Forecasting multivariate time series under present-value-model short- and long-run co-movement restrictions

It is well known that cointegration between the level of two variables (e.g. prices and dividends) is a necessary condition to assess the empirical validity of a present-value model (PVM) linking them. The work on cointegration,namelyon long-run co-movements, has been so prevalent that it is often over-looked that another necessary condition for the PVM to hold is that the forecast error entailed by the model is orthogonal to the past. This amounts to investigate whether short-run co-movememts steming from common cyclical feature restrictions are also present in such a system. In this paper we test for the presence of such co-movement on long- and short-term interest rates and on price and dividend for the U.S. economy. We focuss on the potential improvement in forecasting accuracies when imposing those two types of restrictions coming from economic theory.

Precificação de derivativos de taxa de juros utilizando o modelo HJM multifatorial com estrutura de volatilidade não paramétrica

Com o objetivo de precificar derivativos de taxas de juros no mercado brasileiro, este trabalho foca na implementação do modelo de Heath, Jarrow e Morton (1992) em sua forma discreta e multifatorial através de uma abordagem numérica, e, que possibilita uma grande flexibilidade na estimativa da taxa forward sob uma estrutura de volatilidade baseada em fatores ortogonais, facilitando assim a simulação de sua evolução por Monte Carlo, como conseqüência da independência destes fatores. A estrutura de volatilidade foi construída de maneira a ser totalmente não paramétrica baseada em vértices sintéticos que foram obtidos por interpolação dos dados históricos de cotações do DI Futuro negociado na BM&FBOVESPA, sendo o período analisado entre 02/01/2003 a 28/12/2012. Para possibilitar esta abordagem foi introduzida uma modificação no modelo HJM desenvolvida por Brace e Musiela (1994).

Optimal two-sided tests for instrumental variables regression with heteroskedastic and autocorrelated errors

This paper considers two-sided tests for the parameter of an endogenous variable in an instrumental variable (IV) model with heteroskedastic and autocorrelated errors. We develop the nite-sample theory of weighted-average power (WAP) tests with normal errors and a known long-run variance. We introduce two weights which are invariant to orthogonal transformations of the instruments; e.g., changing the order in which the instruments appear. While tests using the MM1 weight can be severely biased, optimal tests based on the MM2 weight are naturally two-sided when errors are homoskedastic. We propose two boundary conditions that yield two-sided tests whether errors are homoskedastic or not. The locally unbiased (LU) condition is related to the power around the null hypothesis and is a weaker requirement than unbiasedness. The strongly unbiased (SU) condition is more restrictive than LU, but the associated WAP tests are easier to implement. Several tests are SU in nite samples or asymptotically, including tests robust to weak IV (such as the Anderson-Rubin, score, conditional quasi-likelihood ratio, and I. Andrews' (2015) PI-CLC tests) and two-sided tests which are optimal when the sample size is large and instruments are strong. We refer to the WAP-SU tests based on our weights as MM1-SU and MM2-SU tests. Dropping the restrictive assumptions of normality and known variance, the theory is shown to remain valid at the cost of asymptotic approximations. The MM2-SU test is optimal under the strong IV asymptotics, and outperforms other existing tests under the weak IV asymptotics.

Multilayer optimization in radio resource allocation for the packet transmission in wireless networks

