915 resultados para Bivariate BEKK-GARCH


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Aims: Obesity and Type 2 diabetes are associated with accelerated ageing. The underlying mechanisms behind this, however, are poorly understood. In this study, we investigated the association between circulating irisin - a novel my okine involved in energy regulation - and telomere length (TL) (a marker of aging) in healthy individuals and individuals with Type 2 diabetes. Methods: Eighty-two healthy people and 67 subjects with Type 2 diabetes were recruited to this cross-sectional study. Anthropometric measurements including body composition measured by biompedance were recorded. Plasma irisin was measured by ELISA on a fasted blood sample. Relative TL was determined using real-time PCR. Associations between anthropometric measures and irisin and TL were explored using Pearson’s bivariate correlations. Multiple regression was used to explore all the significant predictors of TL using backward elimination. Results: In healthy individuals chronological age was a strong negative predictor of TL (=0.552, p < 0.001). Multiple regression analysis using backward elimination (excluding age) revealed the greater relative TL could be predicted by greater total muscle mass(b = 0.046, p = 0.001), less visceral fat (b = =0.183, p < 0.001)and higher plasma irisin levels (b = 0.01, p = 0.027). There were no significant associations between chronological age, plasmairisin, anthropometric measures and TL in patients with Type 2diabetes (p > 0.1). Conclusion: These data support the view that body composition and plasma irisin may have a role in modulation of energy balance and the aging process in healthy individuals. This relationship is altered in individuals with Type 2 diabetes.

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In this paper, we focus on the design of bivariate EDAs for discrete optimization problems and propose a new approach named HSMIEC. While the current EDAs require much time in the statistical learning process as the relationships among the variables are too complicated, we employ the Selfish gene theory (SG) in this approach, as well as a Mutual Information and Entropy based Cluster (MIEC) model is also set to optimize the probability distribution of the virtual population. This model uses a hybrid sampling method by considering both the clustering accuracy and clustering diversity and an incremental learning and resample scheme is also set to optimize the parameters of the correlations of the variables. Compared with several benchmark problems, our experimental results demonstrate that HSMIEC often performs better than some other EDAs, such as BMDA, COMIT, MIMIC and ECGA. © 2009 Elsevier B.V. All rights reserved.

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A forint árfolyamának stabilitása az előző évtized folyamán elsősorban a deviza pozícóval rendelkező vállalatokat ösztönözte kockázati pozícióik fedezésére. A 2008. őszi forintgyengülés hatására a forinterősödés ellen fedezeti termékekkel védekező vállalatok pozícióin hatalmas veszteségek keletkeztek, amelyek sok esetben a vállalat teljes eredményét negatívra változtatták. Bár az árfolyam-elmozdulás – a termék jellegétől függetlenül – az euró rövid pozíciókra negatívan hatott, a figyelem középpontjába leginkább az összetett devizaügyleteken realizált veszteségek kerültek. A cikk a strukturált devizaügyletek kockázatát modellezi historikus szimuláció és GARCH-modell segítségével egy válság előtt megkötött konkrét struktúra példáján. Arra keressük a választ, hogy ezek a módszerek mennyire voltak képesek előre jelezni a terméken ténylegesen realizált veszteségeket, vagyis mennyire volt indokolt döntés az ügyletkötés.

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Considerable funds have been allocated in the area of juvenile justice in attempts to reduce and prevent the problem of juvenile delinquency. Much of these funds have been funneled to various community-level intervention programs. This dissertation reports the results of a study that examined the effects of one such program, the Juvenile Intervention Facility (JIF) in Broward County, Florida, on reducing the number of cases handled judicially by the Juvenile Court in that county. ^ Juvenile justice policy, which precipitated the creation of the JIF program, assumed that more structured and integrative efforts at the point of entry into the juvenile justice system would lead to greater diversion from the courts to much needed intervention services. By virtue of this process, the number of juveniles handled judicially by the courts was expected to decrease and future delinquent behavior would be prevented. Archival data from four fiscal years were examined, two years pre-JIF, two years post-JIF, a third-year follow-up, and a concurrent outcome measure corresponding to the first year of JIF operations. Data included all juvenile cases referred during the fiscal years defined for Broward and St. Lucie Counties, the state of Florida, and the United States. The study tested four hypotheses: (a) the JIF would reduce the number of cases handled judicially in Broward County Juvenile Court, (b) the decrease in judicially handled cases would be greater for females than for males, (c) there would be greater decreases in judicially handled cases for whites than non-whites, (d) there would be greater decreases in judicial handling for younger than older offenders. Bivariate analyses were conducted, consisting of chi square tests, to test the hypotheses. ^ Results indicate that the impact of the JIF was in the opposite direction of what was expected in that more juvenile offenders were handled judicially through juvenile court. This fact points to the possibility that the JIF has failed to provide the intended consequences of the policy. In the discussion, these “unintended” consequences are addressed in the context of juvenile justice policy creation and the competing constituencies involved in such policy development. ^

