Risk Management and VaR: Comparison of the accuracy of risk measurement for different assets

This paper investigates the performance of VaR models for seven categories of assets traded in Brazilian market. Six different VaR methodologies are tested: Normal Delta, EWMA, GARCH, Historical Simulation (HS), Monte Carlo Simulation (MC) and CVaR, which have as main differences the treatment given to volatility and the inference about the returns distribution. For the statistical results validation, are applied the Kupiec test, to evaluate the proportion of violations, and the Christoffersen test, to verify the adjustment speed of the model against market oscillations. Two analyses are made; the first one considerate an estimation window of 1000 days and the second one 252 days. For both, GARCH and CVaR have the highest number of accurately violation ratio (VR) having the good performance validated by backtesting tests. Among the assets, IFIX and IMA-B have the best performance for first analyse and Ibov for the second one. The models have low accurately loss forecast for private bond and commodities indices, which indicates that methodologies focused on market risk are not appropriate for these assets categories. The results also suggest that a smaller estimation window tends to favour the estimation of loss for high volatility assets.This paper investigates the performance of VaR models for seven categories of assets traded in Brazilian market. Six different VaR methodologies are tested: Normal Delta, EWMA, GARCH, Historical Simulation (HS), Monte Carlo Simulation (MC) and CVaR, which have as main differences the treatment given to volatility and the inference about the returns distribution. For the statistical results validation, are applied the Kupiec test, to evaluate the proportion of violations, and the Christoffersen test, to verify the adjustment speed of the model against market oscillations. Two analyses are made; the first one considerate an estimation window of 1000 days and the second one 252 days. For both, GARCH and CVaR have the highest number of accurately violation ratio (VR) having the good performance validated by backtesting tests. Among the assets, IFIX and IMA-B have the best performance for first analyse and Ibov for the second one. The models have low accurately loss forecast for private bond and commodities indices, which indicates that methodologies focused on market risk are not appropriate for these assets categories. The results also suggest that a smaller estimation window tends to favour the estimation of loss for high volatility assets

A perspetiva CTSA nos documentos oficiais curriculares e nos manuais escolares de Ciências da Educação Básica: estudo comparativo entre Portugal e Espanha

É hoje amplamente reconhecido nacional e internacionalmente que a perspetiva CTSA (Ciência-Tecnologia-Sociedade-Ambiente) constitui uma abordagem do ensino das Ciências capaz de desenvolver a literacia científica dos alunos, preparando-os para o exercício de uma cidadania ativa e consciente. Consideramos, por isso, que deve estar integrada nos Documentos Oficiais Curriculares do Ensino Básico (10-12 anos) que são reguladores da ação educativa e da atuação dos professores em sala de aula. Deve também ser integrada nos manuais escolares, enquanto recurso prioritário para os alunos e de consulta para os professores, que devem contemplar atividades/estratégias de ensino/aprendizagem e informação (discurso) concordantes com uma Educação em Ciências com orientação CTSA. Este trabalho, em que se analisaram as Orientações Curriculares de Portugal e de Espanha e Manuais Escolares de Ciências dos dois países, contempla três fases. Na primeira fase da investigação analisaram-se, de forma comparativa, os Documentos Oficiais Curriculares de Portugal e Espanha, para perceber se integravam a perspetiva CTSA e de que forma. Na segunda fase, analisaram-se manuais escolares portugueses e espanhóis de Ciências, do ensino básico (2º ciclo em Portugal; 3º ciclo em Espanha), cujos resultados foram comparados. Na terceira fase, analisou-se a continuidade/descontinuidade entre as indicações dos Documentos Oficiais e dos manuais escolares de Ciências de Portugal e de Espanha, no que respeita à perspetiva CTSA de ensino das Ciências. O estudo é de natureza qualitativa e quantitativa, embora predomine a abordagem qualitativa. Foi utilizada como técnica de recolha de dados a análise documental. Recorreu-se a dois instrumentos de análise: instrumento de análise de Documentos Oficiais, baseado em Silva (2007) e Pereira (2012), e instrumento de análise de manuais escolares, baseado em Alves (2005), que foram adaptados às caraterísticas da investigação. Os resultados mostram que, apesar dos Documentos Oficiais Curriculares portugueses e espanhóis, evidenciarem referências CTSA, quase todas explícitas e em número apreciável, relativamente às finalidades da Educação em Ciência, ou seja, Porquê Ensinar Ciência, no que diz respeito aos conhecimentos a ensinar, ou seja, Que Ciência Ensinar e aos procedimentos metodológicos, ou seja, Como Ensinar Ciência, essas referências são em menor número e não tão explícitas, nomeadamente ao nível do Como Ensinar Ciência. No caso dos Documentos Oficiais espanhóis, a situação é ainda mais preocupante. Quanto aos manuais escolares, a perspetiva CTSA está incorporada, quer nos manuais escolares portugueses, quer nos manuais escolares espanhóis, sendo mais relevante nos manuais portugueses, mas em ambos de forma insuficiente e não explorada nas suas potencialidades. Podemos dizer que se verifica alguma descontinuidade entre os Documentos Oficiais Curriculares e os manuais escolares de Ciências dos dois países.Departamento de Didáctica de las Ciencias Experimentales, Sociales y de la Matemática2020-02-082020-02-0

