Linear and non-linear transmission of equity return volatility: evidence from the US, Japan and Australia

This paper models the transmission of shocks between the US, Japanese and Australian equity markets. Tests for the existence of linear and non-linear transmission of volatility across the markets are performed using parametric and non-parametric techniques. In particular the size and sign of return innovations are important factors in determining the degree of spillovers in volatility. It is found that a multivariate asymmetric GARCH formulation can explain almost all of the non-linear causality between markets. These results have important implications for the construction of models and forecasts of international equity returns.

Non-stationary frequency analysis of extreme daily rainfall in Sao Paulo, Brazil

This work is an assessment of frequency of extreme values (EVs) of daily rainfall in the city of Sao Paulo. Brazil, over the period 1933-2005, based on the peaks-over-threshold (POT) and Generalized Pareto Distribution (GPD) approach. Usually. a GPD model is fitted to a sample of POT Values Selected With a constant threshold. However. in this work we use time-dependent thresholds, composed of relatively large p quantities (for example p of 0.97) of daily rainfall amounts computed from all available data. Samples of POT values were extracted with several Values of p. Four different GPD models (GPD-1, GPD-2, GPD-3. and GDP-4) were fitted to each one of these samples by the maximum likelihood (ML) method. The shape parameter was assumed constant for the four models, but time-varying covariates were incorporated into scale parameter of GPD-2. GPD-3, and GPD-4, describing annual cycle in GPD-2. linear trend in GPD-3, and both annual cycle and linear trend in GPD-4. The GPD-1 with constant scale and shape parameters is the simplest model. For identification of the best model among the four models WC used rescaled Akaike Information Criterion (AIC) with second-order bias correction. This criterion isolates GPD-3 as the best model, i.e. the one with positive linear trend in the scale parameter. The slope of this trend is significant compared to the null hypothesis of no trend, for about 98% confidence level. The non-parametric Mann-Kendall test also showed presence of positive trend in the annual frequency of excess over high thresholds. with p-value being virtually zero. Therefore. there is strong evidence that high quantiles of daily rainfall in the city of Sao Paulo have been increasing in magnitude and frequency over time. For example. 0.99 quantiles of daily rainfall amount have increased by about 40 mm between 1933 and 2005. Copyright (C) 2008 Royal Meteorological Society

Prevendo a volatilidade realizada de ações brasileiras : evidências empíricas

Este estudo compara previsões de volatilidade de sete ações negociadas na Bovespa usando 02 diferentes modelos de volatilidade realizada e 03 de volatilidade condicional. A intenção é encontrar evidências empíricas quanto à diferença de resultados que são alcançados quando se usa modelos de volatilidade realizada e de volatilidade condicional para prever a volatilidade de ações no Brasil. O período analisado vai de 01 de Novembro de 2007 a 30 de Março de 2011. A amostra inclui dados intradiários de 5 minutos. Os estimadores de volatilidade realizada que serão considerados neste estudo são o Bi-Power Variation (BPVar), desenvolvido por Barndorff-Nielsen e Shephard (2004b), e o Realized Outlyingness Weighted Variation (ROWVar), proposto por Boudt, Croux e Laurent (2008a). Ambos são estimadores não paramétricos, e são robustos a jumps. As previsões de volatilidade realizada foram feitas através de modelos autoregressivos estimados para cada ação sobre as séries de volatilidade estimadas. Os modelos de variância condicional considerados aqui serão o GARCH(1,1), o GJR (1,1), que tem assimetrias em sua construção, e o FIGARCH-CHUNG (1,d,1), que tem memória longa. A amostra foi divida em duas; uma para o período de estimação de 01 de Novembro de 2007 a 30 de Dezembro de 2010 (779 dias de negociação) e uma para o período de validação de 03 de Janeiro de 2011 a 31 de Março de 2011 (61 dias de negociação). As previsões fora da amostra foram feitas para 1 dia a frente, e os modelos foram reestimados a cada passo, incluindo uma variável a mais na amostra depois de cada previsão. As previsões serão comparadas através do teste Diebold-Mariano e através de regressões da variância ex-post contra uma constante e a previsão. Além disto, o estudo também apresentará algumas estatísticas descritivas sobre as séries de volatilidade estimadas e sobre os erros de previsão.

