Tests of Conditional Asset Pricing Models in the Brazilian Stock Market

In this paper, we test a version of the conditional CAPM with respect to a local market portfolio, proxied by the Brazilian stock index during the 1976-1992 period. We also test a conditional APT model by using the difference between the 30-day rate (Cdb) and the overnight rate as a second factor in addition to the market portfolio in order to capture the large inflation risk present during this period. The conditional CAPM and APT models are estimated by the Generalized Method of Moments (GMM) and tested on a set of size portfolios created from a total of 25 securities exchanged on the Brazilian markets. The inclusion of this second factor proves to be crucial for the appropriate pricing of the portfolios.

Tests of Conditional Asset Pricing Models in the Brazilian Stock Market

In this paper, we test a version of the conditional CAPM with respect to a local market portfolio, proxied by the Brazilian stock index during the 1976-1992 period. We also test a conditional APT model by using the difference between the 30-day rate (Cdb) and the overnight rate as a second factor in addition to the market portfolio in order to capture the large inflation risk present during this period. the conditional CAPM and APT models are estimated by the Generalized Method of Moments (GMM) and tested on a set of size portfolios created from a total of 25 securities exchanged on the Brazilian markets. the inclusion of this second factor proves to be crucial for the appropriate pricing of the portfolios.

Tests of conditional asset pricing models in the brazilian stock market

In this paper, we test a version of the conditional CAPM with respect to a local market portfolio, proxied by the Brazilian stock index during the period 1976-1992. We also test a conditional APT modeI by using the difference between the 3-day rate (Cdb) and the overnight rate as a second factor in addition to the market portfolio in order to capture the large inflation risk present during this period. The conditional CAPM and APT models are estimated by the Generalized Method of Moments (GMM) and tested on a set of size portfolios created from individual securities exchanged on the Brazilian markets. The inclusion of this second factor proves to be important for the appropriate pricing of the portfolios.

The Conditional Autonomy of Tafuri's Historian / De Provisorische Autonomie van de Historicus bij Tafuri

This article considers the conditions placed on the autonomous architectural history discipline often understood at stake in Manfredo Tafuri's 1968 book Teorie e storia dell'architettura.

Prediction of carbon monoxide in fires by conditional moment closure

Carbon monoxide is the chief killer in fires. Dangerous levels of CO can occur when reacting combustion gases are quenched by heat transfer, or by mixing of the fire plume in a cooled under- or overventilated upper layer. In this paper, carbon monoxide predictions for enclosure fires are modeled by the conditional moment closure (CMC) method and are compared with laboratory data. The modeled fire situation is a buoyant, turbulent, diffusion flame burning under a hood. The fire plume entrains fresh air, and the postflame gases are cooled considerably under the hood by conduction and radiation, emulating conditions which occur in enclosure fires and lead to the freezing of CO burnout. Predictions of CO in the cooled layer are presented in the context of a complete computational fluid dynamics solution of velocity, temperature, and major species concentrations. A range of underhood equivalence ratios, from rich to lean, are investigated. The CMC method predicts CO in very good agreement with data. In particular, CMC is able to correctly predict CO concentrations in lean cooled gases, showing its capability in conditions where reaction rates change considerably.

Modelling of species in hood fires by conditional moment closure

Carbon monoxide, the chief killer in fires, and other species are modelled for a series of enclosure fires. The conditions emulate building fires where CO is formed in the rich, turbulent, nonpremixed flame and is transported frozen to lean mixtures by the ceiling jet which is cooled by radiation and dilution. Conditional moment closure modelling is used and computational domain minimisation criteria are developed which reduce the computational cost of this method. The predictions give good agreement for CO and other species in the lean, quenched-gas stream, holding promise that this method may provide a practical means of modelling real, three-dimensional fire situations. (c) 2005 The Combustion Institute. Published by Elsevier Inc. All rights reserved.

Conditional variance reduction by measurements on correlated field modes

We consider the case of two cavity modes of the electromagnetic field, which are coupled via the action of a parametric amplifier. The fields are allowed to leak from the cavity and homodyne measurement is performed on one of the modes. Because of the correlations between the modes, this leads to a reduction of the variance in a quadrature of the other mode, although no measurement is performed on it directly. We discuss how this relates to the Einstein-Podolky-Rosen Gedankenexperiment.

