Predictive performance of value-at-risk models: Covid-19 “Pandemonium”

Mestrado em Mathematical FinanceAtualmente, os modelos Value-at-Risk (VaR), têm um papel muito importante a nível dos Mercados Financeiros, sendo uma das ferramentas mais utilizadas, por analistas financeiros, para gestão e estimação de risco de mercado. Nesta tese, três métodos de estimação de VaR, nomeadamente o método de Simulação Histórica, GARCH(1,1) e o método EVT-POT Dinâmico, foram aplicados. O propósito deste trabalho é estimar modelos VaR para os países: EUA, França, Alemanha, Itália, Japão, Reino Unido, China, Espanha e Portugal, com um intervalo de tempo desde 1 de Janeiro de 2007 até 31 de Agosto de 2020 e um nível de confiança de 99%. Estas estimações serão então testadas por via Backtest, permitindo identificar quando ocorreram a maioria das falhas, e se estas ocorreram em períodos normais ou de crise (por exemplo, a Pandemia COVID-19). Adicionalmente, é estudado se existe alguma relação entre o número de mortos por país e o movimento dos retornos e da volatilidade dos índices de stocks. O modelo que mostrou ter maior precisão aquando da estimação de períodos de crise foi o EVT-POT dinâmico, sendo HS o modelo menos preciso. É possível observar que a maioria das falhas, causadas por observações incomuns, ocorreram durante os anos 2008, 2011, 2013, 2018 e 2020, que são considerados períodos de crise. Foi também possível concluir que o movimento dos índices de stocks é influenciado pelo aumento do número de mortes por COVID-19, mostrando assim que existe uma relação entre ambos (quando o número de mortes aumenta, os mercados tornam-se mais voláteis).Nowadays, Value-at-Risk (VaR) models play a crucial role in Financial Markets, being one of the most widely risk management tools used by financial analysts, to estimate market risk. In this thesis, three widely used approaches to estimate VaR, namely Historical Simulation, GARCH(1,1) and Dynamic EVT-POT, were applied. We will estimate VaR models for the countries: USA, UK, France, Germany, Italy, Japan, China, Spain and Portugal with a time horizon from 1st of January of 2007 to 31st of August 2020. It was chosen a confidence level of 99%. These estimations will then be backtested, enabling a conclusion of when the majority of the exceedances happen in a "normal" period or in a crisis period (e.g. COVID-19 Pandemic). Further, it is studied if there is any relation between the mortality number in each country and the movement in returns or volatility of stock indices. The model that showed to be the most accurate when estimating crisis periods is Dynamic EVT-POT model. The model that showed less accuracy is the HS. It is possible to see that most of the exceedances, caused by outlier observations, occur during years 2008, 2011, 2013, 2018 and 2020 which are years known to be crisis periods. It was also possible to conclude that the movement in the stock indices is influenced with the increase in COVID-19 related deaths, showing therefore that there is some sort of relation between the two phenomena (when the number of deaths increase, the markets are more volatile).info:eu-repo/semantics/publishedVersio

MAMMALS IN PORTUGAL : A data set of terrestrial, volant, and marine mammal occurrences in P ortugal

