Finite Sample Performance of Frequency and Time Domain Tests for Seasonal Fractional Integration

Testing the order of integration of economic and financial time series has become a conventional procedure prior to any modelling exercise. In this paper, we investigate and compare the finite sample properties of the frequency domain tests proposed by Robinson (1994) and the time domain procedure proposed by Hassler, Rodrigues and Rubia (2008) when applied to seasonal data.

Contribuição para a caracterização da recolha comercial de macrofungos comestíveis no distrito de Bragança, Portugal

Com este trabalho pretendeu-se caracterizar a actividade de recolha de cogumelos comestíveis no distrito de Bragança relativamente a espécies e quantidades, habitats, formas de recolha e transporte e valor comercial. Apurou-se que as recolhas incidem principalmente sobre Amanita caesarea, Boletus pinicola, B. edulis, B. aereus, Lactarius deliciosus, Tricholoma equestre, T. georgii, e T. portentosum. As quantidades recolhidas são geralmente inferiores a 5 kg/colector/dia observando-se no global um maior peso das recolhas superiores a 5 kg/colector/dia. As espécies são recolhidas em ecossistemas florestais de e em sistemas agro-florestais. A recolha de cogumelos não constitui a actividade principal dos colectores

Receptor–drug association studies in the inhibition of the hematin aggregation process of malaria

AbstractDocking studies were performed to investigate the binding of several antimalarial compounds to the putative drug receptors involved in the hematin aggregation process. These studies reveal a binding profile that correlates with the complementarity of electrostatic potentials between the receptors and the active molecules. These results allow a possible explanation for the same molecular mechanism shown by 4-aminoquinolines, quinine, mefloquine, halofantrine and hydroxylated xanthones. The docking data presented in this work offer an interesting approach to the design of new molecules with potential antimalarial activity

A novel nonparametric approach

Funding Information: The authors thank three anonymous referees and Editor Roman Slowinski for their helpful and constructive feedback on an earlier version of this paper. Financial support from the Portuguese Science Foundation (FCT) through project PTDC/EGE-ECO/28924/2017, and (UID/ECO/00124/2013 and Social Sciences DataLab, Project 22209), POR Lisboa (LISBOA-01-0145-FEDER-007722 and Social Sciences DataLab, Project 22209) and POR Norte (Social Sciences DataLab, Project 22209) is also gratefully acknowledged. Publisher Copyright: © 2023 The AuthorsThis paper introduces a portfolio optimization procedure that aims to minimize the intra-horizon (IH) risk subject to a minimum expected time to achieve a target cumulative return. To estimate the first passage probabilities and the expected time a novel nonparametric method and a new Markov chain order determination approach are developed. The optimization framework proposed allows us to include novel path-dependent measures of risk and return in the asset allocation problem. An empirical application to S&P 100 companies, a risk-free asset and stock indices is provided. Our empirical results suggest that the proposed framework exhibits more consistency between in-sample and out-of-sample performance than the mean-variance model and an alternative optimization problem that minimizes the MaxVaR measure of Boudoukh et al. (2004). Overall, the portfolio optimization approach we introduce results in higher out-of-sample annualized returns for relatively low levels of IH risk.publishersversionpublishe

Fatty Acids’ Profiles of Aquatic Organisms: Revealing the Impacts of Environmental and Anthropogenic Stressors

There is a great concern about the impacts of climate changes namely due to salinity seawater and temperature alterations in aquatic organisms with the estuarine and coastal environments being the major affected areas. The intensive usage of chemicals in an indiscriminate way in agriculture practices, achieving, in some cases, values above the limits of contamination authorized by the European legislation, also drastically affects the surrounded estuarine areas with profound consequences to the water quality and the aquatic communities. It is known that stressors affect organisms’ physiological conditions with recent works concerning alterations in the fatty acid (FA) profiles associated with environmental and contamination events that become more frequent. FA plays a key role in immune and physiological functions and is associated with the prevention of some diseases, shown to be good bio‐indicators to assess the organisms’ impacts under stress conditions. Thus, this chapter proposes to address natural (salinity and temperature) and chemical (herbicide and metal) stressors’ impacts in the FA profiles of Thalassiosiraweissflogii and Cerastodermaedule and infers about the effects on organisms’ physiological processes and along the food web. Consequences in food resources and to healthier and nutritious food consumption with benefits to human beings are also assessed

