Simulation-based smoothing and filtering in factor stochastic volatility models : two econometric applications

In this article we use factor models to describe a certain class of covariance structure for financiaI time series models. More specifical1y, we concentrate on situations where the factor variances are modeled by a multivariate stochastic volatility structure. We build on previous work by allowing the factor loadings, in the factor mo deI structure, to have a time-varying structure and to capture changes in asset weights over time motivated by applications with multi pIe time series of daily exchange rates. We explore and discuss potential extensions to the models exposed here in the prediction area. This discussion leads to open issues on real time implementation and natural model comparisons.

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).

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 soil carbon losses after tillage described by a first-order decay model

Tillage stimulates soil carbon (C) losses by increasing aeration, changing temperature and moisture conditions, and thus favoring microbial decomposition. In addition, soil aggregate disruption by tillage exposes once protected organic matter to decomposition. We propose a model to explain carbon dioxide (CO2) emission after tillage as a function of the no-till emission plus a correction due to the tillage disturbance. The model assumes that C in the readily decomposable organic matter follows a first-order reaction kinetics equation as: dC(sail)(t)/dt = -kC(soil)(t) and that soil C-CO2 emission is proportional to the C decay rate in soil, where C-soil(t) is the available labile soil C (g m(-2)) at any time (t). Emissions are modeled in terms soil C available to decomposition in the tilled and non-tilled plots, and a relationship is derived between no-till (F-NT) and tilled (F-Gamma) fluxes, which is: F-T = a1F(NT)e(-a2t), where t is time after tillage. Predicted and observed fluxes showed good agreement based on determination coefficient (R-2), index of agreement and model efficiency, with R-2 as high as 0.97. The two parameters included in the model are related to the difference between the decay constant (k factor) of tilled and no-till plots (a(2)) and also to the amount of labile carbon added to the readily decomposable soil organic matter due to tillage (a,). These two parameters were estimated in the model ranging from 1.27 and 2.60 (a(1)) and - 1.52 x 10(-2) and 2.2 x 10(-2) day(-1) (a(2)). The advantage is that temporal variability of tillage-induced emissions can be described by only one analytical function that includes the no-till emission plus an exponential term modulated by tillage and environmentally dependent parameters. (C) 2008 Elsevier B.V. All rights reserved.

Short communication: Principal components and factor analytic models for test-day milk yield in Brazilian Holstein cattle

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Controlador em modo dual adaptativo robusto - DMARC

The so-called Dual Mode Adaptive Robust Control (DMARC) is proposed. The DMARC is a control strategy which interpolates the Model Reference Adaptive Control (MRAC) and the Variable Structure Model Reference Adaptive Control (VS-MRAC). The main idea is to incorporate the transient performance advantages of the VS-MRAC controller with the smoothness control signal in steady-state of the MRAC controller. Two basic algorithms are developed for the DMARC controller. In the first algorithm the controller's adjustment is made, in real time, through the variation of a parameter in the adaptation law. In the second algorithm the control law is generated, using fuzzy logic with Takagi-Sugeno s model, to obtain a combination of the MRAC and VS-MRAC control laws. In both cases, the combined control structure is shown to be robust to the parametric uncertainties and external disturbances, with a fast transient performance, practically without oscillations, and a smoothness steady-state control signal

Uma abordagem indireta para o Controlador em Modo Dual Adaptativo Robusto

In this work is proposed an indirect approach to the DualMode Adaptive Robust Controller (DMARC), combining the typicals transient and robustness properties of Variable Structure Systems, more specifically of Variable Structure Model Reference Adaptive Controller (VS-MRAC), with a smooth control signal in steady-state, typical of conventional Adaptive Controllers, as Model Reference Adaptive Controller (MRAC). The goal is to provide a more intuitive controller design, based on physical plant parameters, as resistances, inertia moments, capacitances, etc. Furthermore, with the objective to follow the evolutionary line of direct controllers, it will be proposed an indirect version for the Binary Model Reference Adaptive Controller (B-MRAC), that was the first controller attemptting to act as MRAC as well as VS-MRAC, depending on a pre-defined fixed parameter

Structural modeling and mutational analysis of yeast eukaryotic translation initiation factor 5A reveal new critical residues and reinforce its involvement in protein synthesis

Eukaryotic translation initiation factor 5A (eIF5A) is a protein that is highly conserved and essential for cell viability. This factor is the only protein known to contain the unique and essential amino acid residue hypusine. This work focused on the structural and functional characterization of Saccharomyces cerevisiae eIF5A. The tertiary structure of yeast eIF5A was modeled based on the structure of its Leishmania mexicana homologue and this model was used to predict the structural localization of new site-directed and randomly generated mutations. Most of the 40 new mutants exhibited phenotypes that resulted from eIF-5A protein-folding defects. Our data provided evidence that the C-terminal alpha-helix present in yeast eIF5A is an essential structural element, whereas the eIF5A N-terminal 10 amino acid extension not present in archaeal eIF5A homologs, is not. Moreover, the mutants containing substitutions at or in the vicinity of the hypusine modification site displayed nonviable or temperature-sensitive phenotypes and were defective in hypusine modification. Interestingly, two of the temperature-sensitive strains produced stable mutant eIF5A proteins - eIF5A(K56A) and eIF5A(Q22H,L93F)- and showed defects in protein synthesis at the restrictive temperature. Our data revealed important structural features of eIF5A that are required for its vital role in cell viability and underscored an essential function of eIF5A in the translation step of gene expression.