Mammals are threatened worldwide, with 26% of all species being includedin the IUCN threatened categories. This overall pattern is primarily associatedwith habitat loss or degradation, and human persecution for terrestrial mam-mals, and pollution, open net fishing, climate change, and prey depletion formarine mammals. Mammals play a key role in maintaining ecosystems func-tionality and resilience, and therefore information on their distribution is cru-cial to delineate and support conservation actions. MAMMALS INPORTUGAL is a publicly available data set compiling unpublishedgeoreferenced occurrence records of 92 terrestrial, volant, and marine mam-mals in mainland Portugal and archipelagos of the Azores and Madeira thatincludes 105,026 data entries between 1873 and 2021 (72% of the data occur-ring in 2000 and 2021). The methods used to collect the data were: live obser-vations/captures (43%), sign surveys (35%), camera trapping (16%),bioacoustics surveys (4%) and radiotracking, and inquiries that represent lessthan 1% of the records. The data set includes 13 types of records: (1) burrowsjsoil moundsjtunnel, (2) capture, (3) colony, (4) dead animaljhairjskullsjjaws, (5) genetic confirmation, (6) inquiries, (7) observation of live animal (8),observation in shelters, (9) photo trappingjvideo, (10) predators dietjpelletsjpine cones/nuts, (11) scatjtrackjditch, (12) telemetry and (13) vocalizationjecholocation. The spatial uncertainty of most records ranges between 0 and100 m (76%). Rodentia (n=31,573) has the highest number of records followedby Chiroptera (n=18,857), Carnivora (n=18,594), Lagomorpha (n=17,496),Cetartiodactyla (n=11,568) and Eulipotyphla (n=7008). The data setincludes records of species classified by the IUCN as threatened(e.g.,Oryctolagus cuniculus[n=12,159],Monachus monachus[n=1,512],andLynx pardinus[n=197]). We believe that this data set may stimulate thepublication of other European countries data sets that would certainly contrib-ute to ecology and conservation-related research, and therefore assisting onthe development of more accurate and tailored conservation managementstrategies for each species. There are no copyright restrictions; please cite thisdata paper when the data are used in publications.info:eu-repo/semantics/publishedVersio

Mammals in Portugal: a data set of terrestrial, volant, and marine mammal occurrences in Portugal

Mammals are threatened worldwide, with ~26% of all species being included in the IUCN threatened categories. This overall pattern is primarily associated with habitat loss or degradation, and human persecution for terrestrial mammals, and pollution, open net fishing, climate change, and prey depletion for marine mammals. Mammals play a key role in maintaining ecosystems functionality and resilience, and therefore information on their distribution is crucial to delineate and support conservation actions. MAMMALS IN PORTUGAL is a publicly available data set compiling unpublished georeferenced occurrence records of 92 terrestrial, volant, and marine mammals in mainland Portugal and archipelagos of the Azores and Madeira that includes 105,026 data entries between 1873 and 2021 (72% of the data occurring in 2000 and 2021). The methods used to collect the data were: live observations/captures (43%), sign surveys (35%), camera trapping (16%), bioacoustics surveys (4%) and radiotracking, and inquiries that represent less than 1% of the records. The data set includes 13 types of records: (1) burrows | soil mounds | tunnel, (2) capture, (3) colony, (4) dead animal | hair | skulls | jaws, (5) genetic confirmation, (6) inquiries, (7) observation of live animal (8), observation in shelters, (9) photo trapping | video, (10) predators diet | pellets | pine cones/nuts, (11) scat | track | ditch, (12) telemetry and (13) vocalization | echolocation. The spatial uncertainty of most records ranges between 0 and 100 m (76%). Rodentia (n =31,573) has the highest number of records followed by Chiroptera (n = 18,857), Carnivora (n = 18,594), Lagomorpha (n = 17,496), Cetartiodactyla (n = 11,568) and Eulipotyphla (n = 7008). The data set includes records of species classified by the IUCN as threatened (e.g., Oryctolagus cuniculus [n = 12,159], Monachus monachus [n = 1,512], and Lynx pardinus [n = 197]). We believe that this data set may stimulate the publication of other European countries data sets that would certainly contribute to ecology and conservation-related research, and therefore assisting on the development of more accurate and tailored conservation management strategies for each species. There are no copyright restrictions; please cite this data paper when the data are used in publications

Ingestive behavior of supplemented Nellore heifers grazing palisadegrass pastures managed with different sward heights

