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).

The US actuarial balance model for the pay-as-you-go system and its application to Spain

The aim of this paper is to formulate an approximation of the US actuarial balance model and apply it to the Spanish public retirement pension system under various scenarios in order to determine a consistent indicator of the system's financial state comparable to those used by the most advanced social security systems. This will enable us to answer the question as to whether there is any justification for reforming the pension system in Spain. This type of actuarial balance uses projections to show future challenges to the financial side of the pension system deriving basically from ageing, the projected increase in longevity and fluctuations in economic activity. If one is compiled periodically it can provide various indicators to help depoliticize the management of the pay-as-you-go system by bringing the planning horizons of politicians and the system itself closer together.

A model to forecast financial failure, in non financial galician SMES

We are concerned with providing more empirical evidence on forecast failure, developing forecast models, and examining the impact of events such as audit reports. A joint consideration of classic financial ratios and relevant external indicators leads us to build a basic prediction model focused in non-financial Galician SMEs. Explanatory variables are relevant financial indicators from the viewpoint of the financial logic and financial failure theory. The paper explores three mathematical models: discriminant analysis, Logit, and linear multivariate regression. We conclude that, even though they both offer high explanatory and predictive abilities, Logit and MDA models should be used and interpreted jointly.

The importance of the program for the promotion of physical activity in perceived fatigue in people with multiple sclerosis

The aims of the study is to examine for intervention program of physical activity in the perception of fatigue, in patients with multiple sclerosis.

Implication of an intervention program for the promotion of physical activity in the quality of life of people with multiple sclerosis

The aims of this study is to examine the interest for quality of life of an implementation of program physical activity, with patients of multiple sclerosis.

A Game of learning: a b-activity

Th The purpose of this article is to share the implementation of workgroup activities: a game of learning supported by web technology; Effective educational strategies that encourage a dynamic combination of being flexible, individualized and personalized must be the aim of every school; The blended-learning plays an important role; In this article we describe an online collaborative game which uses an inside and outside collaboration in order to promote the motivation and effective learning; Pedagogical strategies, that use technologies appropriately, in higher education, can promote active learning, centered on students and thus valuing their personal experiences and participation;

Do economic and financial firm's situation affect the quality if financial reports?

We investigate whether firms’ economic and financial situation influence the Quality of their Financial Reports (FRQ). FRQ is fundamental for investors and it affects the international capital movements [Bradshaw et al. (2004)] and Gelos and Wei (2005)]. Following Schipper and Vicent (2003) we use two issues to access earnings quality: abnormal accruals and earnings persistence. For seventeen European countries, we find evidence that the economic performance affects FRQ. Big firms and those with high current earnings exhibit better financial information. These results are robust since they don’t depend on FRQ proxy and we have the same evidence when we estimate regression with economical and financial factors separately or together. About financial situation, it seems not to affect FRQ. However, in high leveraged firms, the capital structure becomes determinant.

The effect of financial reports’ auality on Ffrm’s rerformance

We analyse whether the quality of firms’ Financial Reports (FRQ) produces any effect on their performance. Bradshaw et al. (2004) and Gelos and Wei (2005) call attention to the fact that the international capital movements is affected by FRQ. Following Schipper and Vicent (2003) we use the abnormal accruals to access earnings quality. For seventeen European countries, we found evidence that FRQ produces a positive impact on firm’s performance. This finding indicates that mangers are not opportunists and tends to make decisions to defend the firm’s best interests. This result is robust since it does not depend on the accounting firms’ performance proxy (ROA/ROE). In addition, it is also consistent when we use data in time series and in cross-sectional and when we estimate regression with lagged or the current year information about abnormal accruals.

