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.

Desenvolvimento de argamassa para restauração utilizando resíduo do polimento do porcelanato

The coatings mortars are essential elements of building structures because they execute an important role in protecting walls and are particularly exposed to aggressive action responsible for its degradation over time. The importance of wall coverings has been the subject of discussion and analysis in the conservation and rehabilitation of old buildings. Are sometimes removed and replaced with inappropriate solutions of constructive point of view or architecture. The most commonly used coatings on walls of old buildings is based on traditional hydraulic lime mortars. The present study aims at the formulation of new lime- based mortars and aerial fine aggregate, in order to contribute to a better field of conservation and restoration mortar coating of old buildings. Residue was used for polishing porcelain as fine aggregate, replacing the aggregate (sand), in percentages 05-30% by mass. We conducted a thorough evaluation of the mortar properties in fresh and hardened state by comparing the performance of the same with a reference mortar. The residue used was characterized as the density, bulk density, and particle size laser, scanning electron microscopy, X-ray diffraction and X-ray fluorescence. Formulations were produced 7, 6 with residue and one commonly used formulation, which served as a reference. In the formulations of lime mortars air (hydrated lime powder CH-I) has been adopted a stroke volume (1:3) with constant binder, was varied and the water / binder and aggregate and waste. For evaluation of mortars fresh, proceeded to consistency analysis, specific gravity, water retention and air content embedded. In the hardened state assays were performed in specific gravity, water retention, modulus of elasticity, tensile strength in bending, compressive strength, water absorption by capillary action, adhesion, tensile strength, resistance to shrinkage and salts by of crystallization trials with resources chloride solution, nitrate and sulfate all sodium in prismatic at 90 days of age, in addition to the micro structural analysis of mortars. Based on the results we can see that the mortar formulated with 10% content of waste and the reference free retraction feature more stable closer to neutrality. The composition of 10% was obtained better performance against the action of the salt crystallization. The mortar with 15% residue obtained better density, lower air content embedded and high capacity for water retention developing good workability. The replacement of 20% of waste generates a satisfactory utilization of resistance to compression, flexion and traction grip the base. And, finally, it can be seen that the mortar with 10, 15 and 20% residual show, in principle, good suitability as coatings, thus enabling a final result consistent with durability, workability and aesthetics developing therefore a material with better performance to repair or replace existing mortars in old buildings

The position effect of structural Eucalyptus round timber on the flexural modulus of elasticity

A madeira roliça possui grande emprego nas construções civis, desempenhando a função de vigas, colunas, fundações, postes para distribuição de energia elétrica, entre outras, apresentando a vantagem de não ser processada, como é o caso da madeira serrada. O projeto envolvendo elementos roliços requer, além de outras variáveis estruturais, o conhecimento do módulo de elasticidade. No Brasil, os documentos normativos que tratam da determinação das propriedades de rigidez e resistência para peças roliças de madeira estão em vigência há mais de vinte anos sem revisão técnica. A madeira roliça, por geralmente possuir eixo com curvatura não nula, pode apresentar, segundo a posição da peça no ensaio de flexão, valores diferentes do módulo de elasticidade. Este trabalho tem como objetivo analisara influência da posição de peças roliças de madeira de Eucalyptus grandis na determinação do módulo de elasticidade na flexão. O ensaio de flexão utilizado é o de três pontos, sendo cada peça avaliada em duas posições distintas, definidas mediante o giro da seção transversal em torno do eixo. Os resultados encontrados indicam a necessidade do ensaio de flexão em, pelo menos, duas posições distintas da peça.