Three sward heights (15, 25 and 35 cm) and three supplement types (energy, energy-protein, and a mineral mix supplement) were evaluated in a 3x3 factorial arrangement distributed in a completely randomized design to study changes in forage search patterns in Nellore heifers in a continuous grazing system. Pasture data were collected using two replicates (paddocks) per treatment over four periods during the rainy season. The behavior assessments were made in the first and fourth grazing seasons. It was hypothesized that supplements and pasture management would modify ingestive behavior, considering that animals would require less time grazing if they had energy requirements met through higher digestibility of better managed paddocks, or use of supplements high in energy. Total and green forage masses along with green:dead material ratio were greater in treatments managed with higher sward heights. Sward managed with 35cm height resulted in lower leaf:stem ratio compared with 15cm sward height treatments. The animals on the 15cm pastures spent more time grazing overall and during each meal, but there were no differences observed in meal numbers in comparison to 35cm treatments. Heifers fed protein and/or energy supplements spent less time grazing in the early afternoon, but overall grazing time was the same for all animals

Source and frequency of dry season lipid supplementation of grazing, finishing cattle

The objective of this study was to evaluate the effects of sources of soybean oil [ground soybean (GS), soybean oil (SO) and calcium salts of soybean oil (CS)] on DM intake (DMI), ingestive behaviour and average daily gain (ADG) of heifers grazing marandu palisadegrass (Brachiaria brizantha cv. Marandu) supplemented in two frequencies [daily and 3 days a week (Monday, Wednesday and Friday - MWF)]. The experiment was conducted from July until November of 2007. Forty-two crossbred heifers (1/4 Nellore x 1/4 Santa Gertrudis x 1/2 Braunvieh), 17-months old and 297.1 kg +/- 30.5 BW +/- s.e.m., were used. Supplements were offered at 0.75% BW.day. Treatments were allocated in a completely randomised design and distributed in a factorial arrangement (3 x 2 - SO from three different sources and two supplementation frequencies). Total DMI was greater in August and October (2.2 kg DM/kg BW) than in November (1.5 kg DM/kg BW). There was an effect of SO source on total DM, herbage and nutrients intake, but no effects of supplementation frequency. The animals supplemented with SO had greater DMI (P < 0.05) than the ones fed GS and CS. Average daily gain (0.580 g) was not affected by supplement sources or feeding frequency. Therefore, GS and CS are more efficient supplements. Supplementation frequency altered grazing time differently according to source. The MWF treatment resulted in a decreased grazing time when GS and SO were fed. However, in days when supplements were not offered, grazing time was increased for GS and CS. It was concluded that a decreased frequency of supplementation may be implemented without effect on weight gain and will reduce labour and machinery costs.Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP

AMAZONIA CAMTRAP: A data set of mammal, bird, and reptile species recorded with camera traps in the Amazon forest

The Amazon forest has the highest biodiversity on Earth. However, information on Amazonian vertebrate diversity is still deficient and scattered across the published, peer-reviewed, and gray literature and in unpublished raw data. Camera traps are an effective non-invasive method of surveying vertebrates, applicable to different scales of time and space. In this study, we organized and standardized camera trap records from different Amazon regions to compile the most extensive data set of inventories of mammal, bird, and reptile species ever assembled for the area. The complete data set comprises 154,123 records of 317 species (185 birds, 119 mammals, and 13 reptiles) gathered from surveys from the Amazonian portion of eight countries (Brazil, Bolivia, Colombia, Ecuador, French Guiana, Peru, Suriname, and Venezuela). The most frequently recorded species per taxa were: mammals: Cuniculus paca (11,907 records); birds: Pauxi tuberosa (3713 records); and reptiles: Tupinambis teguixin (716 records). The information detailed in this data paper opens up opportunities for new ecological studies at different spatial and temporal scales, allowing for a more accurate evaluation of the effects of habitat loss, fragmentation, climate change, and other human-mediated defaunation processes in one of the most important and threatened tropical environments in the world. The data set is not copyright restricted; please cite this data paper when using its data in publications and we also request that researchers and educators inform us of how they are using these data

