Cálculo do Value at Risk (VaR) para o Ibovespa, pós crise de 2008, por meio dos modelos de heterocedasticidade condicional (GARCH) e de volatilidade estocástica (Local Scale Model - LSM)

O objetivo deste estudo é propor a implementação de um modelo estatístico para cálculo da volatilidade, não difundido na literatura brasileira, o modelo de escala local (LSM), apresentando suas vantagens e desvantagens em relação aos modelos habitualmente utilizados para mensuração de risco. Para estimação dos parâmetros serão usadas as cotações diárias do Ibovespa, no período de janeiro de 2009 a dezembro de 2014, e para a aferição da acurácia empírica dos modelos serão realizados testes fora da amostra, comparando os VaR obtidos para o período de janeiro a dezembro de 2014. Foram introduzidas variáveis explicativas na tentativa de aprimorar os modelos e optou-se pelo correspondente americano do Ibovespa, o índice Dow Jones, por ter apresentado propriedades como: alta correlação, causalidade no sentido de Granger, e razão de log-verossimilhança significativa. Uma das inovações do modelo de escala local é não utilizar diretamente a variância, mas sim a sua recíproca, chamada de “precisão” da série, que segue uma espécie de passeio aleatório multiplicativo. O LSM captou todos os fatos estilizados das séries financeiras, e os resultados foram favoráveis a sua utilização, logo, o modelo torna-se uma alternativa de especificação eficiente e parcimoniosa para estimar e prever volatilidade, na medida em que possui apenas um parâmetro a ser estimado, o que representa uma mudança de paradigma em relação aos modelos de heterocedasticidade condicional.

Mhealth entrepreneurship: an exploratory research for a managerial model for mhealth start ups in low and middle income countries

Since some years, mobile technologies in healthcare (mHealth) stand for the transformational force to improve health issues in low- and middle-income countries (LMICs). Although several studies have identified the prevailing issue of inconsistent evidence and new evaluation frameworks have been proposed, few have explored the role of entrepreneurship to create disruptive change in a traditionally conservative sector. I argue that improving the effectiveness of mHealth entrepreneurs might increase the adoption of mHealth solutions. Thus, this study aims at proposing a managerial model for the analysis of mHealth solutions from the entrepreneurial perspective in the context of LMICs. I identified the Khoja–Durrani–Scott (KDS) framework as theoretical basis for the managerial model, due to its explicit focus on the context of LMICs. In the subsequent exploratory research I, first, used semi-structured interviews with five specialists in mHealth, local healthcare systems and investment to identify necessary adaptations to the model. The findings of the interviews proposed that especially the economic theme had to be clarified and an additional entrepreneurial theme was necessary. Additionally, an evaluation questionnaire was proposed. In the second phase, I applied the questionnaire to five start-ups, operating in Brazil and Tanzania, and conducted semi-structured interviews with the entrepreneurs to gain practical insights for the theoretical development. Three of five entrepreneurs perceived that the results correlated with the entrepreneurs' expectations of the strengths and weaknesses of the start-ups. Main shortcomings of the model related to the ambiguity of some questions. In addition to the findings for the model, the results of the scores were analyzed. The analysis suggested that across the participating mHealth start-ups the ‘behavioral and socio-technical’ outcomes were the strongest and the ‘policy’ outcomes were the weakest themes. The managerial model integrates several perspectives, structured around the entrepreneur. In order to validate the model, future research may link the development of a start-up with the evolution of the scores in longitudinal case studies or large-scale tests.

Invariant tests in an instrumental variables model with unknown data generating process

In this work we focus on tests for the parameter of an endogenous variable in a weakly identi ed instrumental variable regressionmodel. We propose a new unbiasedness restriction for weighted average power (WAP) tests introduced by Moreira and Moreira (2013). This new boundary condition is motivated by the score e ciency under strong identi cation. It allows reducing computational costs of WAP tests by replacing the strongly unbiased condition. This latter restriction imposes, under the null hypothesis, the test to be uncorrelated to a given statistic with dimension given by the number of instruments. The new proposed boundary condition only imposes the test to be uncorrelated to a linear combination of the statistic. WAP tests under both restrictions to perform similarly numerically. We apply the di erent tests discussed to an empirical example. Using data from Yogo (2004), we assess the e ect of weak instruments on the estimation of the elasticity of inter-temporal substitution of a CCAPM model.