Fertility life table of Trichogramma pretiosum and Trichogramma acacioi (Hymenoptera : Trichogrammatidae) on Sitotroga cerealella (Lepidoptera : Gelechiidae) eggs at different constant temperatures

Fertility life tables were developed for both Trichogramma pretiosum and Trichogramma acacioi reared on Sitotroga cerealella eggs as an alternative host at five different temperatures. The egg parasitoids were first collected from Nipteria panacea eggs, a lepidopterous pest of avocado. Egg parasitoid females were individualized in small glass vials along with 40 eggs of the host during 24 h for parasitization. For evaluation of the parasitism capacity, a similar procedure was adopted, but cardboards with eggs were replaced every day. The net reproductive rate (Ro), intrinsic rate of increase (rm), finite rate of increase (lambda), and mean generation time (T) were estimated. Temperature affected all parameters for both Trichogramma species. The highest fecundity for both species was observed at 25degreesC. Extreme temperatures such as 15degreesC or 35degreesC negatively affect the development rate of both species.

Comparison of the quantification of caffeine in human plasma by gas chromatography and ELISA

In the present study we evaluated the precision of the ELISA method to quantify caffeine in human plasma and compared the results with those obtained by gas chromatography. A total of 58 samples were analyzed by gas chromatography using a nitrogen-phosphorus detector and routine techniques. For the ELISA test, the samples were diluted to obtain a concentration corresponding to 50% of the absorbance of the standard curve. To determine whether the proximity between the I50 of the standard curve and that of the sample would bring about a more precise result, the samples were divided into three blocks according to the criterion of difference, in modulus, of the I50 of the standard curve and of the I50 of the sample. The samples were classified into three groups. The first was composed of 20 samples with I50 up to 1.5 ng/ml, the second consisted of 21 samples with I50 ranging from 1.51 to 3 ng/ml, and the third of 17 samples with I50 ranging from 3.01 to 13 ng/ml. The determination coefficient (R² = 0.999) showed that the data obtained by gas chromatography represented a reliable basis. The results obtained by ELISA were also reliable, with an estimated Pearson correlation coefficient of 0.82 between the two methods. This coefficient for the different groups (0.88, 0.79 and 0.49 for groups 1, 2 and 3, respectively) showed greater reliability for the test with dilutions closer to I50.

Comparison of different nonlinear functions to describe Nelore cattle growth

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Test-day milk yield as a selection criterion for dairy buffaloes (Bubalus bubalis Artiodactyla, Bovidae)

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

Genetic parameters for an alternative criterion to improve productive longevity of Nellore cows

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

Um sistema para estimação da vazão de gás de poços produzindo por Plunger Lift para vaso separador de teste em plataformas de petróleo

This work intends to analyze the behavior of the gas flow of plunger lift wells producing to well testing separators in offshore production platforms to aim a technical procedure to estimate the gas flow during the slug production period. The motivation for this work appeared from the expectation of some wells equipped with plunger lift method by PETROBRAS in Ubarana sea field located at Rio Grande do Norte State coast where the produced fluids measurement is made in well testing separators at the platform. The oil artificial lift method called plunger lift is used when the available energy of the reservoir is not high enough to overcome all the necessary load losses to lift the oil from the bottom of the well to the surface continuously. This method consists, basically, in one free piston acting as a mechanical interface between the formation gas and the produced liquids, greatly increasing the well s lifting efficiency. A pneumatic control valve is mounted at the flow line to control the cycles. When this valve opens, the plunger starts to move from the bottom to the surface of the well lifting all the oil and gas that are above it until to reach the well test separator where the fluids are measured. The well test separator is used to measure all the volumes produced by the well during a certain period of time called production test. In most cases, the separators are designed to measure stabilized flow, in other words, reasonably constant flow by the use of level and pressure electronic controllers (PLC) and by assumption of a steady pressure inside the separator. With plunger lift wells the liquid and gas flow at the surface are cyclical and unstable what causes the appearance of slugs inside the separator, mainly in the gas phase, because introduce significant errors in the measurement system (e.g.: overrange error). The flow gas analysis proposed in this work is based on two mathematical models used together: i) a plunger lift well model proposed by Baruzzi [1] with later modifications made by Bolonhini [2] to built a plunger lift simulator; ii) a two-phase separator model (gas + liquid) based from a three-phase separator model (gas + oil + water) proposed by Nunes [3]. Based on the models above and with field data collected from the well test separator of PUB-02 platform (Ubarana sea field) it was possible to demonstrate that the output gas flow of the separator can be estimate, with a reasonable precision, from the control signal of the Pressure Control Valve (PCV). Several models of the System Identification Toolbox from MATLAB® were analyzed to evaluate which one better fit to the data collected from the field. For validation of the models, it was used the AIC criterion, as well as a variant of the cross validation criterion. The ARX model performance was the best one to fit to the data and, this way, we decided to evaluate a recursive algorithm (RARX) also with real time data. The results were quite promising that indicating the viability to estimate the output gas flow rate from a plunger lift well producing to a well test separator, with the built-in information of the control signal to the PCV