In the last decade mobile wireless communications have witnessed an explosive growth in the user’s penetration rate and their widespread deployment around the globe. It is expected that this tendency will continue to increase with the convergence of fixed Internet wired networks with mobile ones and with the evolution to the full IP architecture paradigm. Therefore mobile wireless communications will be of paramount importance on the development of the information society of the near future. In particular a research topic of particular relevance in telecommunications nowadays is related to the design and implementation of mobile communication systems of 4th generation. 4G networks will be characterized by the support of multiple radio access technologies in a core network fully compliant with the Internet Protocol (all IP paradigm). Such networks will sustain the stringent quality of service (QoS) requirements and the expected high data rates from the type of multimedia applications to be available in the near future. The approach followed in the design and implementation of the mobile wireless networks of current generation (2G and 3G) has been the stratification of the architecture into a communication protocol model composed by a set of layers, in which each one encompasses some set of functionalities. In such protocol layered model, communications is only allowed between adjacent layers and through specific interface service points. This modular concept eases the implementation of new functionalities as the behaviour of each layer in the protocol stack is not affected by the others. However, the fact that lower layers in the protocol stack model do not utilize information available from upper layers, and vice versa, downgrades the performance achieved. This is particularly relevant if multiple antenna systems, in a MIMO (Multiple Input Multiple Output) configuration, are implemented. MIMO schemes introduce another degree of freedom for radio resource allocation: the space domain. Contrary to the time and frequency domains, radio resources mapped into the spatial domain cannot be assumed as completely orthogonal, due to the amount of interference resulting from users transmitting in the same frequency sub-channel and/or time slots but in different spatial beams. Therefore, the availability of information regarding the state of radio resources, from lower to upper layers, is of fundamental importance in the prosecution of the levels of QoS expected from those multimedia applications. In order to match applications requirements and the constraints of the mobile radio channel, in the last few years researches have proposed a new paradigm for the layered architecture for communications: the cross-layer design framework. In a general way, the cross-layer design paradigm refers to a protocol design in which the dependence between protocol layers is actively exploited, by breaking out the stringent rules which restrict the communication only between adjacent layers in the original reference model, and allowing direct interaction among different layers of the stack. An efficient management of the set of available radio resources demand for the implementation of efficient and low complexity packet schedulers which prioritize user’s transmissions according to inputs provided from lower as well as upper layers in the protocol stack, fully compliant with the cross-layer design paradigm. Specifically, efficiently designed packet schedulers for 4G networks should result in the maximization of the capacity available, through the consideration of the limitations imposed by the mobile radio channel and comply with the set of QoS requirements from the application layer. IEEE 802.16e standard, also named as Mobile WiMAX, seems to comply with the specifications of 4G mobile networks. The scalable architecture, low cost implementation and high data throughput, enable efficient data multiplexing and low data latency, which are attributes essential to enable broadband data services. Also, the connection oriented approach of Its medium access layer is fully compliant with the quality of service demands from such applications. Therefore, Mobile WiMAX seems to be a promising 4G mobile wireless networks candidate. In this thesis it is proposed the investigation, design and implementation of packet scheduling algorithms for the efficient management of the set of available radio resources, in time, frequency and spatial domains of the Mobile WiMAX networks. The proposed algorithms combine input metrics from physical layer and QoS requirements from upper layers, according to the crosslayer design paradigm. Proposed schedulers are evaluated by means of system level simulations, conducted in a system level simulation platform implementing the physical and medium access control layers of the IEEE802.16e standard.

On invariant Rings of Sylow subgroups of finite classical groups

In this thesis we study the invariant rings for the Sylow p-subgroups of the nite classical groups. We have successfully constructed presentations for the invariant rings for the Sylow p-subgroups of the unitary groups GU(3; Fq2) and GU(4; Fq2 ), the symplectic group Sp(4; Fq) and the orthogonal group O+(4; Fq) with q odd. In all cases, we obtained a minimal generating set which is also a SAGBI basis. Moreover, we computed the relations among the generators and showed that the invariant ring for these groups are a complete intersection. This shows that, even though the invariant rings of the Sylow p-subgroups of the general linear group are polynomial, the same is not true for Sylow p-subgroups of general classical groups. We also constructed the generators for the invariant elds for the Sylow p-subgroups of GU(n; Fq2 ), Sp(2n; Fq), O+(2n; Fq), O-(2n + 2; Fq) and O(2n + 1; Fq), for every n and q. This is an important step in order to obtain the generators and relations for the invariant rings of all these groups.