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There is a commonly presumed link among sexual risk behavior, substance use, and other psychosocial factors among adolescents. However, these relationships have been relatively understudied in detained, low-income, minority, substance abusing adolescents. This study addresses this gap in the literature with a secondary data analysis based on a sample of adolescent offenders in two detention and treatment centers in Miami-Dade County. Univariate, bivariate statistical analysis and multivariate logistic regressions were conducted on baseline data from structured interviews with 455 adolescents participating in an NIH funded prevention intervention. Data were analyzed to assess relationships among self-reported substance use, STD history, HIV/AIDS knowledge, condom use, condom use attitudes, and skills, peer and parental approval to use condoms, and race/ethnicity. The adolescent sample was 74.1% male, and 25.9% female and 35.4% African American, 25.1% non-African American Latino, 11.2% White, and 28.4% of other race/ethnicity categories. The mean age was 15.6 years. Results suggested that alcohol use (p < 0.001) and use of marijuana, cocaine and other drugs (p < 0.001) are significant variables when explaining the variability in sexual risk behaviors. Results also suggested that unprotected vaginal, anal, and oral sex increased with higher alcohol and drug use (p < 0.001) and that positive attitudes about personally using condoms (p < 0.001) were also significantly related to condom use. Logistic regressions showed that race/ethnicity was a significant control variable when explaining the variability of condom use. Being White and Latino were significantly associated with less condom use during oral and anal sex when compared to other racial/ethnic groups. These results indicated that risky sexual behavior and HIV infection risk are significantly associated with substance use, particularly alcohol use. Therefore, proper screening and identification of alcohol use, and condom use attitudes could maximize the efficacy of referrals to programs targeting both issues and increase the potential for appropriate primary and secondary prevention and treatment among adolescent detainees.

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The objective of this study was to investigate the relationship of organizational culture and organizational climate on participant perceptions of collaborative capacity for planning, within the context of the Florida School Readiness Coalitions (FSRCs). Three hypotheses were proposed for study: First, that organizational culture would be correlated to organizational climate; second, that organizational culture would be correlated to collaborative capacity for planning; and the third that organizational climate would be correlated to collaborative capacity for planning. ^ A cross-sectional survey research design was used to obtain data from participants in 25 Florida School Readiness Coalitions. Pearson product-moment correlations were used to examine the association between the dependent variable, collaborative capacity for planning, and the independent variables, organizational culture and climate. Bivariate analyses revealed a significant level of association for five culture indicators to collaborative capacity for planning: motivation, interpersonal, service, supportive and individualistic indicators, and four climate indicators: cooperation, job satisfaction, organizational commitment, and role clarity. Findings suggest (a) a constructive culture and positive climate were present within the FSRCs during the period of study and (b) participants perceived that the collaborative capacity for planning existed. Hierarchical multiple regression, controlling for effects of participant demographics, were used to examine the degree to which organizational culture and climate predict collaborative capacity. The culture indicators, supportive and individualistic, and the climate indicator job satisfaction accounted for 46% of the variance in collaborative capacity for planning. No other indicators of the independent variables demonstrated significance. The findings suggests that (a) culture and climate should be studied together, (b) culture and climate are two constructs that may provide knowledge about the way community groups work together, and (c) the collaborative capacity of groups planning services such as the FSRCs may benefit through consideration of how culture and climate affect service planners' relationships, communication, and ability to achieve a mission or goal. Culture and climate may offer social workers new information about internal factors affecting the collaborative process. Further investigation of these constructs with other types of groups is warranted. ^

