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.

Search for ZZ and z gamma* production in p(p)over-bar collisions at root s=1.96 TeV and limits on anomalous ZZZ and ZZ gamma* couplings

We present a study of mu mu mu mu, eeee, and mu mu ee events using 1 fb(-1) of data collected with the D0 detector at the Fermilab Tevatron p (p) over bar Collider at root s = 1.96 TeV. Requiring the lepton pair masses to be greater than 30 GeV, we observe one event, consistent with the expected background of 0.13 +/- 0.03 events and with the predicted standard model ZZ and Z gamma(*) production of 1.71 +/- 0.15 events. We set an upper limit on the ZZ and Z gamma(*) cross section of 4.4 pb at the 95% C.L. We also derive limits on anomalous neutral trilinear ZZZ and ZZ gamma(*) gauge couplings. The one-parameter 95% C.L. coupling limits with a form-factor scale Lambda = 1.2 TeV are -0.28 < f(40)(Z)< 0.28, -0.31 < f(50)(Z)< 0.29, -0.26 < f(40)(gamma)< 0.26, and -0.30 < f(50)(gamma)< 0.28.

Curves in homogeneous spaces and their contact with 1-dimensional orbits

Let alpha be a C(infinity) curve in a homogeneous space G/H. For each point x on the curve, we consider the subspace S(k)(alpha) of the Lie algebra G of G consisting of the vectors generating a one parameter subgroup whose orbit through x has contact of order k with alpha. In this paper, we give various important properties of the sequence of subspaces G superset of S(1)(alpha) superset of S(2)(alpha) superset of S(3)(alpha) superset of ... In particular, we give a stabilization property for certain well-behaved curves. We also describe its relationship to the isotropy subgroup with respect to the contact element of order k associated with alpha.

Application of Factorial Design Experiments to the Development of a Disposable Amperometric DNA Biosensor

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Chiral parameters in a QCD-motivated model with confined and massive gluons

A one parameter model of a confined-gluon propagator has been formulated by Frank and Roberts recently, which has a great success explaining π - and p - meson observables. We show, computing few chiral parameters, that a small variation of this model considering an infrared finite gluon propagator with a dynamically generated gluon mass, can also fit data related to the chiral symmetry breaking. This allows a direct interpretation for the unique parameter involved in the model as the gluon mass scale. © 1998 Elsevier Science B.V. All rights reserved.

Avaliação da prescrição médica em pediatria, baseada nos indicadores do uso de medicamentos selecionados pela oms em municipio do interior do estado de São Paulo

The World Health Organization (WHO) recommends that prescriptions of medicaments must be one parameter utilized to know how the medication is used by people. To do so, one specific methodology has been indicated, that is, the selected indicators of the use the medicaments. We applied this methodology with the aim of presenting a descriptive study of the physician prescription in Pediatric Clinic of the Health Basics Units. The results obtained are: the average number of medicaments prescribed with prescription was 2.6; the percentage of the medicaments prescribed with the generic name was 32%; the percentage of the prescriptions with antibiotics was 44.6%; the percentage of the prescriptions with injections was 10.4%; the percentage of the medicaments prescribed that are part of the municipal list was 22.8%, 27.5% for the program Dose Certs of the secretary of the State of São Paulo, and 50.4% by adding by adding the two lists. The essentiality of the medicaments prescribed may be considered very low, because only 32.6% appear in the RENAME. The percentage of the medicaments really dispensed was 39.9%. The medicaments more prescribed, according to the classification of the Anatomic-Therapeutic-Chemical (ATC), were the ones which acted in Respiratory System (26.8%), followed by anti-infectives for systemic use (16.4%) and by medicaments with acted in Alimentary tract and metabolism (15.8%). The conclusion is that the prescribers are moved by commercial influence of the drug makers, first because of the low prescription of medicaments by their generic name, second by the low number of medicaments effectively dispensed and then the low concordance between the ones prescribed and the ones included in the lists patterned by Tabatinga and by the State of São Paulo.

Reversible Hamiltonian Liapunov center theorem

We study the existence of periodic solutions in the neighbourhood of symmetric (partially) elliptic equilibria in purely reversible Hamiltonian vector fields. These are Hamiltonian vector fields with an involutory reversing symmetry R. We contrast the cases where R acts symplectically and anti-symplectically. In case R acts anti-symplectically, generically purely imaginary eigenvalues are isolated, and the equilibrium is contained in a local two-dimensional invariant manifold containing symmetric periodic solutions encircling the equilibrium point. In case R acts symplectically, generically purely imaginary eigenvalues are doubly degenerate, and the equilibrium is contained in two two-dimensional invariant manifolds containing nonsymmetric periodic solutions encircling the equilibrium point. In addition, there exists a three-dimensional invariant surface containing a two-parameter family of symmetric periodic solutions.

Sensitivity analysis for overload-relief in transmission lines using an implicitly coupled method (CRIC)

The restructuring of energy markets to provide free access to the networks and the consequent increase of the number of power transactions has been causing congestions in transmission systems. As consequence, the networks suffer overloads in a more frequent way. One parameter that has strong influence on transfer capability is the reactive power flow. A sensitivity analysis can be used to find the best solution to minimize the reactive power flows and relief, the overload in one transmission line. The proposed methodology consists on the computation of two sensitivities based on the use of the Lc matrix from CRIC (Constant Reactive Implicitly Coupled) power flow method, that provide a set of actions to reduce the reactive power flow and alleviate overloads in the lines: (a) sensitivity between reactive power flow in lines and reactive power injections in the buses, (b) sensitivity between reactive power flow in lines and transformer's taps. © 2006 IEEE.

Generic bifurcation of refracted systems

In this article we discuss some qualitative and geometric aspects of non-smooth dynamical systems theory. Our goal is to study the diagram bifurcation of typical singularities that occur generically in one parameter families of certain piecewise smooth vector fields named Refracted Systems. Such systems has a codimension-one submanifold as its discontinuity set. © 2012 Elsevier Ltd.

Delineamento ótimos para modelos não-lineares: efeitos fixos e efeitos aleatórios

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

A influência do esgoto doméstico como fluido de saturação no colapso de um solo arenoso

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

Distribuição estatística de um indexo econômico em mercado emergente - Bolsa de valores de São Paulo (IBOVESPA)

Pós-graduação em Física - IGCE

Aplicação da função densidade de probabilidade beta no diagnóstico de defeitos de montagem em redutores de engrenagens

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Método alternativo para detecção de não conformidade em gasolina comercial brasileira do tipo C

Pós-graduação em Química - IQ

Características de féculas de tuberosas e suas relações com resistência dos géis sob condições de estresse aplicada na industrialização de alimentos

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)