In-depth search focused on furans, lactones, volatile phenols, and acetals as potential age markers of Madeira wines by comprehensive two-dimensional gas chromatography with time-of-flight mass spectrometry combined with solid phase microextraction

The establishment of potential age markers of Madeira wine is of paramount significance as it may contribute to detect frauds and to ensure the authenticity of wine. Considering the chemical groups of furans, lactones, volatile phenols, and acetals, 103 volatile compounds were tentatively identified; among these, 71 have been reported for the first time in Madeira wines. The chemical groups that could be used as potential age markers were predominantly acetals, namely, diethoxymethane, 1,1-diethoxyethane, 1,1-diethoxy-2-methyl-propane, 1-(1-ethoxyethoxy)-pentane, trans-dioxane and 2-propyl-1,3-dioxolane, and from the other chemical groups, 5-methylfurfural and cis-oak-lactone, independently of the variety and the type of wine. GC × GC-ToFMS system offers a more useful approach to identify these compounds compared to previous studies using GC−qMS, due to the orthogonal systems, that reduce coelution, increase peak capacity and mass selectivity, contributing to the establishment of new potential Madeira wine age markers. Remarkable results were also obtained in terms of compound identification based on the organized structure of the peaks of structurally related compounds in the GC × GC peak apex plots. This information represents a valuable approach for future studies, as the ordered-structure principle can considerably help the establishment of the composition of samples. This new approach provides data that can be extended to determine age markers of other types of wines.

A satisfação profissional e a cultura organizacional : uma análise a partir do modelo ASH no Centro Federal de Educação Tecnológica do Rio Grande do Norte

With the need of the companies in becoming more competitive within the market, it arises an incessant search for selective human potential, with a high level of capacity and low rotativity, which motivation results in production raise, quality optimization and waste reduction. This scenario requires a strategy development which advantages the Human Resources Quality Management. This way, the model of the Human System Audit (HSA), developed by the Spanish researchers Ouijano and Navarro, presents itself as an important tool to diagnosis and evaluation, contemplating the environment where the organization is inserted, its strategies, its organizational design, its processes and its organizational effectiveness. In this sense, the present study has identified the existent relation between the professional satisfaction and the Organizational Culture, based in the model HSA. The research has been a quantitative-descriptive one and has had as population the technical-administrative workers from the Federal Center of Technical Education of Rio Grande do Norte (CEFET RN). The data collection has occurred during May, 2008, by means of the application of a questionnaire in the HSA model. The sample was composed by 167 subjects, distributed among the Five units of the institution. It was used the factorial analysis, with the extraction method of main components and orthogonal rotation varimax, in order to extract the dimensions of the satisfaction and of the organizational culture and the calculation of Cronbach s Alpha coefficient, to evaluate the reliability of these dimensions. The factorial analysis of the satisfaction indicators has identified four factors,, all of them showing significance: gratefulness and relationship , self-realization , stability and security and physical conditions and social benefits . The result of the factorial analysis with the indicators of the organizational culture has extracted four factors and among them, three of them have obtained significance: Personal Satisfaction Style , Competitive-Denial-Power Style and the Conventional-Dependent Style . After identifying the dimensions of the satisfaction and culture found at CEFET-RN, it has been notice the existence or not of relation among them, through the application of Pearson s coefficient. It has been verified that all of the dimensions of the Professional satisfaction are correlated with some dimension of the organizational culture, having in outstand position, with higher intensity, the relation between the culture style of Personal Satisfaction and the satisfaction factor referring to the self-realization

Is the meander growth in the Brazil Current system off Southeast Brazil due to baroclinic instability?