Combined Pool/Bilateral Short-Term Hydrothermal Scheduling Model for Day-Ahead Energy Markets

This paper proposes a combined pool/bilateral short term hydrothermal scheduling model (PDC) for the context of the day-ahead energy markets. Some innovative aspects are introduced in the model, such as: i) the hydraulic generation is optimized through the opportunity cost function proposed; ii) there is no decoupling between physical and commercial dispatches, as is the case today in Brazil; iii) interrelationships between pool and bilateral markets are represented through a single optimization problem; iv) risk exposures related to future deficits are intrinsically mitigated; v) the model calculates spot prices in an hourly basis and the results show a coherent correlation between hydrological conditions and calculated prices. The proposed PDC model is solved by a primal-dual interior point method and is evaluated by simulations involving a test system. The results are focused on sensitivity analyses involving the parameters of the model, in such a way to emphasize its main modeling aspects. The results show that the proposed PDC provides a conceptual means for short term price formation for hydrothermal systems.

Multiflavor soldering

In two dimensions the simple addition of two chiral bosons of opposite chiralities does not lead to a full massless scalar field. Similarly, in three dimensions the addition of two Maxwell-Chern-Simons fields of opposite helicities +/- 1 will not produce a parity invariant Maxwell-Proca theory. An interference term between the opposite chiralities (helicities) states is required in order to obtain the expected result. The so-called soldering procedure provides the missing interference Lagrangian in both 2D and 3D cases. In two dimensions such interference term allows to fuse two chiral fermionic determinants into, a non-chiral one. In a recent work we have generalized this procedure by allowing the appearance of an extra parameter which takes two possible values and leads to two different soldered Lagrangians. Here we apply this generalized soldering in a bosonic theory which has appeared in a partial bosonization of the 3D gauged Thirring model with N flavors. The multiplicity of flavors allow new types of solderings and help us to understand the connection between different perturbative approaches to bosonization in 3D. In particular, we obtain an interference term which takes us from a multiflavor Niaxwell-Chern-Simons theory to a pair of self-dual and anti-self-dual theories when we combine together both fermionic determinants of +1/2 and -1/2 helicity fermions. An important role is played by a set of pure non-interacting Chern-Simons fields which amount to a normalization factor in the fermionic determinants and act like spectators in the original theory but play an active role in the soldering procedure. Our results suggest that the generalized soldering could be used to provide dual theories in both 2D and 3D cases. (c) 2007 Elsevier B.V. All rights reserved.

Dual descriptions of spin-two massive particles in D=2+1 via master actions

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Describing fatigue crack growth and load ratio effects in Al 2524 T3 alloy with an enhanced exponential model

The fatigue crack behavior in metals and alloys under constant amplitude test conditions is usually described by relationships between the crack growth rate da/dN and the stress intensity factor range Delta K. In the present work, an enhanced two-parameter exponential equation of fatigue crack growth was introduced in order to describe sub-critical crack propagation behavior of Al 2524-T3 alloy, commonly used in aircraft engineering applications. It was demonstrated that besides adequately correlating the load ratio effects, the exponential model also accounts for the slight deviations from linearity shown by the experimental curves. A comparison with Elber, Kujawski and "Unified Approach" models allowed for verifying the better performance, when confronted to the other tested models, presented by the exponential model. (C) 2012 Elsevier Ltd. All rights reserved.

Model for determining flow diameter and economic velocity in water elevating systems

The purpose of this paper was to develop a model for calculating the economical flow diameter and velocity, by obtaining the economical diameter, using Swamee's friction factor equation, by minimizing the total annual cost. The application of the model to a regular supply condition showed that the diameter of the actual condition, 250 mm, compared with the diameter calculated by the mode, at the same tariff as that applied to the property ( ground), 284.1 mm, involved the necessity to generate, transmit, and distribute extra electrical energy, due to the higher load loss caused by the original diameter, approximately 30800 kWh/year. This means that in one year, the consumer would spend R$2,804.00 more on pumping cost alone.

Chronic ethanol intake promotes double gluthatione S-transferase transforming growth factor-alpha-positive hepatocellular lesions in male Wistar rats

The chronic ethanol intake influence on the gluthatione S-transferase (GST-P) and transforming growth factor alpha (TGF-alpha) expression in remodeling/persistent preneoplastic lesions (PNLs) was evaluated in the resistant hepatocyte model. Male Wistar rats were allocated into five groups: G1, non-treated, fed water and chow ad libitum; G2, non-treated and pair-fed chow (restricted to match that of G3 group) and a maltodextrin (MD) solution in tap water (matched ethanol-derived calories); G3, fed 5% ethanol in drinking water and chow ad libitum; G4, diethylnitrosamine (DEN, 200 mg/kg, body weight) plus 200 parts per million of 2-acetylaminofluorene (2-AAF) for 3 weeks and pair-fed chow (restricted to match that of G5 group) and an MD solution in tap water (matched ethanol-derived calories); G5, DEN/2-AAF treatment, fed ethanol 5% and chow ad libitum. All animals were subjected to 70% partial hepatectomy at week 3 and sacrificed at weeks 12 or 22, respectively. Liver samples were collected for histological analysis or immunohistochemical expression of GST-P, TGF-alpha and proliferating cell nuclear antigen or zymography for matrix metalloproteinases-2 and -9. At the end of ethanol treatment, there was a significant increase in the percentage of liver area occupied by persistent GST-P-positive PNLs, the number of TGF-alpha-positive PNLs and the development of liver tumors in ethanol-fed and DEN/2-AAF-treated groups (G5 versus G4, P < 0.001). In addition, ethanol feeding led to a significant increase in cell proliferation mainly in remodeling and persistent PNLs with immunoreactivity for TGF-alpha at week 22 (P < 0.001). Gelatinase activities were not altered by ethanol treatment. The results demonstrated that ethanol enhances the selective growth of PNL with double expression of TGF-alpha and GST-P markers.

Amitriptyline aggravates the fibrosis process in a rat model of infravesical obstruction

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