Os efeitos das reclamações online na lealdade dos consumidores: um estudo experimental

In an environment of constant change, technological developments, market competition and more informed consumers, the search for a lasting relationship through the conquest of loyalty has become the objective of companies. However, several authors suggest that this loyalty can be affected by negative comments available on the internet. Therefore, this dissertation has as objective to examine if the complaints are available on the internet impact the loyalty to a brand of mobile phone. The research used as the basis the Expanded NCSB model suggest by Johnson et al. (2001), studying five prominent drives of loyalty: image/brand reputation, affective commitment, calculative commitment, perceived value and trust, beyond the satisfaction construct as moderator variable. The research method adopted was the experimental design which included 285 undergraduate students, with the trial which included 285 undergraduate students, with the field study of the mobile industry, specifically, the brands of cell phones. The research approach was quantitative and methods were descriptive statistics, factor analysis, cluster analysis, linear regression and non-parametric test of Wilcoxon for data analysis. Of the 16 hypothesis stemmed from the research model proposed, 12 were confirmed. The results showed that the complaint available on the internet, here represented by the available on the site Reclame Aqui, may impact consumer perceptions about brand loyalty, as well as its antecedents, being that these complaints can affect all the consumers, regardless of historical satisfaction with the brand. It also noted the positive relationship between the independent variables trust, image/brand reputation, perceived value, affective commitment and calculative commitment and the dependent variable - loyalty, even when considering the data obtained after exposure to the complaint. However, no unanimous conclusion that the relationship between these variables was strongest in the group with satisfactory experience. At the first moment of the research, the trust was the most important variable for the formation of loyalty. However, after exposure to treatment, the image/brand reputation, was more relevant. Contributions of the study, limitations and recommendations for future researches are approached in the present investigation

Effect of oral hygiene education and motivation on removable partial denture wearers: longitudinal study

The purpose of this study was to determine the effect of two different preventive oral hygiene education and motivation programmes on the plaque and gingival index, as well as denture hygiene of patients provided with removable partial denture (RPD) during a 12-month follow-up.A total of 53 partially edentulous patients were recruited for this study. The presence or absence of plaque and gingival bleeding by gentle probing was scored on all tooth surfaces at the preliminary visit. The plaque and gingival indexes were measured using the Loe index. Following treatment, the patients were randomly divided into three groups. In Control Group I, subjects were instructed to continue their personal oral hygiene routine. In Group II, participants were given verbal instructions and a self-educational manual on oral hygiene without illustrations. In Group III, oral hygiene guidance was delivered using a combination of verbal instructions and a self-teaching manual. To evaluate the effect of the different modes of instruction, the presence or absence of plaque and gingival bleeding was scored on all tooth surfaces (day zero examination) and re-examined 7, 15 and 30 days, 3, 6 and 12 months following RPD placement. The state of denture hygiene was evaluated 7, 15 and 30 days and 3, 6 and 12 months following rehabilitation. Parametric statistics was applied to dental plaque and gingival indexes. For accumulation of plaque and calculus on the RPD, non-parametric statistic was applied.The frequency of plaque found during the preliminary visit was higher than that found in the other periods. With regard to gingival index, significant difference was found between the preliminary visit examination and other periods. There was a significant difference in the plaque accumulation on the denture surface between groups I and III.The different methods of oral hygiene instruction used in this study indicate that the type of education was not of significant importance.

Non-stationary frequency analysis of extreme daily rainfall in São Paulo, Brazil

This work is an assessment of frequency of extreme values (EVs) of daily rainfall in the city of São Paulo. Brazil, over the period 1933-2005, based on the peaks-over-threshold (POT) and Generalized Pareto Distribution (GPD) approach. Usually. a GPD model is fitted to a sample of POT Values Selected With a constant threshold. However. in this work we use time-dependent thresholds, composed of relatively large p quantities (for example p of 0.97) of daily rainfall amounts computed from all available data. Samples of POT values were extracted with several Values of p. Four different GPD models (GPD-1, GPD-2, GPD-3. and GDP-4) were fitted to each one of these samples by the maximum likelihood (ML) method. The shape parameter was assumed constant for the four models, but time-varying covariates were incorporated into scale parameter of GPD-2. GPD-3, and GPD-4, describing annual cycle in GPD-2. linear trend in GPD-3, and both annual cycle and linear trend in GPD-4. The GPD-1 with constant scale and shape parameters is the simplest model. For identification of the best model among the four models WC used rescaled Akaike Information Criterion (AIC) with second-order bias correction. This criterion isolates GPD-3 as the best model, i.e. the one with positive linear trend in the scale parameter. The slope of this trend is significant compared to the null hypothesis of no trend, for about 98% confidence level. The non-parametric Mann-Kendall test also showed presence of positive trend in the annual frequency of excess over high thresholds. with p-value being virtually zero. Therefore. there is strong evidence that high quantiles of daily rainfall in the city of São Paulo have been increasing in magnitude and frequency over time. For example. 0.99 quantiles of daily rainfall amount have increased by about 40 mm between 1933 and 2005. Copyright (C) 2008 Royal Meteorological Society