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Exchange rate economics has achieved substantial development in the past few decades. Despite extensive research, a large number of unresolved problems remain in the exchange rate debate. This dissertation studied three puzzling issues aiming to improve our understanding of exchange rate behavior. Chapter Two used advanced econometric techniques to model and forecast exchange rate dynamics. Chapter Three and Chapter Four studied issues related to exchange rates using the theory of New Open Economy Macroeconomics. ^ Chapter Two empirically examined the short-run forecastability of nominal exchange rates. It analyzed important empirical regularities in daily exchange rates. Through a series of hypothesis tests, a best-fitting fractionally integrated GARCH model with skewed student-t error distribution was identified. The forecasting performance of the model was compared with that of a random walk model. Results supported the contention that nominal exchange rates seem to be unpredictable over the short run in the sense that the best-fitting model cannot beat the random walk model in forecasting exchange rate movements. ^ Chapter Three assessed the ability of dynamic general-equilibrium sticky-price monetary models to generate volatile foreign exchange risk premia. It developed a tractable two-country model where agents face a cash-in-advance constraint and set prices to the local market; the exogenous money supply process exhibits time-varying volatility. The model yielded approximate closed form solutions for risk premia and real exchange rates. Numerical results provided quantitative evidence that volatile risk premia can endogenously arise in a new open economy macroeconomic model. Thus, the model had potential to rationalize the Uncovered Interest Parity Puzzle. ^ Chapter Four sought to resolve the consumption-real exchange rate anomaly, which refers to the inability of most international macro models to generate negative cross-correlations between real exchange rates and relative consumption across two countries as observed in the data. While maintaining the assumption of complete asset markets, this chapter introduced endogenously segmented asset markets into a dynamic sticky-price monetary model. Simulation results showed that such a model could replicate the stylized fact that real exchange rates tend to move in an opposite direction with respect to relative consumption. ^

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Prior research has established that idiosyncratic volatility of the securities prices exhibits a positive trend. This trend and other factors have made the merits of investment diversification and portfolio construction more compelling. ^ A new optimization technique, a greedy algorithm, is proposed to optimize the weights of assets in a portfolio. The main benefits of using this algorithm are to: (a) increase the efficiency of the portfolio optimization process, (b) implement large-scale optimizations, and (c) improve the resulting optimal weights. In addition, the technique utilizes a novel approach in the construction of a time-varying covariance matrix. This involves the application of a modified integrated dynamic conditional correlation GARCH (IDCC - GARCH) model to account for the dynamics of the conditional covariance matrices that are employed. ^ The stochastic aspects of the expected return of the securities are integrated into the technique through Monte Carlo simulations. Instead of representing the expected returns as deterministic values, they are assigned simulated values based on their historical measures. The time-series of the securities are fitted into a probability distribution that matches the time-series characteristics using the Anderson-Darling goodness-of-fit criterion. Simulated and actual data sets are used to further generalize the results. Employing the S&P500 securities as the base, 2000 simulated data sets are created using Monte Carlo simulation. In addition, the Russell 1000 securities are used to generate 50 sample data sets. ^ The results indicate an increase in risk-return performance. Choosing the Value-at-Risk (VaR) as the criterion and the Crystal Ball portfolio optimizer, a commercial product currently available on the market, as the comparison for benchmarking, the new greedy technique clearly outperforms others using a sample of the S&P500 and the Russell 1000 securities. The resulting improvements in performance are consistent among five securities selection methods (maximum, minimum, random, absolute minimum, and absolute maximum) and three covariance structures (unconditional, orthogonal GARCH, and integrated dynamic conditional GARCH). ^

