificial intelligence techniques. In this paper, we proposed to use OPF for nontechnical losses detection, as well as to apply its learning and pruning algorithms to this purpose. Comparisons against neural networks and other techniques demonstrated the robustness of the OPF with respect to commercial losses automatic identification.

Neural network based estimation of torque in induction motors for real-time applications

Induction motors are largely used in several industry sectors. The selection of an induction motor has still been inaccurate because in most of the cases the load behavior in its shaft is completely unknown. The proposal of this article is to use artificial neural networks for torque estimation with the purpose of best selecting the induction motors rather than conventional methods, which use classical identification techniques and mechanical load modeling. Since proposed approach estimates the torque behavior from the transient to the steady state, one of its main contributions is the potential to also be implemented in control schemes for real-time applications. Simulation results are also presented to validate the proposed approach.