Transparent access to relational, autonomous and distributed databases using semantic web and service oriented technologies

With the constant grow of enterprises and the need to share information across departments and business areas becomes more critical, companies are turning to integration to provide a method for interconnecting heterogeneous, distributed and autonomous systems. Whether the sales application needs to interface with the inventory application, the procurement application connect to an auction site, it seems that any application can be made better by integrating it with other applications. Integration between applications can face several troublesome due the fact that applications may not have been designed and implemented having integration in mind. Regarding to integration issues, two tier software systems, composed by the database tier and by the “front-end” tier (interface), have shown some limitations. As a solution to overcome the two tier limitations, three tier systems were proposed in the literature. Thus, by adding a middle-tier (referred as middleware) between the database tier and the “front-end” tier (or simply referred application), three main benefits emerge. The first benefit is related with the fact that the division of software systems in three tiers enables increased integration capabilities with other systems. The second benefit is related with the fact that any modifications to the individual tiers may be carried out without necessarily affecting the other tiers and integrated systems and the third benefit, consequence of the others, is related with less maintenance tasks in software system and in all integrated systems. Concerning software development in three tiers, this dissertation focus on two emerging technologies, Semantic Web and Service Oriented Architecture, combined with middleware. These two technologies blended with middleware, which resulted in the development of Swoat framework (Service and Semantic Web Oriented ArchiTecture), lead to the following four synergic advantages: (1) allow the creation of loosely-coupled systems, decoupling the database from “front-end” tiers, therefore reducing maintenance; (2) the database schema is transparent to “front-end” tiers which are aware of the information model (or domain model) that describes what data is accessible; (3) integration with other heterogeneous systems is allowed by providing services provided by the middleware; (4) the service request by the “frontend” tier focus on ‘what’ data and not on ‘where’ and ‘how’ related issues, reducing this way the application development time by developers.

Effectiveness of high-throughput miniaturized sorbent- and solid phase microextraction techniques combined with gas chromatography–mass spectrometry analysis for a rapid screening of volatile and semi-volatile composition of wines: a comparative study

In this study the feasibility of different extraction procedures was evaluated in order to test their potential for the extraction of the volatile (VOCs) and semi-volatile constituents (SVOCs) from wines. In this sense, and before they could be analysed by gas chromatography–quadrupole first stage masss spectrometry (GC–qMS), three different high-throughput miniaturized (ad)sorptive extraction techniques, based on solid phase extraction (SPE), microextraction by packed sorbents (MEPS) and solid phase microextraction (SPME), were studied for the first time together, for the extraction step. To achieve the most complete volatile and semi-volatile signature, distinct SPE (LiChrolut EN, Poropak Q, Styrene-Divinylbenzene and Amberlite XAD-2) and MEPS (C2, C8, C18, Silica and M1 (mixed C8-SCX)) sorbent materials, and different SPME fibre coatings (PA, PDMS, PEG, DVB/CAR/PDMS, PDMS/DVB, and CAR/PDMS), were tested and compared. All the extraction techniques were followed by GC–qMS analysis, which allowed the identification of up to 103 VOCs and SVOCs, distributed by distinct chemical families: higher alcohols, esters, fatty acids, carbonyl compounds and furan compounds. Mass spectra, standard compounds and retention index were used for identification purposes. SPE technique, using LiChrolut EN as sorbent (SPELiChrolut EN), was the most efficient method allowing for the identification of 78 VOCs and SVOCs, 63 and 19 more than MEPS and SPME techniques, respectively. In MEPS technique the best results in terms of number of extractable/identified compounds and total peak areas of volatile and semi-volatile fraction, were obtained by using C8 resin whereas DVB/CAR/PDMS was revealed the most efficient SPME coating to extract VOCs and SVOCs from Bual wine. Diethyl malate (18.8 ± 3.2%) was the main component found in wine SPELiChrolut EN extracts followed by ethyl succinate (13.5 ± 5.3%), 3-methyl-1-butanol (13.2 ± 1.7%), and 2-phenylethanol (11.2 ± 9.9%), while in SPMEDVB/CAR/PDMS technique 3-methyl-1-butanol (43.3 ± 0.6%) followed by diethyl succinate (18.9 ± 1.6%), and 2-furfural (10.4 ± 0.4%), are the major compounds. The major VOCs and SVOCs isolated by MEPSC8 were 3-methyl-1-butanol (26.8 ± 0.6%, from wine total volatile fraction), diethyl succinate (24.9 ± 0.8%), and diethyl malate (16.3 ± 0.9%). Regardless of the extraction technique, the highest extraction efficiency corresponds to esters and higher alcohols and the lowest to fatty acids. Despite some drawbacks associated with the SPE procedure such as the use of organic solvents, the time-consuming and tedious sampling procedure, it was observed that SPELiChrolut EN, revealed to be the most effective technique allowing the extraction of a higher number of compounds (78) rather than the other extraction techniques studied.

