Nonparametric tail risk, macroeconomics and stock returns: predictability and risk premia

This paper proposes a new novel to calculate tail risks incorporating risk-neutral information without dependence on options data. Proceeding via a non parametric approach we derive a stochastic discount factor that correctly price a chosen panel of stocks returns. With the assumption that states probabilities are homogeneous we back out the risk neutral distribution and calculate five primitive tail risk measures, all extracted from this risk neutral probability. The final measure is than set as the first principal component of the preliminary measures. Using six Fama-French size and book to market portfolios to calculate our tail risk, we find that it has significant predictive power when forecasting market returns one month ahead, aggregate U.S. consumption and GDP one quarter ahead and also macroeconomic activity indexes. Conditional Fama-Macbeth two-pass cross-sectional regressions reveal that our factor present a positive risk premium when controlling for traditional factors.

Optimal two-sided tests for instrumental variables regression with heteroskedastic and autocorrelated errors

This paper considers two-sided tests for the parameter of an endogenous variable in an instrumental variable (IV) model with heteroskedastic and autocorrelated errors. We develop the nite-sample theory of weighted-average power (WAP) tests with normal errors and a known long-run variance. We introduce two weights which are invariant to orthogonal transformations of the instruments; e.g., changing the order in which the instruments appear. While tests using the MM1 weight can be severely biased, optimal tests based on the MM2 weight are naturally two-sided when errors are homoskedastic. We propose two boundary conditions that yield two-sided tests whether errors are homoskedastic or not. The locally unbiased (LU) condition is related to the power around the null hypothesis and is a weaker requirement than unbiasedness. The strongly unbiased (SU) condition is more restrictive than LU, but the associated WAP tests are easier to implement. Several tests are SU in nite samples or asymptotically, including tests robust to weak IV (such as the Anderson-Rubin, score, conditional quasi-likelihood ratio, and I. Andrews' (2015) PI-CLC tests) and two-sided tests which are optimal when the sample size is large and instruments are strong. We refer to the WAP-SU tests based on our weights as MM1-SU and MM2-SU tests. Dropping the restrictive assumptions of normality and known variance, the theory is shown to remain valid at the cost of asymptotic approximations. The MM2-SU test is optimal under the strong IV asymptotics, and outperforms other existing tests under the weak IV asymptotics.

Invariant tests in an instrumental variables model with unknown data generating process

In this work we focus on tests for the parameter of an endogenous variable in a weakly identi ed instrumental variable regressionmodel. We propose a new unbiasedness restriction for weighted average power (WAP) tests introduced by Moreira and Moreira (2013). This new boundary condition is motivated by the score e ciency under strong identi cation. It allows reducing computational costs of WAP tests by replacing the strongly unbiased condition. This latter restriction imposes, under the null hypothesis, the test to be uncorrelated to a given statistic with dimension given by the number of instruments. The new proposed boundary condition only imposes the test to be uncorrelated to a linear combination of the statistic. WAP tests under both restrictions to perform similarly numerically. We apply the di erent tests discussed to an empirical example. Using data from Yogo (2004), we assess the e ect of weak instruments on the estimation of the elasticity of inter-temporal substitution of a CCAPM model.

Análise do comportamento das expectativas de inflação no Brasil sob uma regra de aprendizado

Os estudos sobre as expectativas de inflação no Brasil rejeitam a hipótese de racionalidade. Essa rejeição se dá por meio de testes estatísticos que identificam a existência de um viés sistemático quando comparamos a expectativa de inflação e a inflação realizada. Atualizamos alguns destes testes com o tamanho de amostra disponível atualmente. No presente trabalho, realizamos um experimento de Monte Carlo que simula o comportamento da inflação e da sua expectativa em um modelo DSGE. Esse modelo inclui uma regra monetária sujeita a choques transitórios e permanentes (que representam uma mudança de regime). A partir das séries simuladas com esses modelos, realizamos testes estatísticos para verificar se os resultados são semelhantes aos observados na prática. O exercício de simulação realizado não foi capaz de gerar séries com essas mesmas características, não trazendo evidência que esse mecanismo de aprendizado possa explicar o viés encontrado nas expectativas de inflação.