Towards Knowledge Uncertainty Estimation for Open Set Recognition

POCI-01-0247-FEDER-033479Uncertainty is ubiquitous and happens in every single prediction of Machine Learning models. The ability to estimate and quantify the uncertainty of individual predictions is arguably relevant, all the more in safety-critical applications. Real-world recognition poses multiple challenges since a model's knowledge about physical phenomenon is not complete, and observations are incomplete by definition. However, Machine Learning algorithms often assume that train and test data distributions are the same and that all testing classes are present during training. A more realistic scenario is the Open Set Recognition, where unknown classes can be submitted to an algorithm during testing. In this paper, we propose a Knowledge Uncertainty Estimation (KUE) method to quantify knowledge uncertainty and reject out-of-distribution inputs. Additionally, we quantify and distinguish aleatoric and epistemic uncertainty with the classical information-theoretical measures of entropy by means of ensemble techniques. We performed experiments on four datasets with different data modalities and compared our results with distance-based classifiers, SVM-based approaches and ensemble techniques using entropy measures. Overall, the effectiveness of KUE in distinguishing in- and out-distribution inputs obtained better results in most cases and was at least comparable in others. Furthermore, a classification with rejection option based on a proposed combination strategy between different measures of uncertainty is an application of uncertainty with proven results.publishersversionpublishe

ANÁLISE DA ESTRUTURA ESPACIAL DO MERCADO BRASILEIRO DE SUÍNOS

Objetivou-se, neste trabalho, analisar o padrão e o grau de integração dos mercados de suínos nos diferentes estados brasileiros, no período de janeiro de 1980 a março de 2005. foram analisados aspectos relacionados à forma de relacionamento entre eles e à determinação dos mercados mais ou menos integrados. além do mais, analisaram-se os fatores que determinam o grau de integração entre esses mercados. O método utilizado neste estudo foi o de séries temporais, mais especificamente a análise de co-integração multivariada de modo geral, observou-se que o mercado brasileiro de suínos apresentou grande dinamismo em relação ao comportamento dos preços nas diferentes localidades que compõem o mercado, considerando que todos os ajustes ocorreram relativamente rápido, ou seja, num período de menos de três meses. Em relação à análise dos determinantes do grau de integração no mercado brasileiro de suínos, pode-se dizer que há uma relação direta entre as localidades que possuem maior acesso à infra-estrutura de comunicação, melhores níveis educacionais e melhor infra-estrutura de transporte com o grau de integração, o que permite inferir que há um relacionamento entre o nível de desenvolvimento econômico e social dos estados e o grau de integração. Portanto, medidas direcionadas à melhoria da infra-estrutura de transporte e comunicação, além do aumento do nível educacional da população, podem contribuir para o aumento do grau de relacionamento entre as localidades do mercado e, dessa forma, aumentar sua eficiência e competitividade.---------------------------------------------The objectives of this work were to analyze swine market integration in different brazilian states from january 1980 through march 2005. Aspects related to market interrelationship, and determination of more or less integrated markets were analyzed, as well as the factors determining the degree of integration among these markets. The method used in this study was that of temporal series, more specifically, multivariate co-integration analysis. Overall, it was observed that the brazilian swine market showed great vitality regarding price behavior in the different localities studied, considering that all the adjustments occurred relatively fast, i.e., within a period shorter than three months. with regard to the analysis of the determinants of the degree of integration in the brazilian swine market, one can state that there is a direct relationship between the localities possessing greater access to communication infrastructure, better educational levels and better transport infrastructure and degree of integration, allowing to infer that there is a relationship between the level of economic and social development and degree of integration of the states. Therefore, measures directed to improving transport and communication infrastructure, as well as increasing the educational level of the population may contribute to increased degree of relationship among the market localities, leading to enhanced efficiency and competitivity.Integração de mercado, suínos e co-integração multivariada, Market integration, swine e multivariate co-integration, Livestock Production/Industries,