Estudo do processo de combustão in-situ usando poços horizontais como produtores de óleo (Toe-to-Hell Air Injection)

The method "toe-to-heel air injection" (THAITM) is a process of enhanced oil recovery, which is the integration of in-situ combustion with technological advances in drilling horizontal wells. This method uses horizontal wells as producers of oil, keeping vertical injection wells to inject air. This process has not yet been applied in Brazil, making it necessary, evaluation of these new technologies applied to local realities, therefore, this study aimed to perform a parametric study of the combustion process with in-situ oil production in horizontal wells, using a semi synthetic reservoir, with characteristics of the Brazilian Northeast basin. The simulations were performed in a commercial software "STARS" (Steam, Thermal, and Advanced Processes Reservoir Simulator), from CMG (Computer Modelling Group). The following operating parameters were analyzed: air rate, configuration of producer wells and oxygen concentration. A sensitivity study on cumulative oil (Np) was performed with the technique of experimental design, with a mixed model of two and three levels (32x22), a total of 36 runs. Also, it was done a technical economic estimative for each model of fluid. The results showed that injection rate was the most influence parameter on oil recovery, for both studied models, well arrangement depends on fluid model, and oxygen concentration favors recovery oil. The process can be profitable depends on air rate

Influência de fatores ambientais na incidência do vírus da infecção hipodermal e necrose hematopoiética (IHHNV) no camarão Litopenaeus vannamei cultivado em fazendas do Estado do Rio Grande do Norte (RN)

The shrimp farming industry is the most profitable area of the aquaculture at Rio Grande do Norte (RN) state, which is one of the largest producers in Brazil. However the infections that affect the shrimp cause major economic losses. The infection is a result of the interaction between the shrimp, the environment and pathogen. The change of these factors may lead to a condition of stress and susceptibility to opportunistic infections. One of these infections caused by Infectious Hypodermal and Hematopoietic Necrosis Virus (IHHNV) is widely distributed in several countries and affects a wide range of hosts. To optimize conditions for production of Litopenaeus vannamei shrimp, the more species cultivated in Brazil, it is necessary to understand the effects of environmental factors in the susceptibility of this species to infections. The aim of this study was to determine the IHHNV prevalence and to investigate the influence of environmental factors as salinity, temperature, stocking density, dissolved oxygen and rainfall in the IHHNV incidence in L. vannamei grown in farms, in the RN state. To determine the IHHNV prevalence were used 1089 samples of L. vannamei collected in seven farms. To perform the study about the influence of environmental factors, 525 samples of L. vannamei shrimp were collected in eight farms located in regions of low (0-1 ), medium (21-30 ) and high (38-57 ) salinity, using extensive (≤15 shrimp/m2 ), semi-intensive (18-33 shrimp/m2) or intensive (>36 shrimp/m2) stocking density systems. The IHHNV infection was determined in pleopod and hemolymph using the polymerase chain reaction (PCR). The environmental factors were recorded during the collection of animals, using a refractometer to measure the salinity and a multi-parameter meter to measure the temperature and concentration of dissolved oxygen in the water. The IHHNV prevalence in RN was 43% (468 infected shrimp out of 1089), varying on different farms. On the seven farms studied, IHHNV prevalence ranged from 18.6% to 54.8%. The infection rates in the shrimp cultured in low, medium and high salinity were respectively 43.10% (125/290), 31.2% (15/48) and 24.6% (46/187) and was significantly higher in shrimp grown in low salinity (P<0.001). The infection rates in ponds of extensive, semi-intensive and intensive systems were respectively, 28.7%, 28.28% and 47.84%, and was significantly higher in high stocking densities (P<0.001). This study indicated a high IHHNV prevalence and a significant effect of salinity and stocking density, but not of the temperature, rainfall and dissolved oxygen on the IHHNV infection rate in the L. vannamei shrimp cultured in the northeastern Brazil