Análise da sobre-reação e sub-reação nos ativos de primeira e segunda lina do mercado acionário brasileiro

The Behavioral Finance develop as it is perceived anomalies in these markets efficient. This fields of study can be grouped into three major groups: heuristic bias, tying the shape and inefficient markets. The present study focuses on issues concerning the heuristics of representativeness and anchoring. This study aimed to identify the then under-reaction and over-reaction, as well as the existence of symmetry in the active first and second line of the Brazilian stock market. For this, it will be use the Fuzzy Logic and the indicators that classify groups studied from the Discriminant Analysis. The highest present, indicator in the period studied, was the Liabilities / Equity, demonstrating the importance of the moment to discriminate the assets to be considered "winners" and "losers." Note that in the MLCX biases over-reaction is concentrated in the period of financial crisis, and in the remaining periods of statistically significant biases, are obtained by sub-reactions. The latter would be in times of moderate levels of uncertainty. In the Small Caps the behavioral responses in 2005 and 2007 occur in reverse to those observed in the Mid-Large Cap. Now in times of crisis would have a marked conservatism while near the end of trading on the Bovespa speaker, accompanied by an increase of negotiations, there is an overreaction by investors. The other heuristics in SMLL occurred at the end of the period studied, this being a under-reaction and the other a over-reaction and the second occurring in a period of financial-economic more positive than the first. As regards the under / over-reactivity in both types, there is detected a predominance of either, which probably be different in the context in MLCX without crisis. For the period in which such phenomena occur in a statistically significant to note that, in most cases, such phenomena occur during the periods for MLCX while in SMLL not only biases are less present as there is no concentration of these at any time . Given the above, it is believed that while detecting the presence of bias behavior at certain times, these do not tend to appear to a specific type or heuristics and while there were some indications of a seasonal pattern in Mid- Large Caps, the same behavior does not seem to be repeated in Small Caps. The tests would then suggest that momentary failures in the Efficient Market Hypothesis when tested in semistrong form as stated by Behavioral Finance. This result confirms the theory by stating that not only rationality, but also human irrationality, is limited because it would act rationally in many circumstances

Minimizing inter-genotypic competition effects to predict genetic values and selection in forestry genetic tests

The effect of competition is an important source of variation in breeding experiments. This study aimed to compare the selection of plants of open-pollinated families of Eucalyptus with and without the use of competition covariables. Genetic values were determined for each family and tree and for the traits height, diameter at breast height and timber volume in a randomized block design, resulting in the variance components, genetic parameters, selection gains, effective size and selection coincidence, with and without the use of covariables. Intergenotypic competition is an important factor of environmental variation. The use of competition covariables generally reduces the estimates of variance components and influences genetic gains in the studied traits. Intergenotypic competition biases the selection of open-pollinated eucalypt progenies, and can result in an erroneous choice of superior genotypes; the inclusion of covariables in the model reduces this influence.

The intravenous glucose tolerance and postprandial glucose tests may present different responses in the evaluation of obese dogs

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

Carga de trabalho de enfermagem e infecções relacionadas à assistência à saúde na unidade de terapia intensiva