Regionalization of droughts in Portugal

Comunicação apresentada na "6th International Conference on River Basin Management", Riverside, California, 2011Droughts are complex natural hazards that distress large worldwide areas every year with serious impacts on society, environment and economy. Despite their importance they are still among the least understood extreme weather events. This paper is focused on the identification of regional patterns of droughts in Mainland Portugal based on monthly precipitation data, from September 1910 to October 2004, in 144 rain gages distributed uniformly over the country. The drought events were described by means of the Standardized Precipitation Index (SPI) applied to different time scales. To assess the spatial and temporal patterns of droughts, a principal component analysis (PCA) and K-means clustering method (KMC) were applied to the SPI series. The study showed that, for the different times scales, both methods resulted in an equivalent areal zoning, with three regions with different behaviours: the north, the centre and the south of Portugal. These three regions are consistent with the precipitation spatial distribution in Portugal Mainland, which in general terms decrease from North to South, with the central mountainous region representing the transition between the wet north and the progressively dry south. As the mean annual precipitation decreases southwards the hydrological regime becomes more irregular and consequently more prone to droughts

Stock returns’ tail risk dynamics

Funding Information: The authors thank two anonymous referees, an Associate Editor, and the Co-Editor (Torben Andersen) for their helpful and constructive feedback. Financial support from the Portuguese Foundation for Science and Technology (FCT) through projects CEMAPRE/REM - UIDB/05069/2020 , PTDC/EGE-ECO/28924/2017 , and ( UID/ECO/00124/2013 and Social Sciences DataLab, Project 22209 ), POR Lisboa ( LISBOA-01-0145-FEDER-007722 and Social Sciences DataLab, Project 22209 ) and POR Norte (Social Sciences DataLab, Project 22209 ) is also gratefully acknowledged. Publisher Copyright: © 2023 The AuthorsThis paper provides novel theoretical results for the estimation of the conditional tail index of Pareto and Pareto-type distributions in a time series context. We show that both the estimators and relevant test statistics are normally distributed in the limit, when independent and identically distributed or dependent data are considered. Simulation results provide support for the theoretical findings and highlight the good finite sample properties of the approach in a time series context. The proposed methodology is then used to analyse stock returns’ tail risk dynamics. Two empirical applications are provided. The first consists in testing whether the time-varying tail exponents across firms follow Kelly and Jiang's (2014) assumption of common firm level tail dynamics. The results obtained from our sample seem not to favour this hypothesis. The second application, consists of the evaluation of the impact of two market risk indicators, VIX and Expected Shortfall (ES) and two firm specific covariates, capitalization and market-to-book on stocks tail risk dynamics. Although all variables seem important drivers of firms’ tail risk dynamics, it is found that ES and firms’ capitalization seem to have overall wider impact.publishersversionpublishe

Influence of indoor hygrothermal conditions on human quality of life in social housing

Background: Modern societies spend most of their time indoors, namely at home, and the indoor environment quality turns out to be a crucial factor to health, quality of life and well-being of the residents. The present study aims to understand how indoor environment relates with quality of life and how improving housing conditions impacts on individuals’ health. Design and Methods: This study case will rely on the following assessments in both rehabilitated and non-rehabilitated social housing: i) field measurements, in social dwellings (namely temperature, relative humidity, carbon dioxide concentration, air velocity, air change rate, level of mould spores and energy consumption); ii) residents’ questionnaires on social, demogaphic, behavioural, health characteristics and quality of life. Also, iii) qualitative interviews performed with social housing residents from the rehabilitated houses, addressing the self-perception of living conditions and their influence in health status and quality of life. All the collected information will be combined and analysed in order to achieve the main objective. Expected impact: It is expected to define a Predicted Human Life Quality (PHLQ) index, that combines physical parameters describing the indoor environment measured through engineering techniques with residents’ and neighbourhood quality of life characteristics assessed by health questionnaires. Improvement in social housing should be related with better health indicators and the new index might be an important tool contributing to enhance quality of life of the residents

Mind the climate policy gaps: climate change public policy and reality in Portugal, Spain and Morocco

The IPCC 1.5 °C report argues for a 50% cut of global greenhouse gas emissions by 2030. Dangerous gaps lie between what is required to reach the 1.5 °C objective, what governments have pledged and what is happening in reality. Here, we develop ‘climate policy gap’ graphics for Portugal, Spain and Morocco to help reveal this divide and quantify the under-reaction between diagnosis and action, through layers of political intended and unintended miscommunication, insufficient action and the power of the fossil fuels industries. The climate policy gaps for the three nations reveal overshoots on even the most ambitious levels of emissions reductions pledged when compared with trajectories compatible with 1.5 °C or even 2 °C limits. This research suggests that there is a built-in feature of under-reaction in climate policy, which staves off any emission pathways compatible with stopping a temperature rise above 1.5 °C by 2100. It shows that the climate policy gap is a political and methodological tool that reveals systemic shortcomings of government climate action. Its visibility identifies benchmarks and sectors that should be activated to close these gaps in response to the growing popular demands for climate justice.info:eu-repo/semantics/publishedVersio