Modelagem estocástica do índice de radiação ultravioleta na costa leste do nordeste do Brasil

The increase in ultraviolet radiation (UV) at surface, the high incidence of non-melanoma skin cancer (NMSC) in coast of Northeast of Brazil (NEB) and reduction of total ozone were the motivation for the present study. The overall objective was to identify and understand the variability of UV or Index Ultraviolet Radiation (UV Index) in the capitals of the east coast of the NEB and adjust stochastic models to time series of UV index aiming make predictions (interpolations) and forecasts / projections (extrapolations) followed by trend analysis. The methodology consisted of applying multivariate analysis (principal component analysis and cluster analysis), Predictive Mean Matching method for filling gaps in the data, autoregressive distributed lag (ADL) and Mann-Kendal. The modeling via the ADL consisted of parameter estimation, diagnostics, residuals analysis and evaluation of the quality of the predictions and forecasts via mean squared error and Pearson correlation coefficient. The research results indicated that the annual variability of UV in the capital of Rio Grande do Norte (Natal) has a feature in the months of September and October that consisting of a stabilization / reduction of UV index because of the greater annual concentration total ozone. The increased amount of aerosol during this period contributes in lesser intensity for this event. The increased amount of aerosol during this period contributes in lesser intensity for this event. The application of cluster analysis on the east coast of the NEB showed that this event also occurs in the capitals of Paraiba (João Pessoa) and Pernambuco (Recife). Extreme events of UV in NEB were analyzed from the city of Natal and were associated with absence of cloud cover and levels below the annual average of total ozone and did not occurring in the entire region because of the uneven spatial distribution of these variables. The ADL (4, 1) model, adjusted with data of the UV index and total ozone to period 2001-2012 made a the projection / extrapolation for the next 30 years (2013-2043) indicating in end of that period an increase to the UV index of one unit (approximately), case total ozone maintain the downward trend observed in study period

A Learning Function for Parameter Reduction in Spiking Neural Networks with Radial Basis Function

Spiking neural networks - networks that encode information in the timing of spikes - are arising as a new approach in the artificial neural networks paradigm, emergent from cognitive science. One of these new models is the pulsed neural network with radial basis function, a network able to store information in the axonal propagation delay of neurons. Learning algorithms have been proposed to this model looking for mapping input pulses into output pulses. Recently, a new method was proposed to encode constant data into a temporal sequence of spikes, stimulating deeper studies in order to establish abilities and frontiers of this new approach. However, a well known problem of this kind of network is the high number of free parameters - more that 15 - to be properly configured or tuned in order to allow network convergence. This work presents for the first time a new learning function for this network training that allow the automatic configuration of one of the key network parameters: the synaptic weight decreasing factor.

Method of numerical correction of errors occasioned by delay of records during the monitoring of environmental variables of interest for animal production

As condições de ambiente térmico e aéreo, no interior de instalações para animais, alteram-se durante o dia, devido à influência do ambiente externo. Para que análises estatísticas e geoestatísticas sejam representativas, uma grande quantidade de pontos distribuídos espacialmente na área da instalação deve ser monitorada. Este trabalho propõe que a variação no tempo das variáveis ambientais de interesse para a produção animal, monitoradas no interior de instalações para animais, pode ser modelada com precisão a partir de registros discretos no tempo. O objetivo deste trabalho foi desenvolver um método numérico para corrigir as variações temporais dessas variáveis ambientais, transformando os dados para que tais observações independam do tempo gasto durante a aferição. O método proposto aproximou os valores registrados com retardos de tempo aos esperados no exato momento de interesse, caso os dados fossem medidos simultaneamente neste momento em todos os pontos distribuídos espacialmente. O modelo de correção numérica para variáveis ambientais foi validado para o parâmetro ambiental temperatura do ar, sendo que os valores corrigidos pelo método não diferiram pelo teste Tukey, a 5% de probabilidade dos valores reais registrados por meio de dataloggers.