Sex differences in functional connectivity between resting state brain networks in Autism Spectrum Disorder

© The Author(s) 2021. Open Access This article is licensed under a Creative Commons Attribution 4.0 International License, which permits use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons licence, and indicate if changes were made. The images or other third party material in this article are included in the article's Creative Commons licence, unless indicated otherwise in a credit line to the material. If material is not included in the article's Creative Commons licence and your intended use is not permitted by statutory regulation or exceeds the permitted use, you will need to obtain permission directly from the copyright holder. To view a copy of this licence, visit http://creativecommons.org/licenses/by/4.0/.Functional brain connectivity (FBC) has previously been examined in autism spectrum disorder (ASD) between-resting-state networks (RSNs) using a highly sensitive and reproducible hypothesis-free approach. However, results have been inconsistent and sex differences have only recently been taken into consideration using this approach. We estimated main effects of diagnosis and sex and a diagnosis by sex interaction on between-RSNs FBC in 83 ASD (40 females/43 males) and 85 typically developing controls (TC; 43 females/42 males). We found increased connectivity between the default mode (DM) and (a) the executive control networks in ASD (vs. TC); (b) the cerebellum networks in males (vs. females); and (c) female-specific altered connectivity involving visual, language and basal ganglia (BG) networks in ASD-in suggestive compatibility with ASD cognitive and neuroscientific theories.VT received support from Fundação Ciência e Tecnologia (FCT) PhD fellowship (PD/BD/114460/2016) and paid by FCT DSAIPA/DS/0065/2018 Grant. DP was supported by the European Commission Seventh Framework Programme Marie Curie Career Integration Grant FP7-PEOPLE-2013-CIG-631952, the 2016 Bial Foundation Psychophysiology Grant Ref. 292/16, and the IF/00787/2014, LISBOA-01-0145-FEDER-030907 and DSAIPA/DS/0065/2018 FCT Grants, and the iMM Lisboa Director’s Fund Breakthrough Idea Grant 2016; and is co-founder and shareholder of the neuroimaging research services company NeuroPsyAI, Ltd. MA was supported by FCT Grant UID/MAT/00006/2013.info:eu-repo/semantics/publishedVersio

ELASTICIDADE-RENDA DAS DESPESAS COM ÁGUA E ESGOTO NO MEIO URBANO E NO MEIO RURAL DAS REGIÕES BRASILEIRAS

Este trabalho objetivou analisar as mudanças ocorridas na despesa com água e esgoto, em resposta à alteração na renda das famílias nas regiões Norte, Nordeste, Centro-Oeste, Sudeste e Sul. Para isso, estimou-se a elasticidade-renda da despesa por meio de um modelo econométrico que consiste em ajustar uma poligonal com três segmentos, com vistas em mostrar como a despesa com água e esgoto varia em decorrência de uma alteração no recebimento familiar. Os dados foram extraídos da Pesquisa de Orçamento Familiar de 2002/2003, realizada pelo IBGE. Os valores encontrados para elasticidade-renda situaram-se entre 0 e 1, o que indica que a água pode ser considerada um bem normal nas regiões analisadas e no Brasil, onde o valor encontrado foi de 0,4263. As estimativas mostraram ainda que, quase sempre, a elasticidade-renda das despesas com água e esgoto no meio rural é maior do que no meio urbano.----------------------The objective of this paper was to analyze the expense changes with water and sanitation taxes in response to change in households’ income in the main Brazilian regions (North, Northeast, Central-West, South East, and South). The data were collected from the Household Budgetary Research (POF) of IBGE for the period 2002/2003. Elasticity-income of expenditure was estimated through an econometric model which consisted of an adjusted polygonal with three segments. The values encountered for the elasticity-income of expenditure are between 0 and 1, indicating that water can be considered a normal good in the regions analyzed, and, for the country as a whole, the value encountered was 0.4263. The estimations show also that, in general, the elasticity-income of expenditure of water and sanitation taxes is higher in rural areas than in urban areas.água, elasticidade-renda, regiões brasileiras, water, elasticity-income, Brazilian regions, Consumer/Household Economics,

Early father–child and mother–child attachment relationships: contributions to preschoolers’ social competence

The main goal of this study was to explore the contributions of early father-child and mother-child attachment relationships to children's later social competence with their preschool peers; possible unique and shared contributions were tested. Using a multi-method design and focusing on direct observation, attachment was assessed at home at age 3 with the Attachment Behavior Q-sort (AQS) and two years later social competence was assessed at classrooms of 5-year-olds using a set of seven measurement indicators that are part of the Hierarchical Model of Social Competence. Results show that attachment to each parent made unique and significant contributions to children's social competence and suggested the possibility that each caregiver may have somewhat different patterns of influence on the different indicators of children's social competence. Findings also suggest the possibility that a secure attachment with one parent may buffer the impact of having an insecure relationship with the other. Due to sample size, these results should be seen as a starting point to generate new and larger studies.info:eu-repo/semantics/publishedVersio

