Computationally Efficient Bootstrap Prediction Intervals for Returns and Volatilities in ARCH and GARCH Processes

We propose a novel, simple, efficient and distribution-free re-sampling technique for developing prediction intervals for returns and volatilities following ARCH/GARCH models. In particular, our key idea is to employ a Box–Jenkins linear representation of an ARCH/GARCH equation and then to adapt a sieve bootstrap procedure to the nonlinear GARCH framework. Our simulation studies indicate that the new re-sampling method provides sharp and well calibrated prediction intervals for both returns and volatilities while reducing computational costs by up to 100 times, compared to other available re-sampling techniques for ARCH/GARCH models. The proposed procedure is illustrated by an application to Yen/U.S. dollar daily exchange rate data.

Synthesis and Characterization of Novel Spiro-Starburst-Structures as Blue Light Emitters and Zeolites

Spiro-starburst-structures with symmetric globular structures in forms of first and second generations that readily form stable amorphous glasses have been synthesized and then characterised in this work. During the synthesis of these materials, possibilities of the extension of the chains of the phenyl rings in 2,2’,7 and 7’-positions of the central core of the spirobifluorene as well as the 2’,7 and 7’-positions of the terminal spirobifluorene units of the spiro-starburst-structures have been investigated so that solubilities and morphologies of the compounds are not negatively influenced. Their morphological properties have been explored by recording their decomposition temperature and glass transition temperature. These compounds possessing two perpendicular arrangement of the two molecular halves show high glass transition temperature (Tg), which is one of the most important parameter indicating the stability of the amorphous state of the material for optoelectronic devices like organic light emitting diodes. Within the species of second generation compounds, for example, 4-spiro3 shows the highest Tg (330 °C) and the highest branching degree. When one [4B(SBF)SBF-SBF 84] or two [4SBFSBF-SBF 79] terminal spirobifluorene units are removed, the Tg decreases to 318 °C and 307 °C respectively. Photo absorption and fluorescence spectra and cyclic voltammetry measurements are taken in account to characterize the optoelectronic properties of the compounds. Spiro-starburst-structures emit radiation in the blue region of the visible spectrum. The peak maxima of absorption and emission spectra are observed to be at higher wavelength in the molecules with longer chromophore chains than in the molecules with shorter chromophore chains. Excitation spectra are monitored with their emission peak maxima. The increasing absorbing species in molecule leads to increasing molar extinction coefficient. In the case of 4B(TP)SBF-SBF 53 and 4B(SBF)SBF-SBF 84, the greater values of the molar extinction coefficients (43*104 and 44*104 L mol-1 cm-1 respectively) are the evidences of the presence of four times octiphenyl conjugation rings and eight times terminal fluorene units respectively. The optical properties of solid states of these compounds in the form of thin film indicate that the intermolecular interaction and aggregation of individual molecules in neat amorphous films are effectively hindered by their sterically demanding structures. Accordingly, in solid state, they behave like isolated molecules in highly dilute solution. Cyclic voltammetry measurements of these compounds show electrochemically reversibility and stability. Furthermore, the zeolitic nature (host-guest) of the molecular sieve of the synthesized spiro-starburst-structures has been analysed by thermogravimetric analysis method.

Simultaneous Drying and Separation of Composite Agricultural Material for Hay Processing