Temporally-growing frontal meandering and occasional eddy-shedding is observed in the Brazil Current (BC) as it flows adjacent to the Brazilian Coast. No study of the dynamics of this phenomenon has been conducted to date in the region between 22 degrees S and 25 degrees S. Within this latitude range, the flow over the intermediate continental slope is marked by a current inversion at a depth that is associated with the Intermediate Western Boundary Current (IWBC). A time series analysis of 10-current-meter mooring data was used to describe a mean vertical profile for the BC-IWBC jet and a typical meander vertical structure. The latter was obtained by an empirical orthogonal function (EOF) analysis that showed a single mode explaining 82% of the total variance. This mode structure decayed sharply with depth, revealing that the meandering is much more vigorous within the BC domain than it is in the IWBC region. As the spectral analysis of the mode amplitude time series revealed no significant periods, we searched for dominant wavelengths. This search was done via a spatial EOF analysis on 51 thermal front patterns derived from digitized AVHRR images. Four modes were statistically significant at the 95% confidence level. Modes 3 and 4, which together explained 18% of the total variance, are associated with 266 and 338-km vorticity waves, respectively. With this new information derived from the data, the [Johns, W.E., 1988. One-dimensional baroclinically unstable waves on the Gulf Stream potential vorticity gradient near Cape Hatteras. Dyn. Atmos. Oceans 11, 323-350] one-dimensional quasi-geostrophic model was applied to the interpolated mean BC-IWBC jet. The results indicated that the BC system is indeed baroclinically unstable and that the wavelengths depicted in the thermal front analysis are associated with the most unstable waves produced by the model. Growth rates were about 0.06 (0.05) days(-1) for the 266-km (338-km) wave. Moreover, phase speeds for these waves were low compared to the surface BC velocity and may account for remarks in the literature about growing standing or stationary meanders off southeast Brazil. The theoretical vertical structure modes associated with these waves resembled very closely to the one obtained for the current-meter mooring EOF analysis. We interpret this agreement as a confirmation that baroclinic instability is an important mechanism in meander growth in the BC system. (C) 2008 Elsevier B.V. All rights reserved.

Effects of tributyltin exposure in hermit crabs: Clibanarius vittatus as a model

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

Estimation of genetic parameters for partial egg production periods by means of random regression models

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Compositional analysis for an unbiased measure of soil aggregation

Soil aggregation is an index of soil structure measured by mean weight diameter (MWD) or scaling factors often interpreted as fragmentation fractal dimensions (D-f). However, the MWD provides a biased estimate of soil aggregation due to spurious correlations among aggregate-size fractions and scale-dependency. The scale-invariant D-f is based on weak assumptions to allow particle counts and sensitive to the selection of the fractal domain, and may frequently exceed a value of 3, implying that D-f is a biased estimate of aggregation. Aggregation indices based on mass may be computed without bias using compositional analysis techniques. Our objective was to elaborate compositional indices of soil aggregation and to compare them to MWD and D-f using a published dataset describing the effect of 7 cropping systems on aggregation. Six aggregate-size fractions were arranged into a sequence of D-1 balances of building blocks that portray the process of soil aggregation. Isometric log-ratios (ilrs) are scale-invariant and orthogonal log contrasts or balances that possess the Euclidean geometry necessary to compute a distance between any two aggregation states, known as the Aitchison distance (A(x,y)). Close correlations (r>0.98) were observed between MWD, D-f, and the ilr when contrasting large and small aggregate sizes. Several unbiased embedded ilrs can characterize the heterogeneous nature of soil aggregates and be related to soil properties or functions. Soil bulk density and penetrater resistance were closely related to A(x,y) with reference to bare fallow. The A(x,y) is easy to implement as unbiased index of soil aggregation using standard sieving methods and may allow comparisons between studies. (C) 2012 Elsevier B.V. All rights reserved.

Models for the analysis of growth curves for rearing tinamous (Rhynchotus rufescens) in captivity