In recent decades, the search for quality care has been widely discussed by the institutions and health professionals. In this context, it is the nurse coordinator of the process of providing nursing staff, reflecting the commitment to quality of care. In this process, it is the appearance of Infections Related to health care and its potential association with the workload in nursing as a valuable indicator of quality of care. Thus, this research contributes to studies to characterize the demand of nursing work to promote a safe healthcare practice. This study aimed to identify the association of nursing workload with the number of cases of Ventilator-Associated Pneumonia, urinary tract infection and central venous catheter infection in the intensive care unit. This is a quantitative research approach, descriptive, cross-sectional and prospective, held at Unimed Hospital in Natal-RN. The study population consisted of all patients treated in the Intensive Care Unit, Hospital for a period of 90 consecutive days in 2011. The convenience sample was compostapelos patients admitted to the ICU during the period of data collection, a total sample of 286 patients. To perform the data analysis software were used: Statistica 6.0, SPPS (Statistical Package for Social Sciences) version 17.0 (2004) and Excel 2007. In the descriptive analysis, we used Measures of Central Tendency and Measures of Dispersion or Variability and the use of nonparametric tests. Of the 286 patients, 88 were from the ICU and 198 ICU II II. Males predominated in the ICU I (51.1%) and female ICU II (57.6%) patients in the ICU I were aged 61-80 years (39.8%) followed by greater than 80 years (39.8%). In the ICU II, most of the patients were aged 61-80 years (38.9%) and then from 41 to 60 years (24.2%). In relation to the class of TISS inlet predominant class II in the two ICUs (59.1%), followed by Class III also in the two units (34.6%). Most patients (70.6%) out of the ICUs belonging to class II TISS. In the ICU I, the average number of forms of the TISS 28 was 6, has in ICU II this value drops to 3.2 forms. The overall mean was 19.9 TISS points in ICU patients I and ICU II.the 17 points in the average hours required to provide adequate nursing care to patients in the ICU I found that is 10 , 7 hours, and the ICU II 9.2 hours. It was found that the time provided by the nursing staff were higher in ICU II, with an average of 19 hours available for nurses in this sector. In the ICU I, which showed higher need of available hours, it was found that the mean value of 12.7 available hours. It was found that only 2.4% of patients had these units Ventilator-Associated Pneumonia, 1.0% were infected central venous catheter and 1.4% of patients had urinary tract infection. Infection associated with health care occurs, on average, on the tenth day of hospitalization. In the ICU II, this average value extends to the twelfth day with an excess of 2.7 hours of nursing care while in ICU I value decays to the ninth day of hospitalization with a deficiency of 12-hour assistance. It is concluded that patients generally showed a need for classification of semi-intensive care and has been assisted in their need to load. As for his association with the Related Infections Health will assist this analysis could not be performed due to the small number of notifications in this period. It is suggested further study how other factors related to infections me a longer period of analysis

Integridade tissular de pacientes com úlceras venosas: um estudo baseado na Classificação dos Resultados de Enfermagem

The venous ulcer is an epidemiological problem of high prevalence, causing disability and dependence. Assess the tissue impairment level of patients with venous lesions, within a nursing referential, is relevant for the implementation of a directed assistance to specific clientele. Thus, this work aims to characterize the health status regarding the integrity the lower limbs skin of patients with venous ulcers, according to the of tissue integrity outcome indicators from the Nursing Outcomes Classification. A cross-sectional study conducted in a university hospital in Natal - Rio Grande do Norte. The sample consisted of 50 participants, selected through consecutive sampling. Data collection occurred through a interview and physical examination form and a operational definitions tool for indicators of the nursing Tissue Integrity outcome directed to patients with venous ulcer, applied from February to June 2012. Data analysis was done by descriptive statistics and nonparametric tests (Spearman, Kruskal-Wallis and Mann-Whitney tests). The project was approved by the Research Ethics Committee with protocol 608/11 and Presentation Certificate to Ethical Consideration No. 0038.0.294.000-11. The results were presented using three scientific articles derivatives of research. It was found that the indicators show moderate impairment, light and not impaired, as the median. The respondents had an average of 59.72 years, 66% female, 50% were retired, 60% with a partner, 44% had arterial hypertension, 26% allergies, 20% diabetes mellitus, 96% were sedentary, 14% drank alcohol and 6% were smokers. There was a statistically significant correlation of low intensity between age and hydration (p=0.032; rs=-0.304) and skin desquamation (p=0.026; rs=-0.316), family income and necrosis (p=0.012; rs=-0.353); Ankle Brachial Index and tissue perfusion (p=0,044; rs=-0,329); Diabetes Mellitus and texture (p=0.015) and tissue perfusion (p=0.026); allergy and texture (p=0.034), physical activity and hydration (p=0.034), smoking and thickness (p=0.018), and alcohol consumption and exudate (p=0.045). We conclude that the patients had light to moderate impairment, indicating a good state of health on the integrity of the skin of the lower limbs, according to the indicators of the outcome of tissue integrity Classification Nursing Outcomes valued in the present study. It is believed that the evaluation of impairment tissue using a self-nursing system and its relation with socioeconomic, clinical and risk factors are unique tools in the care planning and in the wound healing

CHARACTERIZATION of RALSTONIA SOLANACEARUM STRAINS FROM BRAZIL USING MOLECULAR METHODS and PATHOGENICITY TESTS

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Didática do plurilinguismo: efeitos da intercompreensão de línguas românicas na compreensão de textos escritos em português