Intelligence functions disorders in patients with complex partial epilepsy

Objective: To compare the performance of patients with complex partial epilepsy with the normal controls in the subtests of an instrument used to assess intelligence function. Method: Fifty epileptic patients, whose ages ranged from 19 to 49 years and 20 normal controls without any neuropsychiatric disorders. The Wechsler-Bellevue adult intelligence test was applied in groups, epileptic patients and control subjects. This test is composed of several subtests that assess specific cognitive functions. A statistical analysis was performed using non-parametric tests. Results: All the Wechsler-Bellevue subtests revealed that the intelligence functions of the patients were significantly inferior to that of the controls (p<0.05). This performance was supported by the patient's complaints in relation to their cognitive performance. Conclusion: Patients with complex partial epilepsy presented poorer results in the intelligence test when compared with individuals without neuropsychiatric disorders.

Progression of liver fibrosis in blood donors infected with hepatitis C virus

Background/Aims. Chronic hepatitis by HCV is progressive towards cirrhosis, with variable rate. We evaluated the rate of fibrosis progression (RFP), risk factors associated with advanced fibrosis (F3 and F4), and estimated the evolution time to cirrhosis. Methods. We transversely selected 142 blood donors infected only with HCV, with a known route of infection, submitted to liver biopsy at admission. RFP= ratio between stage of fibrosis (METAVIR)/estimated duration of infection in years. Non-parametric tests and logistic regression analysis, with significance level of 5% were used. Results. Median RFP was 0.086 U/year (0.05 - 0.142). Ten patients had F4 and 25 had F3. Median RFP values were significantly different (p=0.001) from one age group at contamination to the others and ALT and AST levels. There were no differences in the expected evolution to cirrhosis between intermediate fibrosers (F2) and the rapid fibrosers (F3 and F4). The independent variables associated with advanced fibrosis were ALT (OR 7.2) and GGT (OR 6.4) and age at inclusion (OR 1.12). Conclusion. This study suggests that RFP is extremely variable, it is exponential with age, and mainly influenced by host characteristics, especially age at contamination and possibly ethnical group. These asymptomatic patients had high percentage of fibrosis F2, F3 and F4.

Aplicação da Geoestatística Não-paramétrica para a compartimentação geomecânica de uma extensão típica do túnel do metrô - Linha 4, da cidade de São Paulo

In view of the limited number of drill holes, interpolation of the data becomes a relatively complex task. In this study, we sought to make estimates associated with lithological types, since a quantification based on lithology can be extracted from the empty spaces in the sampling. For example, QBarton is always below the median of the biotitic litotype, information which can be used in the elaboration of geostatistical models in situations where samples are lacking. To overcome bias in the data, required by geostatistical conceptualization, we worked with the residuals obtained from the adjustment of a surface and the observed values, for the variographic analysis. The final results made possible a more optimized evaluation of the final costs required for the construction project.

SEM analysis of the in situ early bacterial colonization on two novel feldspathic ceramics submitted to different types of glazing