Growth curves models provide a visual assessment of growth as a function of time, and prediction body weight at a specific age. This study aimed at estimating tinamous growth curve using different models, and at verifying their goodness of fit. A total number 11,639 weight records from 411 birds, being 6,671 from females and 3,095 from males, was analyzed. The highest estimates of a parameter were obtained using Brody (BD), von Bertalanffy (VB), Gompertz (GP,) and Logistic function (LG). Adult females were 5.7% heavier than males. The highest estimates of b parameter were obtained in the LG, GP, BID, and VB models. The estimated k parameter values in decreasing order were obtained in LG, GP, VB, and BID models. The correlation between the parameters a and k showed heavier birds are less precocious than the lighter. The estimates of intercept, linear regression coefficient, quadratic regression coefficient, and differences between quadratic coefficient of functions and estimated ties of quadratic-quadratic-quadratic segmented polynomials (QQQSP) were: 31.1732 +/- 2.41339; 3.07898 +/- 0.13287; 0.02689 +/- 0.00152; -0.05566 +/- 0.00193; 0.02349 +/- 0.00107, and 57 and 145 days, respectively. The estimated predicted mean error values (PME) of VB, GP, BID, LG, and QQQSP models were, respectively, 0.8353; 0.01715; -0.6939; -2.2453; and -0.7544%. The coefficient of determination (RI) and least square error values (MS) showed similar results. In conclusion, the VB and the QQQSP models adequately described tinamous growth. The best model to describe tinamous growth was the Gompertz model, because it presented the highest R-2 values, easiness of convergence, lower PME, and the easiness of parameter biological interpretation.

Performance of layers submitted to different forced-molting methods and different temperatures

This study was carried out to evaluate the performance and egg quality of laying hens, in their second laying cycle submitted to different forced-molting methods and three environmental temperatures. Six hundred layers were distributed in a completely randomized experimental design with 15 treatments with five replicates of eight birds each, according to 5x3 factorial arrangement (molting methods vs. temperatures). The following forced-molting methods were applied: 90%, 70%, 50% dietary alfalfa inclusion, addition of 2,800 ppm zinc, and feed fasting. Temperatures were: 20 ºC, 27 ºC and 35 ºC. At the end of each period of the second laying cycle, bird performance and egg quality were evaluated. Data were submitted to analysis of variance and means were compared by orthogonal and polynomial contrasts. The highest alfalfa inclusion level (90% alfalfa and 10% basal diet) proved to be efficient as compared to the other methods, independently of temperature.

Effects of sex and age on genotype x environment interaction for beef cattle body weight studied using reaction norm models

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Estimação de parâmetros genéticos para peso do nascimento aos 550 dias de idade para animais da raça Tabapuã utilizando-se modelos de regressão aleatória

Foram utilizados 21.762 registros de peso do nascimento aos 550 dias de idade de 4.221 animais para estimativa das funções de covariância empregando modelos de regressão aleatória. Os modelos incluíram, como aleatórios, os efeitos genéticos aditivo direto e materno, de ambiente permanente de animal e de ambiente permanente materno e, como fixos, os efeitos de grupo contemporâneo, a idade da vaca ao parto (linear e quadrático) e o polinômio ortogonal de Legendre da idade do animal (regressão cúbica), como covariáveis. As variâncias residuais foram modeladas por uma função de variâncias com ordens de 2 a 6. Análises com polinômios ortogonais de diversas ordens foram realizadas para os efeitos genético aditivo direto, genético aditivo materno, de ambiente permanente de animal e de ambiente permanente materno. Os modelos foram comparados pelos critérios de informação Bayesiano de Schwarz (BIC) e Akaike (AIC). O melhor modelo indicado por todos os critérios foi o que considerou o efeito genético aditivo direto ajustado por um polinômio cúbico, o efeito genético materno ajustado por um polinômio quadrático, o efeito de ambiente permanente de animal ajustado por polinômio quártico e o efeito de ambiente permanente materno ajustado por polinômio linear. As estimativas de herdabilidade para o efeito direto foram maiores no início e no final do período estudado, com valores de 0,28 ao nascimento, 0,21 aos 240 dias e 0,24 aos 550 dias de idade. As estimativas de herdabilidade materna foram maiores aos 160 dias de idade (0,10) que nas demais fases do crescimento. As correlações genéticas variaram de moderadas a altas, diminuindo conforme o aumento da distância entre as idades. Maior eficiência na seleção para peso pode ser obtida considerando os pesos pós-desmama, período em que as estimativas de variância genética e herdabilidade foram superiores.