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This study examined peer relationships and psychosocial functioning as a function of maternal and paternal involvement and nurturance along with the moderating effects of gender, family form, and ethnicity. Prior research has shown the influence of mother’s involvement on peer relationship quality but not of fathers. Further, previous studies did not examine moderation by family form, gender, or ethnicity. The sample consisted of 1359 students who identified their biological mother and father as the most influential parental figures in their lives. Their ages ranged from 18 to 26; Sixty-one percent of the sample was Hispanic, 13% non-Hispanic Black, 25% non-Hispanic White; 76% female and 70% from intact families. The analytical strategy included using bivariate correlations and structural equation modeling to examine these relationships. ^ All dimensions of maternal and paternal nurturing and involvement were positively related to positive characteristics of peer relationships, self-esteem and life satisfaction consistent with the multicultural findings of PARTheory (Rohner, Khalique, & Cournoyer, 2005). A structural model was developed that was able to adequately account for the relationship between parental influence, peer relationships, and psychosocial functioning. These effects of both maternal and paternal influence were strongly moderated by culture, family form, and gender. Finally, a differential effect was found among parental influence with fathers having a greater influence on friendship quality and importance than mothers, despite greater maternal involvement. ^ These findings have theoretical, clinical, and social implications as they call for a socially based theoretical perspective within which to study these relationships. Such a perspective would better inform clinicians when using impaired social functioning as indicative of axial diagnosis, and for the implementation of social policy to encourage paternal involvement. ^

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My dissertation investigates the financial linkages and transmission of economic shocks between the US and the smallest emerging markets (frontier markets). The first chapter sets up an empirical model that examines the impact of US market returns and conditional volatility on the returns and conditional volatilities of twenty-one frontier markets. The model is estimated via maximum likelihood; utilizes the GARCH model of errors, and is applied to daily country data from the MSCI Barra. We find limited, but statistically significant exposure of Frontier markets to shocks from the US. Our results suggest that it is not the lagged US market returns that have impact; rather it is the expected US market returns that influence frontier market returns The second chapter sets up an empirical time-varying parameter (TVP) model to explore the time-variation in the impact of mean US returns on mean Frontier market returns. The model utilizes the Kalman filter algorithm as well as the GARCH model of errors and is applied to daily country data from the MSCI Barra. The TVP model detects statistically significant time-variation in the impact of US returns and low, but statistically and quantitatively important impact of US market conditional volatility. The third chapter studies the risk-return relationship in twenty Frontier country stock markets by setting up an international version of the intertemporal capital asset pricing model. The systematic risk in this model comes from covariance of Frontier market stock index returns with world returns. Both the systematic risk and risk premium are time-varying in our model. We also incorporate own country variances as additional determinants of Frontier country returns. Our results suggest statistically significant impact of both world and own country risk in explaining Frontier country returns. Time-variation in the world risk premium is also found to be statistically significant for most Frontier market returns. However, own country risk is found to be quantitatively more important.

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This dissertation is a collection of three economics essays on different aspects of carbon emission trading markets. The first essay analyzes the dynamic optimal emission control strategies of two nations. With a potential to become the largest buyer under the Kyoto Protocol, the US is assumed to be a monopsony, whereas with a large number of tradable permits on hand Russia is assumed to be a monopoly. Optimal costs of emission control programs are estimated for both the countries under four different market scenarios: non-cooperative no trade, US monopsony, Russia monopoly, and cooperative trading. The US monopsony scenario is found to be the most Pareto cost efficient. The Pareto efficient outcome, however, would require the US to make side payments to Russia, which will even out the differences in the cost savings from cooperative behavior. The second essay analyzes the price dynamics of the Chicago Climate Exchange (CCX), a voluntary emissions trading market. By examining the volatility in market returns using AR-GARCH and Markov switching models, the study associates the market price fluctuations with two different political regimes of the US government. Further, the study also identifies a high volatility in the returns few months before the market collapse. Three possible regulatory and market-based forces are identified as probable causes of market volatility and its ultimate collapse. Organizers of other voluntary markets in the US and worldwide may closely watch for these regime switching forces in order to overcome emission market crashes. The third essay compares excess skewness and kurtosis in carbon prices between CCX and EU ETS (European Union Emission Trading Scheme) Phase I and II markets, by examining the tail behavior when market expectations exceed the threshold level. Dynamic extreme value theory is used to find out the mean price exceedence of the threshold levels and estimate the risk loss. The calculated risk measures suggest that CCX and EU ETS Phase I are extremely immature markets for a risk investor, whereas EU ETS Phase II is a more stable market that could develop as a mature carbon market in future years.