Aim: The aim of this study was to evaluate in situ, the early bacterial colonization on feldspar-ceramics submitted to different glazing. Methods and Materials: Fourteen standardized disc specimens (diameter: 5 mm, thickness: 1.5 mm) of each of two micro-particulate feldspathic ceramics (VM7 and VM13, Vita) were produced according to manufacturers' specifications for a total of 28 specimens (24 for the analysis of biofilm and 4 for topographic analysis analyzing the ceramic surfaces). Specimens from each type of ceramic were submitted to two different glazing methods composing four groups: VM7 glazed using glazing liquid Vita Akzent® 25 (G1) and glaze firing (G2), VM13 glazed using glazing liquid (G3) and glaze firing (G4). Six individuals (n=6) wore oral appliances with four ceramic specimens, fixed on the buccal face of the appliances. After 8 hours, each sample was evaluated for the presence (1) or absence (0) of bacterial colonization under a scanning electron microscope (SEM) on five randomly selected fields. The value for each sample was cumulative of the results observed in the fields. One sample from each group was evaluated under a SEM to verify the topographic pattern. Results: There was no difference with regard to bacterial colonization between the feldspar-ceramics and between the glazing types (Kruskal-Wallis non-parametric test). Conclusion: Feldspar-ceramics submitted to firing or glaze firing with Vita Akzent® 25 present a similar condition for in situ bacterial colonization. The similar topographic pattern of the ceramic surfaces seems to have influenced the bacterial colonization.

Absence motivated by illness: A non-concurrent prospective study of physical education teachers in the municipal education system of the city of Campinas, São Paulo, Brazil

The object of this investigation was to identify and analize aspects of the health status related to absenteism in physical education teachers in the municipal education system of the city of Campinas, Brazil, as related to the medical leave program. The non-concurrent prospective study was accomplished by means of a comparison with teachers who work only in the classroom, refering to a three year period. In the variables of greatest interest, the Pearson non-parametric chi-square (X2) statistical test was adopted. Calculations of relative risk and level of confidence were made using the Epi-info computer program. Significant differences were observed in the following diagnostic groups favoring the not exposed group: i) Supplementary Classification of factors that exercise influence over the health status and access to health services and ii) Digestive system illness; while the physical education teachers showed a significant difference in: i) diseases of the musculoskeletal and connective tissue system and ii) Injuries and poisoing. Possible explications for some of the adverse effects as well as the protective ones that were observed include physical activity as a way of life along with being a physical education teacher and on the other side, peculiar behavior of epidemiological descriptive characteristics, like sex and age, within the socio-economic context of the country. © Copyright Moreira Jr. Editora.

The use of surface electromyography for the study of auricular acupuncture

The advancement of knowledge in neurophysiology has demonstrated that acupuncture is a method of peripheral neural stimulation that promotes local and systemic reflexive responses. The purpose of this study was to determine if surface electromyography can be used as a tool to study the action of auricular acupuncture on striated skeletal muscle. The electromyographic amplitudes of the anterior, middle and posterior deltoid muscle and the upper trapezium muscle with 20%, 40% and 60% of maximal voluntary contraction of 15 healthy volunteers, were analyzed after the individuals were submitted to the auricular acupuncture treatment. The non-parametric Friedman test was used to compare Root Mean Square values estimated by using a 200 ms moving window. Significant results were further analyzed using the Wilcoxon signed rank test. In this exploratory study, the level of significance of each comparison was set to p < 0.05. It was concluded in this study that a surface electromyography can be used as a tool to investigate possible alterations of electrical activity in muscles after auricular acupuncture. However there is still a lack of adequate methodology for its use in this type of study, being that the method used to record the electromyographic signal can also influence the results. © 2008 Elsevier Ltd. All rights reserved.

The influence of the flexibility of the chair seat on pressure peak and distribution of the contact area in individuals with cerebral palsy during the execution of a task

This study aimed to determine the influence of flexibility of the chair seat surface on the pressure peak and on the contact area during the execution of a task of handling an object on the seated position by individuals with spastic cerebral palsy. Ten individuals of both genders with diagnosis of spastic cerebral palsy, who had some control to voluntarily move the body and the upper limbs, participated in this study. Quantification of data was carried out in two experimental situations: (1) execution of a task of fitting with upper limbs, and with the individual placed on an adapted canvas seat; (2) execution of a task of fitting with the participant positioned on an adapted wooden seat. Data obtained were submitted to a non-parametric and descriptive statistical analysis using the Wilcoxon test. Results indicated that the use of canvas seat increased the contact area and decreased the pressure peak and the medio-lateral displacement of centre pressure on the seated posture. © 2011 Informa UK, Ltd.

Ictiofauna de riachos na planície costeira da bacia do rio Itanhaém, litorial sul de São Paulo

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Aplicação do Modelo Transteórico de Mudança de Comportamento para o estudo do comportamento informacional de usuários de informação financeira pessoal

Pós-graduação em Ciência da Informação - FFC