Intra-population plasticity of Anopheles darlingi's (Diptera, Culicidae) biting activity patterns in the state of Amapá, Brazil

OBJECTIVE: To assess the variation in Anopheles darlingi's biting activity compared to An. marajoara in the same locality and to biting activity data from other regions. METHODS: Using human bait, eight observations of the biting activity of An. darlingi and An. marajoara were carried out during 1999 and 2000 in the municipality of São Raimundo do Pirativa, state of Amapá, Brazil. Each observation consisted of three consecutive 13-hour collections, close to full moon. There were shifts of collectors in the observation points and nocturnal periods. RESULTS: An. darlingi revealed considerable plasticity of biting activity in contrast to An. marajoara, which showed well-defined crepuscular biting peaks. No significant correlation between density and biting activity was found, but a significant correlation existed between time and proportional crepuscular activity, indicating underlying ecological processes not yet understood. Two of the four available data sets having multiple observations at one locality showed considerable plasticity of this species' biting patterns as well. CONCLUSION: Intra-population variation of biting activity can be as significant as inter-population variation. Some implications in malaria vector control and specific studies are also discussed.

Antioxidant activity and cytotoxicity of solubilized C60 and its conjugates with butylated hydroxytoluene

It has been described that fullerenes (C60) present interesting properties with potential application in clinical conditions related to oxidative stress. One of the most prominent features of fullerenes is the ability to quench free radicals. However, because of its poor solubility, this has been studied mostly in organic solutions, while the antioxidant activity and cytotoxicity of fullerenes and their derivates in aqueous medium is not well characterized. The antioxidant capacity of synthesised C60-conjugates has been investigated and its was higher comparing to C60 isolated. The aim of this study was to assess the viability of C60-conjugates by determining its antioxidant activity and cytotoxicity in bio-relevant media.

Bioconversion of D-glucose into D-glucosone by Glucose 2-oxidase from Coriolus versicolor at Moderate Pressures

Glucose 2-oxidase (pyranose oxidase, pyranose: oxygen-2-oxidoreductase, EC 1.1.3.10) from Coriolus versicolor catalyses the oxidation of D-glucose at carbon 2 in the presence of molecular O(2) producing D-glucosone (2-keto-glucose and D-arabino-2-hexosulose) and H(2)O(2). It was used to convert D-glucose into D-glucosone at moderate pressures (i.e. up to 150 bar) with compressed air in a modified commercial batch reactor. Several parameters affecting biocatalysis at moderate pressures were investigated as follows: pressure, [enzyme], [glucose], pH, temperature, nature of fluid and the presence of catalase. Glucose 2-oxidase was purified by immobilized metal affinity chromatography on epoxy-activated Sepharose 6B-IDA-Cu(II) column at pH 6.0. The rate of bioconversion of D-glucose increased with the pressure since an increase in the pressure with compressed air resulted in higher rates of conversion. On the other hand, the presence of catalase increased the rate of reaction which strongly suggests that H(2)O(2) acted as inhibitor for this reaction. The rate of bioconversion of D-glucose by glucose 2-oxidase in the presence of either nitrogen or supercritical CO(2) at 110 bar was very low compared with the use of compressed air at the same pressure. The optimum temperature (55 degrees C) and pH (5.0) of D-glucose bioconversion as well as kinetic parameters for this enzyme were determined under moderate pressure. The activation energy (E(a)) was 32.08 kJmol(-1) and kinetic parameters (V(max), K(m), K(cat) and K(cat)/K(m)) for this bioconversion were 8.8 Umg(-1) protein, 2.95 mM, 30.81 s(-1) and 10,444.06 s(-1)M(-1), respectively. The biomass of C. versicolor as well as the cell-free extract containing glucose 2-oxidase activity were also useful for bioconversion of D-glucose at moderate pressures. The enzyme was apparently stable at moderate pressures since such pressures did not affect significantly the enzyme activity.