Physical resistance as a criterion in the selection of foraging material by Acromyrmex subterraneus brunneus Forel, 1911 (Hym., Formicidae)

Leaf-cutting ants forage on a wide variety of plant species using the physical and chemical characteristics of the plants as a selection criterion. In order to determine the influence of the physical factor on the selection of foraging material, inert materials such as floral sponge, polystyrene, plastic and clay, which possess different degrees of physical resistance to cutting, were offered simultaneously to five Acromyrmex subterraneus brunneus colonies, and assessed 12 and 24 h after foraging. No substrate selectivity was observed during foraging. Physical resistance was used as a decision criterion for the incorporation or return of the foraged material. This fact suggests the existence of a second time of selection of the foraged material inside the colony during cultivation of the symbiontic fungus.

Application of the Potentiometric Stripping Analysis with Constant Current for the Determination of Lithium Ions Using a Spinel-Type Manganese (IV) Oxide-Modified Carbon Paste Electrode

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Rotação diferencial em estrelas do tipo solar

Stellar differential rotation is an important key to understand hydromagnetic stellar dynamos, instabilities, and transport processes in stellar interiors as well as for a better treatment of tides in close binary and star-planet systems. The space-borne high-precision photometry with MOST, CoRoT, and Kepler has provided large and homogeneous datasets. This allows, for the first time, the study of differential rotation statistically robust samples covering almost all stages of stellar evolution. In this sense, we introduce a method to measure a lower limit to the amplitude of surface differential rotation from high-precision evenly sampled photometric time series such as those obtained by space-borne telescopes. It is designed for application to main-sequence late-type stars whose optical flux modulation is dominated by starspots. An autocorrelation of the time series is used to select stars that allow an accurate determination of spot rotation periods. A simple two-spot model is applied together with a Bayesian Information Criterion to preliminarily select intervals of the time series showing evidence of differential rotation with starspots of almost constant area. Finally, the significance of the differential rotation detection and a measurement of its amplitude and uncertainty are obtained by an a posteriori Bayesian analysis based on a Monte Carlo Markov Chain (hereafter MCMC) approach. We apply our method to the Sun and eight other stars for which previous spot modelling has been performed to compare our results with previous ones. The selected stars are of spectral type F, G and K. Among the main results of this work, We find that autocorrelation is a simple method for selecting stars with a coherent rotational signal that is a prerequisite to a successful measurement of differential rotation through spot modelling. For a proper MCMC analysis, it is necessary to take into account the strong correlations among different parameters that exists in spot modelling. For the planethosting star Kepler-30, we derive a lower limit to the relative amplitude of the differential rotation. We confirm that the Sun as a star in the optical passband is not suitable for a measurement of the differential rotation owing to the rapid evolution of its photospheric active regions. In general, our method performs well in comparison with more sophisticated procedures used until now in the study of stellar differential rotation

Orthogonality criterion for banishing hydrino states from standard quantum mechanics

Orthogonality criterion is used to show in a very simple and general way that anomalous bound-state solutions for the Coulomb potential (hydrino states) do not exist as bona fide solutions of the Schrodinger, Klein-Gordon and Dirac equations. (C) 2007 Elsevier B.V. All rights reserved.