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Malaria is a threat to United States military personnel operating in endemic areas, from which there have been hundreds of cases reported over the past decade. Each of these cases might have been avoided with proper adherence to malaria chemoprophylaxis medications. Military operations may detract from the strict 100% adherence required of these preventive medications. However, the reasons for non-adherence in military populations are not well understood. This behavior was investigated using a cross sectional study design on a convenience sample of U.S. Army Ranger volunteers (n=150) located at three military instillations. Theoretical support was based on components of the Health Belief Model, the Theory of Reasoned Action/Theory of Planned Behavior, and the Social Cognitive Theory. ^ Data on knowledge, attitudes, and practices, as well as multiple environmental domains was collected using an original yet unvalidated questionnaire. The data was analyzed using bivariate Pearson correlations, binary logistic regression, and moderated logistic regressions employing a 0.05 criterion of statistical significance. Power analyses predicted 96-98% power for this analysis. ^ Multiple significant medium strength Pearson correlation coefficients were identified relative to the two dependent variables Take medications as directed and Intend to take the medications as directed the next time. Binary logistic regression analyses identified multiple variables that may predict behavioral intentions to adhere to these preventive medications, as a proxy for behavioral change. Moderated logistic regression analyses identified Command Support for adherence to these medications as a potential significant moderator that interacts with independent variables within three domains of the survey questionnaire. ^ The findings indicate that there may be potential significant beneficial effects, which may improve this behavior in this population of Rangers through 1) promoting affirmative interpersonal communications that emphasize adherence to these medications, 2) including malaria chemoprophylaxis medications in the mission planning process, and 3) military command support, in the form of including the importance of proper adherence to these medications in the unit safety briefings.^

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Intimate partner violence (IPV) is recognized as a serious, growing problem on college campuses. IPV rates among college students exceed estimates reported for the general population. Few studies have examined the impact of IPV among the Hispanic college student (HCS) population or explored how HCSs perceive and experience IPV. Focusing on young adults (ages 18 to 25 years), this mixed methods study was designed to explore the perceptions and experiences of IPV focusing on levels of victimization and perpetration in relation to gender role attitudes and beliefs, exposure to parental IPV, acculturation, and religiosity. A sample of 120 HCSs was recruited from two south Florida universities. A subsample of 20 participants was randomly selected to provide qualitative responses. All participants completed a series of questionnaires including a demographic survey, the FPB, CTS2-CA, SASH, ERS and CTS2. Bivariate correlational techniques and multiple regressions were used to analyze data. Marked discrepancy between participants' perceived experience of IPV (N = 120) and their CTS2 responses (n = 116, 96.7%). Only 5% of the participants saw themselves as victims or perpetrators of IPV, yet 66% were victims or 67% were perpetrators of verbal aggression; and 31% were victims or 32.5% were perpetrators of sexual coercion based on their CTS2 scores. Qualitative responses elicited from the subsample of 20 students provided some insight regarding this disparity. There was rejection of traditional stratified gender roles. Few participants indicated that they were religious (20.8%, n = 25). Evidence for the theory of intergenerational transmission of violence was noted. Recall of parental IPV was a significant predictor of level of IPV victimization (β = 0.177, SE = 0.85, p = 0.041). Nursing and social service providers must be cognizant that contributing factors to either victimization and/or perpetration of IPV among college students must be addressed first (i.e., perceptions of IPV), both in acute (i.e., emergency department) and community (i.e., college and university) settings for optimum intervention outcome.

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Exchange rate economics has achieved substantial development in the past few decades. Despite extensive research, a large number of unresolved problems remain in the exchange rate debate. This dissertation studied three puzzling issues aiming to improve our understanding of exchange rate behavior. Chapter Two used advanced econometric techniques to model and forecast exchange rate dynamics. Chapter Three and Chapter Four studied issues related to exchange rates using the theory of New Open Economy Macroeconomics. Chapter Two empirically examined the short-run forecastability of nominal exchange rates. It analyzed important empirical regularities in daily exchange rates. Through a series of hypothesis tests, a best-fitting fractionally integrated GARCH model with skewed student-t error distribution was identified. The forecasting performance of the model was compared with that of a random walk model. Results supported the contention that nominal exchange rates seem to be unpredictable over the short run in the sense that the best-fitting model cannot beat the random walk model in forecasting exchange rate movements. Chapter Three assessed the ability of dynamic general-equilibrium sticky-price monetary models to generate volatile foreign exchange risk premia. It developed a tractable two-country model where agents face a cash-in-advance constraint and set prices to the local market; the exogenous money supply process exhibits time-varying volatility. The model yielded approximate closed form solutions for risk premia and real exchange rates. Numerical results provided quantitative evidence that volatile risk premia can endogenously arise in a new open economy macroeconomic model. Thus, the model had potential to rationalize the Uncovered Interest Parity Puzzle. Chapter Four sought to resolve the consumption-real exchange rate anomaly, which refers to the inability of most international macro models to generate negative cross-correlations between real exchange rates and relative consumption across two countries as observed in the data. While maintaining the assumption of complete asset markets, this chapter introduced endogenously segmented asset markets into a dynamic sticky-price monetary model. Simulation results showed that such a model could replicate the stylized fact that real exchange rates tend to move in an opposite direction with respect to relative consumption.