Limiting conditional distributions for birth-death processes

In a recent paper [16], one of us identified all of the quasi-stationary distributions for a non-explosive, evanescent birth-death process for which absorption is certain, and established conditions for the existence of the corresponding limiting conditional distributions. Our purpose is to extend these results in a number of directions. We shall consider separately two cases depending on whether or not the process is evanescent. In the former case we shall relax the condition that absorption is certain. Furthermore, we shall allow for the possibility that the minimal process might be explosive, so that the transition rates alone will not necessarily determine the birth-death process uniquely. Although we shall be concerned mainly with the minimal process, our most general results hold for any birth-death process whose transition probabilities satisfy both the backward and the forward Kolmogorov differential equations.

Serial conditional discrimination and temporal bisection in rats selectively lesioned in the dentate gyrus

In positive serial conditional discrimination, animals respond during a target stimulus when it is preceded by a feature stimulus, but they do not respond when the same target stimulus is presented alone. Moreover, the feature and target stimuli are separated from each other by an empty interval. The present work aimed to investigate if two durations (4 or 16s) of the same feature stimulus (light) could modulate the operant responses of rats to different levers (A and B) during a 5-s target stimulus (tone). In the present study, lever A was associated with the 4-s light, and lever B was associated with the 16-s light. A 5-s empty interval was included between the light and the tone. In the same training procedure, the rats were also presented with the 5-s tone without the preceding light stimuli. In these trials, the responses were not reinforced. We evaluated the hippocampal involvement of these behavioral processes by selectively lesioning the dentate gyrus with colchicine. Once trained, the rats were submitted to a test using probe trials without reinforcement. They were presented with intermediate durations of the feature stimulus (light) to obtain a temporal bisection curve recorded during the exposure to the target stimuli. The rats from both groups learned to respond with high rates during tones preceded by light and with low rates during tones presented alone, which indicated acquisition of the serial conditional discrimination. The rats were able to discriminate between the 4- and 16-s lights by correctly choosing lever A or B. In the test, the temporal bisection curves from both experimental groups showed a bisection point at the arithmetic mean between 4 and 16s. Such processes were not impaired by the dentate gyrus lesion. Thus, our results showed that different durations of a feature stimulus could result in conditional properties. However, this processing did not appear to depend on the dentate gyrus alone. (C) 2011 Published by Elsevier B.V.

On the relation between the conditional moment closure and unsteady flamelets

We consider the relation between the conditional moment closure (CMC) and the unsteady flamelet model (FM). The CMC equations were originally constructed as global equations, while FM was derived asymptotically for a thin reaction zone. The recent tendency is to use FM-type equations as global equations. We investigate the possible consequences and suggest a new version of FM: coordinate-invariant FM (CIFM). Unlike FM, CIFM complies with conditional properties of the exact transport equations which are used effectively in CMC. We analyse the assumptions needed to obtain another global version of FM: representative interactive flamelets (RIF), from original FM and demonstrate that, in homogeneous turbulence, one of these assumptions is equivalent to the main CMC hypothesis.

Teleportation improvement by conditional measurements on the two-mode squeezed vacuum

We show that by making conditional measurements on the Einstein-Podolsky-Rosen (EPR) squeezed vacuum [T. Opatrny, G. Kurizki, and D.-G. Welsch, Phys. Rev. A 61, 032302 (2000)], one can improve the efficacy of teleportation for both the position-difference, momentum-sum, and number-difference, phase-sum continuous variable teleportation protocols. We investigate the relative abilities of the standard and conditional EPR states, and show that by conditioning we can improve the fidelity of teleportation of coherent states from below to above the (F) over bar =2/3 boundary, thereby achieving unambiguously quantum teleportation.

Effect of instructed extinction on verbal and autonomic indices of Pavlovian learning with fear-relevant and fear-irrelevant conditional stimuli

We investigated the effects of conditional stimulus fear-relevance and of instructed extinction on human Pavlovian conditioning as indexed by electrodermal responses and verbal ratings of conditional stimulus unpleasantness. Half of the participants (n = 64) were trained with pictures of snakes and spiders (fear-relevant) as conditional stimuli, whereas the others were trained with pictures of flowers and mushrooms (fear-irrelevant) in a differential aversive Pavlovian conditioning procedure. Half of the participants in each group were instructed after the completion of acquisition that no more unconditional stimuli were to be presented. Extinction of differential electrodermal responses required more trials after training with fear-relevant pictures. Moreover, there was some evidence that verbal instructions did not affect extinction of second interval electrodermal responses to fear-relevant pictures. However, neither fear-relevance nor instructions affected the changes in rated conditional stimulus pleasantness. This dissociation across measures is interpreted as reflecting renewal of Pavlovian learning.