In composite agricultural materials such as grass, tee, medicinal plants; leaves and stems have a different drying time. By this behavior, after leaving the dryer, the stems may have greater moisture content than desired, while the leaves one minor, which can cause either the appearance of fungi or the collapse of the over-dried material. Taking into account that a lot of grass is dehydrated in forced air dryers, especially rotary drum dryers, this research was developed in order to establish conditions enabling to make a separation of the components during the drying process in order to provide a homogeneous product at the end. For this, a rotary dryer consisting of three concentric cylinders and a circular sieve aligned with the more internal cylinder was proposed; so that, once material enters into the dryer in the area of the inner cylinder, stems pass through sieve to the middle and then continue towards the external cylinder, while the leaves continue by the inner cylinder. For this project, a mixture of Ryegrass and White Clover was used. The characteristics of the components of a mixture were: Drying Rate in thin layer and in rotation, Bulk density, Projected Area, Terminal velocity, weight/Area Ratio, Flux through Rotary sieve. Three drying temperatures; 40°C, 60° C and 80° C, and three rotation speeds; 10 rpm, 20 rpm and 40 rpm were evaluated. It was found that the differences in drying time are the less at 80 °C when the dryer rotates at 40 rpm. Above this speed, the material adheres to the walls of the dryer or sieve and does not flow. According to the measurements of terminal velocity of stems and leaves of the components of the mixture, the speed of the air should be less than 1.5 m s-1 in the inner drum for the leaves and less than 4.5 m s-1 in middle and outer drums for stems, in such way that only the rotational movement of the dryer moves the material and achieves a greater residence time. In other hand, the best rotary sieve separation efficiencies were achieved when the material is dry, but the results are good in all the moisture contents. The best rotary speed of sieve is within the critical rotational speed, i.e. 20 rpm. However, the rotational speed of the dryer, including the sieve in line with the inner cylinder should be 10 rpm or less in order to achieve the greatest residence times of the material inside the dryer and the best agitation through the use of lifting flights. With a finite element analysis of a dryer prototype, using an air flow allowing speeds of air already stated, I was found that the best performance occurs when, through a cover, air enters the dryer front of the Middle cylinder and when the inner cylinder is formed in its entirety through a sieve. This way, air flows in almost equal amounts by both the middle and external cylinders, while part of the air in the Middle cylinder passes through the sieve towards the inner cylinder. With this, leaves do not adhere to the sieve and flow along drier, thanks to the rotating movement of the drums and the showering caused by the lifting flights. In these conditions, the differences in drying time are reduced to 60 minutes, but the residence time is higher for the stems than for leaves, therefore the components of the mixture of grass run out of the dryer with the same desired moisture content.

Katalizatory złotowo-miedziowe na nośnikach cerowych, cyrkonowych i cerowo-cyrkonowych – preparatyka, charakterystyka i zastosowanie w procesach utleniania

Wydział Chemii

Mersenne numbers

These notes have been issued on a small scale in 1983 and 1987 and on request at other times. This issue follows two items of news. First, WaIter Colquitt and Luther Welsh found the 'missed' Mersenne prime M110503 and advanced the frontier of complete Mp-testing to 139,267. In so doing, they terminated Slowinski's significant string of four consecutive Mersenne primes. Secondly, a team of five established a non-Mersenne number as the largest known prime. This result terminated the 1952-89 reign of Mersenne primes. All the original Mersenne numbers with p < 258 were factorised some time ago. The Sandia Laboratories team of Davis, Holdridge & Simmons with some little assistance from a CRAY machine cracked M211 in 1983 and M251 in 1984. They contributed their results to the 'Cunningham Project', care of Sam Wagstaff. That project is now moving apace thanks to developments in technology, factorisation and primality testing. New levels of computer power and new computer architectures motivated by the open-ended promise of parallelism are now available. Once again, the suppliers may be offering free buildings with the computer. However, the Sandia '84 CRAY-l implementation of the quadratic-sieve method is now outpowered by the number-field sieve technique. This is deployed on either purpose-built hardware or large syndicates, even distributed world-wide, of collaborating standard processors. New factorisation techniques of both special and general applicability have been defined and deployed. The elliptic-curve method finds large factors with helpful properties while the number-field sieve approach is breaking down composites with over one hundred digits. The material is updated on an occasional basis to follow the latest developments in primality-testing large Mp and factorising smaller Mp; all dates derive from the published literature or referenced private communications. Minor corrections, additions and changes merely advance the issue number after the decimal point. The reader is invited to report any errors and omissions that have escaped the proof-reading, to answer the unresolved questions noted and to suggest additional material associated with this subject.

Effects of host plant drought stress on the performance of the bird cherry-oat aphid, Rhopalosiphum padi (L.): a mechanistic analysis

1. The growth (increase in height and leaf number) of four grass species was reduced by a -0.5 MPa drought stress, but the performance of an associated herbivore, Rhopalosiphum padi (L.), was not affected consistently. The intrinsic rate of increase of R. padi was reduced by drought stress on three grass species, including Dactylis glomerata (L.), but was unaffected on Arrhenatherum elatius (L.). Therefore, there is no general relationship in the effect of plant drought on an insect herbivore, even among closely related host plant species. 2. Drought stress increased the quality of plant phloem sap, as indicated by increased sieve element osmotic pressure and essential amino acid concentrations. Thus, diet quality could not account for the reduced performance of R. padi under drought stress. The concentration of essential amino acids in the phloem of well-watered A. elatius was, however, lower than that of well-watered D. glomerata, correlating with the decreased performance of aphids on well-watered A. elatius. 3. There were no differences in aphid feeding duration between watering treatments or plant species but sap ingestion rates were reduced significantly under drought stress. 4. Using the measure of dietary amino acid concentrations and the estimate of sap ingestion, the essential amino acid flux through aphids was calculated. Compared with the flux through aphids feeding on well-watered D. glomerata, there was a reduction in aphids feeding on drought-stressed D. glomerata and drought-stressed A. elatius due to lower sap ingestion rates. The flux through aphids on well-watered A. elatius was also reduced due to low phloem essential amino acid concentrations. Thus, the performance of an aphid is correlated with the availability and accessibility of essential amino acids.