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INTRODUCTION: Severe maternal morbidity , also known as maternal near miss , has been used as an alternative to the study of maternal mortality , since being more frequent shares the same determinants and enables the implementati on of epidem iological surveillance of cases . Since then, hospital audits ha ve been carried out to determine the rates of maternal near miss, its mai n causes and associated factors . More recently, population surveys based on self - reported morbidity have als o been presented as vi able in identifying these cases . OBJECTIVE: The aim of this study was to determine the prevalence and associated factors of maternal near miss and complications during pregnancy and puerperal period in Natal/RN. METHODS: A cross - secti onal population - based study was conducted in Natal /RN , Brazil, which has as its target population women aged 15 to 49 years who were pregnant in the last five years. It was carried out a probabilistic sam pling design based on a multi - stage complex sample , in which 60 census tracts were selected from three strata (north , south - east and west). Afterwards, domiciles were visited in order to obtain a sample of the 908 eligible women in whom a questionnaire was applied. The descriptive analyzes and bivariate ass ociations were performed using the Chi - square test and the estimate of the prevalence ratio (PR ) with 95% confidence interval (CI) and considering the weights and design effects . The Poisson regression analysis , also with 5% significance and 95% CI, was us ed for analyzes of associated factors. RESULTS: 848 women were identified and interviewed after visits in 8.227 households corresponding to a response rate of 93 . 4 %. The prevalence of maternal near miss was 41 . 1 /1 000NV, being the Intensive Care Unity stay i ng (19 . 1 /1 000 LB ) and eclampsia (13 . 5/1000LB) the most important marker s . The prevalence of complications in the puerperal peri od was 21 . 2 %, and hemorrhage (10 . 7%) and urinary tract infection (10 . 7%) the most frequently reported clinical conditions and rema in ing in the hospital for over a week after delivery the mo st frequent intervention (5.4%) . Regarding associated factors , the bivariate analysis showed an association between the increased number of complications in women of black/brown race ( PR= 1 . 23; CI95 % : 1 . 04 - 1 . 46) and lower socioeconomic status ( PR= 1 . 33; CI95%: 1 . 12 - 1 . 58) in women who had pre natal care in public service ( PR= 1 . 42; CI95%: 1 . 16 to 1 . 72 ) and that were not advised during prenatal about where they should do the d elivery (PR= 1 . 24; CI95%: 1 . 05 - 1 . 46), made the del ivery in the public service (PR= 1 . 63; CI95%: 1 . 30 - 2 . 03), had to search for more than one hospital for delivery (PR=1 . 22; CI95%: 1 . 03 - 1 . 45) and had no companion during childbirth ( PR =1 . 19; CI95%: 1 . 01 - 1 . 41) or at all times of childbirth c are - before, during and after childbirth - ( PR= 1 . 25, CI95%: 1 . 05 - 1 . 48) . Moreover, the number of days postpartum hospitalization was higher in women who had more complications (P R= 1 . 59 ; CI95%: 1 . 36 - 1 . 86). In the final regression model for both birth place (P R= 1 . 21 ; CI 95% : 1 . 02 to 1 . 44 ) and socioeconomic status (PR = 1.54 ; CI95%: 1 . 25 - 1 . 90 ) the association remained. CONCLUSION : Conducting population surveys using the pragmatic definition of near miss is feasible and may add importa nt information about this ev ent . It was possible to find the expression of health inequalities related to maternal health in the analysis of both socioeconomic conditions and on the utilization of health services.