Desempenho produtivo de Pseudoplatystoma corruscans estocados em sistemas de criação: semi-intensivo (viveiro escavado) e intensivo (tanque-rede)

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Analysis of the Priestley-Taylor alpha parameter for a bean crop

This work deals with the Priestley-Taylor model for evapotranspiration in different grown stages of a bean crop. Priestley and Taylor derived a practical Formulation for energy partitioning between the sensible and latent heat fluxes through the a parameter. Bowen ratio energy balance (BREB) was carried out for daily sensible and latent heat flux estimations in three different crop stages. Mean daily values of Priestley-Taylor a parameter were determined for eleven days during the crop cycle. Diurnal variation patterns of a are presented for the growing, flowering and graining periods. The mean values of 1.13 +/- 0.33, 1.26 +/- 0.74, 1.22 +/- 0.55 were obtained for a day in the growing, in the flowering and for graining periods, respectively. Eleven days values of a are shown and gave a mean value of 1.23 +/- 0.10 which agree on the reported literature.

Políticas públicas para o turismo e desenvolvimento local: reflexões a partir dos "caminhos de fé" no semi-árido potiguar

This study analyzes the event of the Feast of Our Lady of Grace, located in the municipality of Florania / RN as a tourism product, inserted in a process of transformation of a sacred place, in principle determined by religious motives, in a destination "tourist-religious". We seek to understand to what extent state intervention, with policies aimed at boosting the tourism sector as well as the interactions among key actors in the space, are able to modify and streamline the city of Florania, particularly Feast of Our Lady of Grace. The methodology also includes the review of the literature using the deductive method the application of questionnaires to the pilgrims, tourists and pilgrims totaling 150 questionnaires. Along with the economic agents of the municipality, 36 questionnaires were administered according to the model adopted by REDESIST. Complement this research interviews with key Officials of the Municipal Government and the Church. Despite the recognition by the actors of the importance of tourism to the economy of the city of Florania, encouraging the development of the sector is still lagging, some worked and policies / programs listed actually pass by the "Paths of Faith" of Florania. Concerning the Feast of Our Lady of Grace, the bottlenecks reported by researchers and economic agents are very partially affected by the policies / programs and when this occurs, the effort seems to be only reactive, resulting from the pressures experienced by the municipal government (mayor)

Mudanças nos modelos de gestão: a política educacional e dos (des)acertos da experiência no Rio Grande do Norte (1995-1999)

This work focuses on the educational policies, on the necessity of adopting new models of administration of the education, as well as the implementation of reforms in this filed during the 1990 s. It analyzes the strategies of decentralization of the education in Rio Grande do Norte, disclosing practices conceived in the governmental plans and programs. It also aims to evidence the aspects of the decentralization proposed in the educational system management model, adopted by the Department of Education and Culture of Rio Grande do Norte from 1995 to 1999. Bibliographic researches and documental analysis were used as sources and semi-structured interviews were held in order to collect data. This work also highlights the concepts of participation, autonomy and democratic management intrinsic to the process of decentralization in the education field. It is clear that decentralization, as the vector of democracy, requires not only certain conditions that assure the universal access to the necessary information, but also that all segments of the institution have a voice in the collegiates and that the management and decision-making processes be transparent. This analysis reveals the importance of creating means to promote autonomy, participation and democratic management in order to consolidate a decentralized system. It is also clear that these mechanisms have been proposed in a vague way by the governmental guidelines, which makes it harder to consolidate a democratic management model. Having this perspective as a parameter, it is possible to realize that the adoption of a management model prompted by the law hasn t established effective means of participation that, consequently, should provide decision centralizers which opposed to the democratic actions

Parametric correlation functions to model the structure of permanent environmental (co)variances in milk yield random regression models

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