This exploratory study aims to present some readings as Doyé (2003), Carrasco Perea (2003), Melo Araújo e Sá (2004), Chavagne (2009) and Alas-Martins (2010; 2011) which helped to confirm some ways for showing that a plurilingual environment can enable a trend in improving the understanding of written texts in the mother tongue, and can collaborate on a better perception of the world around a person with all their different nuances. The study describes the methodology and some results of our doctoral research that resulted in the insertion of the experimental discipline called Intercomprehension of Romanic Languages (ILR) in the curriculum in the city of Natal / RN / Brazil, and it was justified because of high functional illiteracy degree among young people up to 15 years old according to the educational data from IBGE research on 2010. The results were verified through an experimental action-research which was characterized by Lewin (1946); Nunan (1992); Thiollent (1994) and Trip (2005) in two schools: Professoara Terezinha Paulino de Lima (municipal school) and Professora Ana Julia de Carvalho Mousinho (State of Rio Grande do Norte), with 95 students from the final years of primary education. The corpus of this research was subjected to a series of condensed techniques like the nonparametric test from Kruskal and Wallis (1952) and the parametric test ANOVA as an effort to provide statistical significance to the analysis of the results indicated in the book of ILR activities. The research presented some skill views about reading comprehension of written texts according to perspective of Ringbow (1987), Giacobbe (1990), Alarcão (1991; 2009a and 2009b), Corder (1992), Castellotti (2001) and Degache (2003), and the possibilities of transfer these skills for learning Portuguese as pointed out by Meissner, Klein and Stegmann (2004); it indicates a positive trend towards the understanding of LM according to analyzing the scores of written tests and texts by participants in solving tasks

A duplicated nitrotienyl derivative with antimycobacterial activity: synthesis, X-ray crystallography, biological and mutagenic activity tests

A duplicated nitrotienyl derivative was obtained as a by-product from the synthesis of a proposed molecular hybrid of a nitrotienyl derivative and isoniazid with an expected dual antimycobacteria mechanism. The structure was shown to be the 5,5'-dinitro-2(2,3-diaza-4-(2'-tienyl)buta-1,3-dienyl)tiophene by X-ray crystallography. The minimal inhibitory concentration (MIC) determination of this compound proved to be promising against Mycobacterium pathogenic strains such as M. avium and M. kansasei, although it had a high level of mutagenicity, as observed in mutagenic activity tests. (c) 2006 Elsevier Masson SAS. All rights reserved.

Mathematical tests about the existence and applications of PPS-wavelets in function approximation problems

Neural networks and wavelet transform have been recently seen as attractive tools for developing eficient solutions for many real world problems in function approximation. Function approximation is a very important task in environments where computation has to be based on extracting information from data samples in real world processes. So, mathematical model is a very important tool to guarantee the development of the neural network area. In this article we will introduce one series of mathematical demonstrations that guarantee the wavelets properties for the PPS functions. As application, we will show the use of PPS-wavelets in pattern recognition problems of handwritten digit through function approximation techniques.

Avaliação in vitro da adesão e proliferação de células mesenquimais do ligamento periodontal humano em diferentes superfícies de titânio

In the last years, many scientific researches in implantology have been focused on alternatives that would provide higher speed and quality in the process of osseointegration. Different treatment methods can be used to modify the topographic and chemical properties of titanium surface in order to optimize the tissue-implant reactions by a positive tissue response. This study aimed to evaluate the adhesion and proliferation of mesenchymal cells from human periodontal ligament on two different titanium surfaces, using cell culture techniques. Grade II titanium discs received different surface treatments, forming two distinct groups: polished and cathodic cage plasma nitriding. Human periodontal ligament mesenchymal cells were cultured on titanium discs in 24-well cell culture plates, at a density of 2 x 104 cells per well, including wells with no discs as positive control. Data obtained by counting the cells that adhered to the titanium surfaces (polished group and cathodic cage group) and to the plastic surface (control group), in the 24, 48 and 72-hour periods after plating, were used to analyze cell adhesion and proliferation and to obtain the cell growing curve in the different groups. The data were submitted to nonparametric analysis and the differences between groups were compared by Kruskal-Wallis and Friedman statistical tests. No statistically significant differences were found in the cells counts between the groups (p>0.05). It was concluded that both treatments produced surfaces compatible with the adhesion and proliferation of human periodontal ligament mesenchymal cells

Interpretation of Resistivity Piezocone Tests in a Contaminated Municipal Solid Waste Disposal Site

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