A simple and rapid method for preserving RNA of aquatic invertebrates for ecotoxicogenomics

Here we describe a novel, inexpensive and simple method for preserving RNA that reduces handling stress in aquatic invertebrates following ecotoxicogenomic experimentation. The application of the method is based on transcriptomic experiments conducted on Daphnia magna, but may easily be applied on a range of other aquatic organisms of a particular size with e.g. amphipod Gammarus pulex representing an upper size limit. We explain in detail how to apply this new method, named the "Cylindrical Sieve (CS) system", and highlight its advantages and disadvantages.

An improved methodology for the recovery of Zea mays and other large crop pollen, with implications for environmental archaeology in the Neotropics

We present a simple sieving methodology to aid the recovery of large cultigen pollen grains, such as maize (Zea mays L.), manioc (Manihot esculenta Crantz), and sweet potato (Ipomoea batatas L.), among others, for the detection of food production using fossil pollen analysis of lake sediments in the tropical Americas. The new methodology was tested on three large study lakes located next to known and/or excavated pre-Columbian archaeological sites in South and Central America. Five paired samples, one treated by sieving, the other prepared using standard methodology, were compared for each of the three sites. Using the new methodology, chemically digested sediment samples were passed through a 53 µm sieve, and the residue was retained, mounted in silicone oil, and counted for large cultigen pollen grains. The filtrate was mounted and analysed for pollen according to standard palynological procedures. Zea mays (L.) was recovered from the sediments of all three study lakes using the sieving technique, where no cultigen pollen had been previously recorded using the standard methodology. Confidence intervals demonstrate there is no significant difference in pollen assemblages between the sieved versus unsieved samples. Equal numbers of exotic Lycopodium spores added to both the filtrate and residue of the sieved samples allow for direct comparison of cultigen pollen abundance with the standard terrestrial pollen count. Our technique enables the isolation and rapid scanning for maize and other cultigen pollen in lake sediments, which, in conjunction with charcoal and pollen records, is key to determining land-use patterns and the environmental impact of pre-Columbian societies.

Cacao swollen shoot virus in Nigeria: analysis of a pathogen and its vectors

Cacao swollen shoot virus (CSSV) causes the Cacao swollen shoot virus disease (CSSVD) and significantly reduces production in West African cacao. This study characterised the current status of the disease in the major cacao growing States in Nigeria and attempted a clarification on the manner of CSSV transmission. Two separate field surveys and sample collections were conducted in Nigeria in summer 2012 and spring 2013. PCR-based screening of cacao leaf samples and subsequent DNA sequencing showed that the disease continues to persist in Ondo and Oyo States and in new cacao sites in Abia, Akwa Ibom, Cross River and Edo States. Mealybug samples collected were identified using a robust approach involving environmental scanning electron microscopy, histology and DNA barcoding, which highlighted the importance of integrative taxonomy in the study. The results show that the genus Planococcus (Planococcus citri (Risso) and/or Planococcus minor (Maskell)) was the most abundant vector (73.5%) at the sites examined followed by Formicococcus njalensis (Laing) (19.0 %). In a laboratory study, the feeding behaviour of Pl. citri, Pseudococcus longispinus (Targioni-Tozzetti) and Pseudococcus viburni (Signoret) on cacao were investigated using electrical penetration graph (EPG) analysis. EPG waveforms reflecting intercellular stylet penetration (C), extracellular salivation (E1e), salivation in sieve elements (E1), phloem ingestion (E2), derailed stylet mechanics (F), xylem ingestion (G) and non-probing phase (Np) were analysed. Individual mealybugs exhibited marked variation within species and significantly differed (p ≤ .05) between species for E1e and E1. PCR-based assessments of the retention time for CSSV in viruliferous Pl. citri, Ps. longispinus and Ps. viburni fed on a non-cacao diet showed that CSSV was still detectable after 144 hours. These unusually long durations for a pathogen currently classified as a semi-persistent virus have implications for the design of non-malvaceous barrier crops currently being considered for the protection of new cacao plantings.

