Portuguese Yield Curve: volatility and correlations

Stronger competition in Europe triggered by the launch of the Euro and increasing regulatory demands upon the capitalisation of banks and other financial intermediaries in the continent have raised the importance of a sound and accurate measurement of the risks brought to them by the positions they take in different assets. In Portugal banks still invest predominantly in debt instruments due to the small size of the domestic equity market, and this makes their profitability and solvency more sensitive to interest rate volatility than to the uncertainty of equity indices. But some VaR models require statistic information about the form of the local yield curve as well as how it tends to evolve along the time. However, it is important to note that there are reasons to believe that a common currency within the EU does not eliminate differences at this level between, on one hand, small and peripheral countries and, on the other hand, central and larger ones. This paper makes a first approach into this direction suggesting models to estimate the Portuguese yield curve, the spreads against German spot rates, and some values of volatility and correlation for our domestic interest rates.

ARMA Modelling for Sleep Disorders Diagnose

Part 10: Control and DecisionInternational audienceDifferences in EEG sleep spindles constitute a promising indicator of sleep disorders. In this paper Sleep Spindles are extracted from real EEG data using a triple (Short Time Fourier Transform-STFT; Wavelet Transform-WT; Wave Morphology for Spindle Detection-WMSD) algorithm. After the detection, an Autoregressive–moving-average (ARMA) model is applied to each Spindle and finally the ARMA’s coefficients’ mean is computed in order to find a model for each patient. Regarding only the position of real poles and zeros, it is possible to distinguish normal from Parasomnia REM subjects

Benthic meiofauna as indicator of ecological changes in estuarine ecosystems: The use of nematodes in ecological quality assessment

a b s t r a c t Estuarine meiofauna communities have been only recently considered to be good indicators of ecological quality, exhibiting several advantages over macrofauna, such as their small size, high abundance, rapid generation times and absence of a planktonic phase. In estuaries we must account not only for a great natural variability along the estuarine gradient (e.g. sediment type and dynamics, oxygen availability, temperature and flow speed) but also for the existence of anthropogenic pressures (e.g. high local population density, presence of harbors and dredging activities). Spatial and temporal biodiversity patterns of meiofauna and freeliving marine nematodes were studied in the Mondego estuary (Portugal). Both taxonomic and functional approaches were applied to nematode communities in order to describe the community structure and to relate it with the environmental parameters along the estuary. At all sampling events, nematode assemblages reflected the estuarine gradient, and salinity and grain size composition were confirmed to be the main abiotic factors controlling the distribution of the assemblages. Moreover, the low temporal variability may indicate that natural variability is superimposed by the anthropogenic pressures present in some areas of the estuary. The characterization of both meiofauna and nematode assemblages highlighted the usefulness of the integration of both taxonomic and functional attributes, which must be taken into consideration when assessing the ecological status of estuaries

Ordinary cokriging of additive log-ratios for estimating grades in iron ore deposits

Risk assessment and economic evaluation of mining projects are mainly affected by the determination of grades and tonnages. In the case of iron ore, multiple variables must be determined for ore characterization which estimation must satisfy the original mass balances and stoichiometry among granulometric fractions and chemical species. Models of these deposits are generally built from estimates obtained using ordinary kriging or cokriging, most time using solely the global grades and determining the ones present at different granulometric partitions by regression. Alternative approaches include determining the totality of the chemical species and distributing the closing error or leaving one variable aside and determining it by difference afterwards, adding up the error of previous determinations. Furthermore, the estimates obtained are outside the interval of the original variables or even exhibiting negative values. These inconsistencies are generally overridden by post-processing the estimates to satisfy the closed sum condition and positiveness. In this paper, cokriging of additive log-ratios (alr) is implemented to determine global grades of iron, silica, alumina, phosphorous, manganese and loss by ignition and masses of three different granulometric partitions, providing better results than the ones obtained through cokriging of the original variables, with all the estimates within the original data values interval and satisfying the considered mass balances. Key words: iron ore, additive log-ratios, cokriging, compositional data, geostatistic