Comentários a uma sentença anunciada : o processo Lula

“Comentários a uma sentença: o Caso Lula” é talvez o mais importante documento jurídico publicado no Brasil em décadas. A presente coletânea de artigos nasceu de um movimento espontâneo e bastante significativo de juristas brasileiros e estrangeiros que examinaram cuidadosamente a sentença proferida no âmbito do processo que tramitou na 13ª Vara Federal de Curitiba, no caso que ficou conhecido na mídia como o do “tríplex do Guarujá”. <br>De la presentación de Geraldo Prad

Comentarios a una sentencia anunciada : el proceso Lula

El centenar de textos que conforman este libro -escritos por un movimiento de prestigiosos/as juristas y abogados- desgranan el procedimiento al que fue sometido Lula. En la opinión de las y los autores de los artículos las normas no fueron observadas, y su inobservancia llevó a que se dictaminase una decisión injusta. Frases del estilo "Voy a tomar una decisión revolucionaria, dejando de lado la ley, porque por la ley no se puede condenarlo de ninguna manera”, dichas en los juicios por las más altas autoridades judiciales militares y civiles, hoy son conocidas gracias a quienes se abocaron al trabajo de escuchar los audios de aquellas sesiones, nutriendo las reflexiones que argumentan sobre el imperativo de la hora: restablecer el estado de derecho y absolver al presidente Lula Da Silva

Characterisation of microbial attack on archaeological bone

As part of an EU funded project to investigate the factors influencing bone preservation in the archaeological record, more than 250 bones from 41 archaeological sites in five countries spanning four climatic regions were studied for diagenetic alteration. Sites were selected to cover a range of environmental conditions and archaeological contexts. Microscopic and physical (mercury intrusion porosimetry) analyses of these bones revealed that the majority (68%) had suffered microbial attack. Furthermore, significant differences were found between animal and human bone in both the state of preservation and the type of microbial attack present. These differences in preservation might result from differences in early taphonomy of the bones. © 2003 Elsevier Science Ltd. All rights reserved

NEOTROPICAL CARNIVORES: a data set on carnivore distribution in the Neotropics

Mammalian carnivores are considered a key group in maintaining ecological health and can indicate potential ecological integrity in landscapes where they occur. Carnivores also hold high conservation value and their habitat requirements can guide management and conservation plans. The order Carnivora has 84 species from 8 families in the Neotropical region: Canidae; Felidae; Mephitidae; Mustelidae; Otariidae; Phocidae; Procyonidae; and Ursidae. Herein, we include published and unpublished data on native terrestrial Neotropical carnivores (Canidae; Felidae; Mephitidae; Mustelidae; Procyonidae; and Ursidae). NEOTROPICAL CARNIVORES is a publicly available data set that includes 99,605 data entries from 35,511 unique georeferenced coordinates. Detection/non-detection and quantitative data were obtained from 1818 to 2018 by researchers, governmental agencies, non-governmental organizations, and private consultants. Data were collected using several methods including camera trapping, museum collections, roadkill, line transect, and opportunistic records. Literature (peer-reviewed and grey literature) from Portuguese, Spanish and English were incorporated in this compilation. Most of the data set consists of detection data entries (n = 79,343; 79.7%) but also includes non-detection data (n = 20,262; 20.3%). Of those, 43.3% also include count data (n = 43,151). The information available in NEOTROPICAL CARNIVORES will contribute to macroecological, ecological, and conservation questions in multiple spatio-temporal perspectives. As carnivores play key roles in trophic interactions, a better understanding of their distribution and habitat requirements are essential to establish conservation management plans and safeguard the future ecological health of Neotropical ecosystems. Our data paper, combined with other large-scale data sets, has great potential to clarify species distribution and related ecological processes within the Neotropics. There are no copyright restrictions and no restriction for using data from this data paper, as long as the data paper is cited as the source of the information used. We also request that users inform us of how they intend to use the data