The rise and evolution of the cambial variant in Bignonieae (Bignoniaceae)

Cambial variants represent a form of secondary growth that creates great stem anatomical diversity in lianas. Despite the importance of cambial variants, nothing is known about the developmental mechanisms that may have led to the current diversity seen in these stems. Here, a thorough anatomical analysis of all genera along the phylogeny of Bignonieae (Bignoniaceae) was carried out in order to detect when in their ontogeny and phylogeny there were shifts leading to different stem anatomical patterns. We found that all species depart from a common developmental basis, with a continuous, regularly growing cambium. Initial development is then followed by the modification of four equidistant portions of the cambium that reduce the production of xylem and increase the production of phloem, the former with much larger sieve tubes and an extended lifespan. In most species, the formerly continuous cambium becomes disjunct, with cambial portions within phloem wedges and cambial portions between them. Other anatomical modifications such as the formation of multiples of four phloem wedges, multiple-dissected phloem wedges, and included phloem wedges take place thereafter. The fact that each novel trait raised on the ontogenetic trajectory appeared in subsequently more recent ancestors on the phylogeny suggests a recapitulatory history. This recapitulation is, however, caused by the terminal addition of evolutionary novelties rather than a truly heterochronic process. Truly heterochronic processes were only found in shrubby species, which resemble juveniles of their ancestors, as a result of a decelerated phloem formation by the variant cambia. In addition, the modular evolution of phloem and xylem in Bignonieae seems to indicate that stem anatomical modifications in this group occurred at the level of cambial initials.

Filtragem de informações no ambiente do Direito

Os Sistemas de Recuperação de Informações (SRI) computadorizados são sistemas capazes de armazenar, recuperar e manter informações, visando minimizar o esforço humano na realização de tais atividades. A classificação de textos é um subdomínio dos sistemas de recuperação de informações que tem como objetivo classificar um texto em uma ou mais categorias existentes. Pode ser utilizada na classificação de mensagens, notícias e documentos, na filtragem de informações, na sumarização de textos, além de auxiliar profissionais na execução destas tarefas. A filtragem automatizada das mensagens de correio eletrônico é uma forma de organizar o trabalho do usuário. O volume de informações divulgadas através deste serviço torna fundamental um sistema de filtros para melhor uso do serviço. Sieve é uma proposta para padrão de linguagens de filtro de mensagens. O Direto é um software de correio, agenda e catálogo corporativos que visa atender todo Governo do Estado do Rio Grande do Sul. Foi desenvolvido na PROCERGS, Companhia de Processamento de Dados do Estado do Rio Grande do Sul, utilizando a linguagem Java e utiliza os serviços de IMAP, SMTP, LDAP e SGBD. Está disponível com licença de software livre. O objetivo deste trabalho é aplicar técnicas de filtragem no Direto. O trabalho apresenta uma solução para filtrar as mensagens de correio do Direto utilizando Sieve. Também é especificado um serviço de canais de informação que visa divulgar informações de forma eficiente no Estado. Este serviço possui vários canais, cada um destinado a divulgar informações de determinado domínio. O usuário assina os canais que desejar e pode criar filtros para melhor refinamento das informações que deseja receber. Os filtros utilizam técnicas de classificação de textos no processo de filtragem.

A (semi-)parametric functional coefficient autoregressive conditional duration model

In this paper, we propose a class of ACD-type models that accommodates overdispersion, intermittent dynamics, multiple regimes, and sign and size asymmetries in financial durations. In particular, our functional coefficient autoregressive conditional duration (FC-ACD) model relies on a smooth-transition autoregressive specification. The motivation lies on the fact that the latter yields a universal approximation if one lets the number of regimes grows without bound. After establishing that the sufficient conditions for strict stationarity do not exclude explosive regimes, we address model identifiability as well as the existence, consistency, and asymptotic normality of the quasi-maximum likelihood (QML) estimator for the FC-ACD model with a fixed number of regimes. In addition, we also discuss how to consistently estimate using a sieve approach a semiparametric variant of the FC-ACD model that takes the number of regimes to infinity. An empirical illustration indicates that our functional coefficient model is flexible enough to model IBM price durations.

