Reality check for volatility models

Asset allocation decisions and value at risk calculations rely strongly on volatility estimates. Volatility measures such as rolling window, EWMA, GARCH and stochastic volatility are used in practice. GARCH and EWMA type models that incorporate the dynamic structure of volatility and are capable of forecasting future behavior of risk should perform better than constant, rolling window volatility models. For the same asset the model that is the ‘best’ according to some criterion can change from period to period. We use the reality check test∗ to verify if one model out-performs others over a class of re-sampled time-series data. The test is based on re-sampling the data using stationary bootstrapping. For each re-sample we check the ‘best’ model according to two criteria and analyze the distribution of the performance statistics. We compare constant volatility, EWMA and GARCH models using a quadratic utility function and a risk management measurement as comparison criteria. No model consistently out-performs the benchmark.

Factors affecting the technical efficiency of production of the Brazilian banking system : a comparison of four statistical models in the context of data envelopment analysis

This paper uses an output oriented Data Envelopment Analysis (DEA) measure of technical efficiency to assess the technical efficiencies of the Brazilian banking system. Four approaches to estimation are compared in order to assess the significance of factors affecting inefficiency. These are nonparametric Analysis of Covariance, maximum likelihood using a family of exponential distributions, maximum likelihood using a family of truncated normal distributions, and the normal Tobit model. The sole focus of the paper is on a combined measure of output and the data analyzed refers to the year 2001. The factors of interest in the analysis and likely to affect efficiency are bank nature (multiple and commercial), bank type (credit, business, bursary and retail), bank size (large, medium, small and micro), bank control (private and public), bank origin (domestic and foreign), and non-performing loans. The latter is a measure of bank risk. All quantitative variables, including non-performing loans, are measured on a per employee basis. The best fits to the data are provided by the exponential family and the nonparametric Analysis of Covariance. The significance of a factor however varies according to the model fit although it can be said that there is some agreements between the best models. A highly significant association in all models fitted is observed only for nonperforming loans. The nonparametric Analysis of Covariance is more consistent with the inefficiency median responses observed for the qualitative factors. The findings of the analysis reinforce the significant association of the level of bank inefficiency, measured by DEA residuals, with the risk of bank failure.

Stochastic discount factor bounds and rare events: a review

We aim to provide a review of the stochastic discount factor bounds usually applied to diagnose asset pricing models. In particular, we mainly discuss the bounds used to analyze the disaster model of Barro (2006). Our attention is focused in this disaster model since the stochastic discount factor bounds that are applied to study the performance of disaster models usually consider the approach of Barro (2006). We first present the entropy bounds that provide a diagnosis of the analyzed disaster model which are the methods of Almeida and Garcia (2012, 2016); Ghosh et al. (2016). Then, we discuss how their results according to the disaster model are related to each other and also present the findings of other methodologies that are similar to these bounds but provide different evidence about the performance of the framework developed by Barro (2006).

Stochastic simulation of time-series models combined with geostatistics to predict water-table scenarios in a Guarani Aquifer System outcrop area, Brazil

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

Effect of steeping conditions (sulfur dioxide, lactic acid, and temperature) on starch yield, starch quality, and germ quality from the Intermittent Milling and Dynamic Steeping process (IMDS) for a Brazilian corn hybrid

Effect of lactic acid, SO2, temperature, and their interactions were assessed on the dynamic steeping of a Brazilian dent corn (hybrid XL 606) to determine the ideal relationship among these variables to improve the wet-milling process for starch and corn by-products production. A 2x2x3 factorial experimental design was used with SO2 levels of 0.05 and 0.1% (w/v), lactic acid levels of 0 and 0.5% (v/v), and temperatures of 52, 60, and 68degreesC. Starch yield was used as deciding factor to choose the best treatment. Lactic acid added in the steep solution improved the starch yield by an average of 5.6 percentage points. SO2 was more available to break down the structural protein network at 0.1% than at the 0.05% level. Starch-gluten separation was difficult at 68degreesC. The lactic acid and SO2 concentrations and steeping temperatures for better starch recovery were 0.5, 0.1, and 52degreesC, respectively. The Intermittent Milling and Dynamic Steeping (IMDS) process produced, on average, 1.4% more starch than the conventional 36- hr steeping process. Protein in starch, oil content in germ, and germ damage were used as quality factors. Total steep time can be reduced from 36 hr for conventional wet-milling to 8 hr for the IMDS process.

Association of an insulin-like growth factor 1 gene microsatellite with phenotypic variation and estimated breeding values of growth traits in Canchim cattle

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Short-term temporal changes of bare soil CO2 fluxes after tillage described by first-order decay models

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

The Yang-Lee edge singularity in spin models on connected and non-connected rings

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Stability analysis of power systems described with detailed models by automatic method

The power system stability analysis is approached taking into explicit account the dynamic performance of generators internal voltages and control devices. The proposed method is not a direct method in the usual sense since conclusion for stability or instability is not exclusively based on energy function considerations but it is automatic since the conclusion is achieved without an analyst intervention. The stability test accounts for the nonconservative nature of the system with control devices such as the automatic voltage regulator (AVR) and automatic generation control (AGC) in contrast with the well-known direct methods. An energy function is derived for the system with machines forth-order model, AVR and AGC and it is used to start the analysis procedure and to point out criticalities. The conclusive analysis itself is made by means of a method based on the definition of a region surrounding the equilibrium point where the system net torque is equilibrium restorative. This region is named positive synchronization region (PSR). Since the definition of the PSR boundaries have no dependence on modelling approximation, the PSR test conduces to reliable results. (C) 2008 Elsevier Ltd. All rights reserved.

