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.

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

Changes in the Fatty Acids Profile of the Zooplankton Community Reveals the Quality of Four Reservoirs in the Hydroelectric Power Plants Located in the Iguaçu River, Paraná, Brazil

Fatty acids are molecules with important physiological functions, proved to be good bioindicators of the presence of natural and chemical stressors and so used as early warning signals. Indeed, biochemical analyzes, such as fatty acids, are an important tool in water body management and water quality analysis, allowing detecting molecular changes in aquatic communities, related to the trophic status of the systems, before they are perceived in the environment. In this work was investigated the fatty acid composition on zooplankton community collected in four reservoirs of hydroelectric plants on the Iguaçu River, Brazil, and assessed the species distribution to assess and compare the water quality in these reservoirs. Results showed the trophic state index presented a wide variation among samples, ranging from oligotrophic (Salto Caxias) to hypereutrophic (Foz do Areia). The most abundant fatty acid was docosahexaenoic acid (DHA, C22:6n3) an essential fatty acid with health benefits, playing a pivotal role in biological functions. This study highlights the sensitiveness of the zooplankton community to environmental conditions and underlines the role of fatty acids as good bioindicators, being good endpoints to use in ecological studies. This supports the zooplankton contribution as a biological quality element in the assessment of reservoir quality elements