Bioconversion of D-glucose into D-glucosone by immobilized glucose 2-oxidase from Coriolus versicolorat moderate pressures

The immobilized glucose 2-oxidase (pyranose oxidase, pyranose:oxygen-2-oxidoreductase, EC 1.1.3.10) from Coriolus versicolor was used to convert D-glucose into D-glucosone at moderate pressures, up to 150 bar, with compressed air in a modified commercial batch reactor. Several parameters affecting biocatalysis at moderate pressures were investigated as follows: pressure, different forms of immobilized biocatalysts, glucose concentration, pH, temperature and the presence of catalase. Glucose 2-oxidase (GOX2) was purified by immobilized metal affinity chromatography on epoxy-activated Sepharose 6B-IDA-Cu(II) column at pH 6.0. Purified enzyme and catalase were immobilized into a polyethersulfone (PES) membrane in the presence of glutaraldehyde and gelatin. Enhancement of the bioconversion of D-glucose was done by the pressure since an increase in the pressure with compressed air increases the conversion rates. The optimum temperature and pH for bioconversion of D-glucose were found to be 62 degrees C and pH 6.0, respectively and the activation energy (E(a)) was 28.01 kJ mol(-1). The apparent kinetic constants (V(max)' K(m)', K(cat)' and K(cat)/K(m)') for this bioconversion were 2.27 U mg(-1) protein, 11.15 mM, 8.33 s(-1) and 747.38 s(-1) M(-1), respectively. The immobilized biomass of C. versicolor as well as crude extract containing GOX2 activity were also useful for bioconversion of D-glucose at 65 bar with a yield of 69.9 +/- 3.8% and 91.3 +/- 1.2%, respectively. The immobilized enzyme was apparently stable for several months without any significant loss of enzyme activity. On the other hand, this immobilized enzyme was also stable at moderate pressures, since such pressures did not affect significantly the enzyme activity. (C) 2010 Elsevier Ltd. All rights reserved.

Complexes of copper(II) with 3-(ortho-substituted phenylhydrazo)pentane-2,4-diones: syntheses,properties and catalytic activity for cyclohexane oxidation

Reactions of copper(II) with 3-phenylhydrazopentane-2,4-diones X-2-C6H4-NHN = C{C(= O)CH3}(2) bearing a substituent in the ortho-position [X = OH (H2L1) 1, AsO3H2 (H3L2) 2, Cl (HL3) 3, SO3H (H2L4) 4, COOCH3 (HL5) 5, COOH (H2L6) 6, NO2 (HL7) 7 or H (HL8) 8] lead to a variety of complexes including the monomeric [CuL4(H2O)(2)]center dot H2O 10, [CuL4(H2O)(2)] 11 and [Cu(HL4)(2)(H2O)(4)] 12, the dimeric [Cu-2(H2O)(2)(mu-HL2)(2)] 9 and the polymeric [Cu(mu-L-6)](n)] 13 ones, often bearing two fused six-membered metallacycles. Complexes 10-12 can interconvert, depending on pH and temperature, whereas the Cu(II) reactions with 4 in the presence of cyanoguanidine or imidazole (im) afford the monomeric compound [Cu(H2O)(4){NCNC(NH2)(2)}(2)](HL4)(2)center dot 6H(2)O 14 and the heteroligand polymer [Cu(mu-L-4)(im)](n) 15, respectively. The compounds were characterized by single crystal X-ray diffraction (complexes), electrochemical and thermogravimetric studies, as well as elemental analysis, IR, H-1 and C-13 NMR spectroscopies (diones) and ESI-MS. The effects of the substituents in 1-8 on the HOMO-LUMO gap and the relative stability of the model compounds [Cu(OH)(L-8)(H2O)]center dot H2O, [Cu(L-1)(H2O)(2)]center dot H2O and [Cu(L-4)(H2O)(2)]center dot H2O are discussed on the basis of DFT calculations that show the stabilization follows the order: two fused 6-membered > two fused 6-membered/5-membered > one 6-membered metallacycles. Complexes 9, 10, 12 and 13 act as catalyst precursors for the peroxidative oxidation (with H2O2) of cyclohexane to cyclohexanol and cyclohexanone, in MeCN/H2O (total yields of ca. 20% with TONs up to 566), under mild conditions.

As empresas municipais: um contributo para a caraterização da sua posição financeira

Dissertação de Mestrado em Finanças Empresariais

Activos fixos tangíveis numa empresa industrial do ramo automóvel transição para o SNC

Dissertação para a obtenção do grau de mestre em Contabilidade e Finanças Orientador: Mestre António Costa Reis