Impactos da influenza aviária no mercado internacional de carnes

Animal infectious disease outbreaks as Avian Influenza, Foot and mouth disease and Bovine Spongiform Encephalopathy can influence trade and bring economic consequences to affected countries. For this reason, this work aims to analyze the effects on meat import demand in the years of 1997 and 2003 to 2005, the Avian Influenza outbreaks period. The analytical framework used was panel data econometrics. The results point to a reduction on chicken meat demand in 1997 and increase to the other meats, indicating a possible substitution. From 2003 on, chicken meat demand showed slight increase, as did pig meat, only bovine meat demand showed a reduction. This fact can be explained by a restriction on bovine and chicken supply caused by the imposition of sanitary barriers to the main exporting countries.Avian Influenza, Import demand, Beef, Chicken meat, Panel data, International Relations/Trade,

ANÁLISE DA COMPETITIVIDADE DO AÇÚCAR BRASILEIRO NO MERCADO INTERNACIONAL, 1990 A 2004

Mudanças ocorridas na economia mundial, como liberalização de mercados e formação de blocos, têm exigido que países em desenvolvimento, como no caso do Brasil, acompanhem tais transformações principalmente no que se refere à busca por produtos diferenciados e de maior qualidade. Diante disso, o setor açúcar iniciou um processo de reestruturação produtiva, visando estimular a modernização e, com isso, ampliar sua competitividade no comércio internacional. Considerando a importância desse setor para a economia brasileira, no que se refere à participação no PIB e na geração de divisas, objetivou-se neste trabalho avaliar a competitividade das exportações brasileiras de açúcar, no período de 1990 a 2004. O modelo teórico utilizado esta fundamentado na Teoria da competitividade e do Comércio Internacional. O procedimento de análise baseou-se nos indicadores de desempenho, eficiência e capacitação. Os dados usados foram obtidos em diversas instituições, tais como a Secretaria de Comércio Exterior (SECEX), da Fundação Getúlio Vargas, a Organização das Nações Unidas para a Agricultura (FAO), a FNP Consultoria e o Ministério da Ciência e Tecnologia (MCT). Os indicadores de competitividade apresentados indicaram que o açúcar brasileiro é altamente competitivo no comércio internacional, visto que as exportações foram crescentes e as importações decrescentes, chegando, em alguns períodos, a zero. Constatou-se, também, a representatividade do açúcar no PIB agrícola e na geração de divisas para o país. Os indicadores de eficiência e capacitação mostraram que o Brasil vem aumentando a sua competitividade por meio de maiores rendimentos com o produto e maiores gastos em ciência e tecnologia, respectivamente. Conclui-se que o setor de açúcar tem ampliado a sua competitividade com relação aos principais países produtores.----------------------------------------------Changes happened in the world economy, such as liberalization of markets and formation of blocks any they have been demanding that developing countries, Brazil’s case, accompany such transformations mainly in what refers to the search for differentiated products of larger quality. Before that, the sugar sector began a process of productive restructuring, seeking to stimulate the modernization and, with that, to enlarge competitiveness in international trade. Considering the importance of that sector for Brazilian economy, regaling the participation in GDP and in generation dollar, the objective of this paper is evaluate the competitiveness of Brazilian sugar exports, in the period from 1990 to 2004. The theoretical model was Theory of the competitiveness and of the International Trade. The analysis was based on the acting indicators, efficiency and capacity. Data were obtained in several institutions; such as the Ministry of the development of agriculture and trade (SECEX), of the Fundação Getúlio Vargas, the Organization of the United Nations for the Agriculture (FAO), FNP Consultoria and the Ministry of the Science and Technology (MCT). The indicators of competitiveness indicated that Brazilian sugar is highly competitive in international scene, because exports were growing and decreasing imports, arriving, in some periods, to zero. It was verified, also, the representativeness of sugar in agricultural GDP and in the generation of dollar to the country. Efficiency indicators and capacity showed that Brazil is increasing competitiveness through larger incomes and larger expenses in science and technology, respectively. Therefore the sugar sector has been enlarging competitiveness company the main producing countries.Competitividade, Mercado internacional, Açúcar, Competitiveness, international Market, Sugar, Agribusiness, International Relations/Trade,