On the dynamic behaviour of the "click" mechanism in dipteran flight

In this paper, the dynamic behaviour of the "click" mechanism is analysed. A more accurate model is used than in the past, in which the limits of movement due to the geometry of the flight mechanism are imposed. Moreover, the effects of different damping models are investigated. In previous work, the damping model was assumed to be of the linear viscous type for simplicity, but it is likely that the damping due to drag forces is nonlinear. Accordingly, a model of damping in which the damping force is proportional to the square of the velocity is used, and the results are compared with the simpler model of linear viscous damping. Because of the complexity of the model an analytical approach is not possible so the problem has been cast in terms of non-dimensional variables and solved numerically. The peak kinetic energy of the wing root per energy input in one cycle is chosen to study the effectiveness of the "click" mechanism compared with a linear resonant mechanism. It is shown that, the "click" mechanism has distinct advantages when it is driven below its resonant frequency. When the damping is quadratic, there are some further advantages compared to when the damping is linear and viscous, provided that the amplitude of the excitation force is large enough to avoid the erratic behaviour of the mechanism that occurs for small forces. (C) 2011 Elsevier Ltd. All rights reserved.

Plasma concentrations and placental immunostaining of interleukin-10 and tumor necrosis factor-alpha as predictors of alterations in the embryo-fetal organism and the placental development of diabetic rats

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

Signaling pathways associated with the expression of inflammatory mediators activated during the course of two models of experimental periodontitis

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

Effect of green Coffea arabica L. seed oil on extracellular matrix components and water-channel expression in in vitro and ex vivo human skin models

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

Alcohol dehydrogenase 3 genotype as a risk factor for upper aerodigestive tract cancers

Objective: To assess alcohol dehydrogenase 3 (ADH3) polymorphism at position Ile349Val as indicator of risk factor for upper aerodigestive tract (UADT) cancer to verify its association with UADT cancer in nonalcoholic or nonsmoking individuals.Design: Cross-sectional study.Setting: Primary care or referral center.Patients: the study group consisted of 141 consecutive patients with newly diagnosed squamous cell carcinoma of the oral cavity, oropharynx, hypopharynx, or larynx admitted for surgical treatment. The comparison group consisted of 94 inpatients without cancer from the A. C. Camargo or other São Paulo (Brazil) hospital and 40 healthy individuals.Intervention: All participants were interviewed and data were collected using a structured questionnaire. After written informed consent was obtained, 20 mL of blood was collected in heparinized tubes.Main Outcome Measures: Odds ratio for ADH3 genotypes using logistic regression models.Results: After adjustment for sex, age, tobacco use, and history of cancer in first-degree family relatives, a significantly higher odds ratio for UADT cancer was observed among individuals with AA genotype and low cumulative alcohol consumption (:5 100 kg of ethanol) (odds ratio=3.8 [95% confidence interval, 1.5-9.7]). A 4-fold increase in odds ratio for UADT cancer among individuals with AA genotype and low tobacco consumption (:525 pack-years) was also found in the adjusted model.Conclusions: These results suggest that genotype AA may be a risk factor for UADT cancer, especially in individuals with low alcohol or tobacco consumption. However, further epidemiological case-control or cohort studies, preferably prospective, are needed to establish the exact role of ADH3 polymorphism and its association with the development of UADT cancers.

Molecular models of NS3 protease variants of the Hepatitis C virus

Background: Hepatitis C virus (HCV) currently infects approximately three percent of the world population. In view of the lack of vaccines against HCV, there is an urgent need for an efficient treatment of the disease by an effective antiviral drug. Rational drug design has not been the primary way for discovering major therapeutics. Nevertheless, there are reports of success in the development of inhibitor using a structure-based approach. One of the possible targets for drug development against HCV is the NS3 protease variants. Based on the three-dimensional structure of these variants we expect to identify new NS3 protease inhibitors. In order to speed up the modeling process all NS3 protease variant models were generated in a Beowulf cluster. The potential of the structural bioinformatics for development of new antiviral drugs is discussed.Results: the atomic coordinates of crystallographic structure 1CU1 and 1DY9 were used as starting model for modeling of the NS3 protease variant structures. The NS3 protease variant structures are composed of six subdomains, which occur in sequence along the polypeptide chain. The protease domain exhibits the dual beta-barrel fold that is common among members of the chymotrypsin serine protease family. The helicase domain contains two structurally related beta-alpha-beta subdomains and a third subdomain of seven helices and three short beta strands. The latter domain is usually referred to as the helicase alpha-helical subdomain. The rmsd value of bond lengths and bond angles, the average G-factor and Verify 3D values are presented for NS3 protease variant structures.Conclusions: This project increases the certainty that homology modeling is an useful tool in structural biology and that it can be very valuable in annotating genome sequence information and contributing to structural and functional genomics from virus. The structural models will be used to guide future efforts in the structure-based drug design of a new generation of NS3 protease variants inhibitors. All models in the database are publicly accessible via our interactive website, providing us with large amount of structural models for use in protein-ligand docking analysis.