Síntese, caracterização e estudo da regeneração do silicoaluminofosfato-11 (SAPO-11)

heterogeneous catalyst such as a silicoaluminophosphate, molecular sieve with AEL (Aluminophosphate eleven) structure such as SAPO-11, was synthesized through the hydrothermal method starting from silica, pseudoboehmite, orthophosphoric acid (85%) and water, in the presence of a di-isopropylamine organic template. For the preparation of SAPO-11 in a dry basis it was used as reactants: DIPA; H3PO4; SiO4; Pseudoboehmite and distilled water. The crystallization process occurred when the reactive hydrogel was charged into a vessel and autoclaved at 200ºC for a period of 72 hours under autogeneous pressure. The obtained material was washed, dried and calcined to remove the molecular sieves of DIPA. The samples were characterized by X-ray diffraction (XRD), scanning electron microscopy (SEM), infrared spectroscopy (FT-IR), nitrogen adsorption (BET) and thermal analysis (TG/DTG). The acidic properties were determined using adsorption of nbutylamine followed by programmed thermodessorption. This method revealed that SAPO-11 shows an acidity that ranges from weak to moderate. However, a small quantity of strong acid sites could be detected there. The deactivation of the catalysts was conducted by artificial coking followed by the cracking of the n-hexane in a fixed bed with a continuous flow micro-reactor coupled on line to a gas chromatograph. The main products obtained were: ethane, propane, isobutene, n-butane, n-pentane and isopentane. The Vyazovkin (model-free) kinetics method was used to determine the regeneration and removal of the coke

Análise do comportamento reológico de pastas de cimento contendo resíduos de pneu para poços de petróleo

The low tenacity presented by the Portland cement pastes used in the oil wells cementation has been motivating several researches with attention focused on alternative materials. Additives have been developed to generate flexible pastes with mechanical resistance capable to support the expansions and retractions of the metallic covering of the wells that submit to the steam injection, technique very used to increase the recovery factor in oil reservoirs with high viscosity. A fresh paste with inadequate rheological behavior may commit the cementation process seriously, involving flaws that affect the performance of the paste substantially in the hardened state. This work proposes the elaboration and the rheological analysis of Portland cement pastes with addition of residues of rubber tire in several proportions, with the aim of minimizing the damages provoked in the hem cementing of these wells. By thermogravimetric analysis, the particles of eraser that go by the sieve of 0,5mm (35 mesh) opening and treated superficially with NaOH solution of 1 mol/L presented appropriate thermal resistance for wells that submit to thermal cyclic. The evaluation of the study based on the results of the rheological analysis of the pastes, complemented by the mechanical analysis, thickening, stability, tenor of free water and filtrate loss, being used as parameter a paste reference, without rubber addition. The results showed satisfactory rheology, passive of few corrections; considerable loss of mechanical resistance (traction and compression), compensated by earnings of tenacity, however with established limits for its application in oil wells; satisfactory stability, free water and thickening time

Síntese e impregnação de peneiras moleculares Fe MCM-41 derivada de sílica da casca do arroz

The mesoporous molecular sieves of the MCM-41 and FeMCM-41 type are considered promissory as support for metals used as catalysts in oil-based materials refine processes and as adsorbents for environmental protection proposes. In this work MCM-41 and FeMCM41 were synthesized using rice husk ash - RHA as alternative to the conventional silica source. Hydrothermal synthesis was the method chosen to prepare the materials. Pre-defined synthesis parameters were 100°C for 168 hours, later the precursor was calcinated at 550°C for 2 hours under nitrogen and air flow. The sieves containing different proportions of iron were produced by two routes: introduction of iron salt direct synthesis; and a modification post synthesis consisting in iron salt 1 % and 5% impregnation in the material followed by thermal decomposition. The molecular sieves were characterized by X ray diffraction XRD, Fourier transform infrared spectroscopy FT-IR, X ray fluorescence spectroscopy XFR, scanning electronic microscopy SEM, specific surface area using the BET method, Termogravimetry TG. The kinetic model of Flynn Wall was used with the aim of determining the apparent activation energy of the surfactant remove (CTMABr) in the MCM- 41 porous. The analysis made possible the morphology characterization, identifying the presence of hexagonal structure typical for mesoporous materials, as well as observation of the MCM41 and iron of characteristic bands.