Sharing delay costs in stochastic scheduling problems with delays

This version of the article has been accepted for publication, after peer review and is subject to Springer Nature’s AM terms of use, but is not the Version of Record and does not reflect post-acceptance improvements, or any corrections. The Version of Record is available online at: https://doi.org/10.1007/s10288-019-00427-9.[Abstract]: An important problem in project management is determining ways to distribute amongst activities the costs that are incurred when a project is delayed because some activities end later than expected. In this study, we address this problem in stochastic projects, where the durations of activities are unknown but their corresponding probability distributions are known. We propose and characterise an allocation rule based on the Shapley value, illustrate its behaviour by using examples, and analyse features of its calculation for large problems.This work has been supported by the MINECO grants MTM2014-53395-C3-1-P and MTM2017-87197-C3-1-P, and by the Xunta de Galicia through the ERDF (Grupos de Referencia Competitiva ED431C-2016-015 and Centro Singular de Investigación de Galicia ED431G/01). The authors also acknowledge the useful comments of two anonymous referees.Xunta de Galicia; ED431C-2016-015Xunta de Galicia; ED431G/0

ProjectManagement: an R Package for Managing Projects

[Abstract]:Project management is an important body of knowledge and practices that comprises the planning, organisation and control of resources to achieve one or more pre-determined objectives. In this paper, we introduce ProjectManagement, a new R package that provides the necessary tools to manage projects in a broad sense, and illustrate its use by examples.This work has been supported by the MINECO grant MTM2017-87197-C3-1-P and by the Xunta de Galicia through the ERDF (Grupos de Referencia Competitiva ED431C-2016-015 and Centro Singular de Investigación de Galicia ED431G/01). The comments of an anonymous reviewer have helped us to improve this paper significantly.Xunta de Galicia; ED431C-2016-015Xunta de Galicia; ED431G/0

The Bronchiectasis Severity Index and FACED score for assessment of the severity of bronchiectasis

Bronchiectasis (BC) is a multidimensional and etiologically diverse disease and, therefore, no single parameter can be used to determine its overall severity and prognosis. In this regard, two different validated scores are currently used to assess the severity of non-cystic fibrosis bronchiectasis (NCFB): the FACED score and the Bronchiectasis Severity Index (BSI).info:eu-repo/semantics/publishedVersio

An AAL collaborative system: the AAL4ALL and a mobile assistant case study

"15th IFIP WG 5.5 Working Conference on Virtual Enterprises, PRO-VE 2014, Amsterdam, The Netherlands, October 6-8, 2014"The areas of Ambient Assisted Living (AAL) and Intelligent Systems (IS) are in full development, but there are still some issues to be resolved. One issue is the myriad of user oriented solutions that are rarely built to interact or integrate with other systems available in the market. In this paper we present the AAL4ALL project and the UserAccess implementation, showing a novel approach towards virtual organizations, interoperability and certification. The aim of this project is to provide a collaborative network of services and devices that connect every user and product from other developers, building a heterogeneous ecosystem. Thus establishing an environment for collaborative care systems, which may be available to the users in from of safety services, comfort services and healthcare services.Project "AAL4ALL", co-financed by the European Community Fund FEDER, through COMPETE - Programa Operacional Factores de Competitividade (POFC). Foundation for Science and Technology (FCT), Lisbon, Portugal, through Project PEst-C/CTM/LA0025/2013 and the project PEst-OE/EEI/UI0752/2014. Project CAMCoF - Context-aware Multimodal Communication Framework fund-ed by ERDF -European Regional Development Fund through the COMPETE Pro-gramme (operational programme for competitiveness) and by National Funds through the FCT - Fundação para a Ciência e a Tecnologia (Portuguese Foundation for Science and Technology) within project FCOMP-01-0124-FEDER-028980

Discondroplasia da tíbia como modelo em estudos de mecanobiologia experimental

A discondroplasia da tíbia, consiste numa anomalia espontânea, ou induzida, nas placas de crescimento epifisárias dos ossos longos, das estirpes de rápido crescimento das espécies avícolas, caracterizada pelo aparecimento de uma massa cartilagínea avascular opaca, não calcificada, que se estende até à metáfise, numa zona em que, normalmente, existe osso trabecular. Do ponto de vista citológico, a discondroplasia reflecte alterações na homeostase celular no decurso normal da ossificação endocondral, ou seja, a cartilagem não calcifica e não é substituída por osso endocondral. Deste modo, os processos de proliferação dos condrócitos (que é normal) e de degradação da cartilagem (que não se verifica), não estão em equilíbrio, resultando numa acumulação de matriz extracelular. Com a presente linha de investigação pretende-se, com base em resultados obtidos por um dos autores [Capela e Silva, 2004], designadamente no que diz respeito à expressão das caderinas, e com base noutros trabalhos relativos à expressão de proteínas de stress [Ribeiro e tal., 2004], avaliar da possibilidade de utilização da discondroplasia em estudos de mecanobiologia experimental