A robust closed-form estimator for the GARCH(1,1) model

In this paper we extend the closed-form estimator for the generalized autoregressive conditional heteroscedastic (GARCH(1,1)) proposed by Kristensen and Linton [A closed-form estimator for the GARCH(1,1) model. Econom Theory. 2006;22:323–337] to deal with additive outliers. It has the advantage that is per se more robust that the maximum likelihood estimator (ML) often used to estimate this model, it is easy to implement and does not require the use of any numerical optimization procedure. The robustification of the closed-form estimator is done by replacing the sample autocorrelations by a robust estimator of these correlations and by estimating the volatility using robust filters. The performance of our proposal in estimating the parameters and the volatility of the GARCH(1,1) model is compared with the proposals existing in the literature via intensive Monte Carlo experiments and the results of these experiments show that our proposal outperforms the ML and quasi-maximum likelihood estimators-based procedures. Finally, we fit the robust closed-form estimator and the benchmarks to one series of financial returns and analyse their performances in estimating and forecasting the volatility and the value-at-risk.info:eu-repo/semantics/submittedVersio

A parallel multigrid solver for multi-patch Isogeometric Analysis

Isogeometric Analysis (IgA) is a framework for setting up spline-based discretizations of partial differential equations, which has been introduced around a decade ago and has gained much attention since then. If large spline degrees are considered, one obtains the approximation power of a high-order method, but the number of degrees of freedom behaves like for a low-order method. One important ingredient to use a discretization with large spline degree, is a robust and preferably parallelizable solver. While numerical evidence shows that multigrid solvers with standard smoothers (like Gauss Seidel) does not perform well if the spline degree is increased, the multigrid solvers proposed by the authors and their co-workers proved to behave optimal both in the grid size and the spline degree. In the present paper, the authors want to show that those solvers are parallelizable and that they scale well in a parallel environment.Comment: The first author would like to thank the Austrian Science Fund (FWF) for the financial support through the DK W1214-04, while the second author was supported by the FWF grant NFN S117-0

Liteira de paricá, tatajuba e eucalipto em sistemas silvipastoris no Município de Paragominas - PA.

bitstream/item/49495/1/Boletim-PD-38-AMAZ-ORIENTAL.pd

Gestão da Sala de Aula: Perspetiva Psicoeducacional

A informação que aparece sistematizada neste capítulo tem como finalidade o estudo da gestão da sala de aula pelos professores, apresentando perspetivas teóricas e investigações empíricas que permitam a sua compreensão e promoção, à luz de contributos situados, sobretudo, no âmbito da Psicologia da Educação. Depois de uma primeira parte a incidir na teoria, apresenta-se uma segunda parte dedicada à investigação e uma terceira parte de aplicação prática. Na primeira parte, as competências de gestão da sala de aula são consideradas na sua multi- dimensionalidade, gestão de conteúdos, gestão de comportamentos e gestão de conflitos. Competências comunicacionais na gestão da sala de aula são descritas no âmbito do Modelo Comunicacional Eclético (MCE), dado que este modelo fornece conceitos, procedimentos e estratégias que, pela sua abrangência e facilidade de aplicação, agilizam a compreensão dos processos que caraterizam as interações na sala de aula. Competências de organização dos espaços e dos tempos aparecem também contempladas, no âmbito da teorização apresentada. Na segunda parte, descreve-se um conjunto de investigações acerca da gestão da sala de aula, diferenciadas em estudos de caraterização e de avaliação, estudos sobre a gestão da sala de aula como variável independente, e estudos sobre a gestão da sala de aula como variável dependente. Na terceira parte, incluem-se propostas de atividades mais práticas e, ainda, sugestões de leitura de aprofundamento do tema gestão da sala de aula, bem como indicações de recursos online

Efeitos De Variações Sazonais E Métodos De Coleta Sobre A Composição Mineral De Própolis De Colmeias De Apis Mellifera Linnaeus

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)The effects of seasonal variations and the methods of collection of propolis produced by Africanized honey bees Apis mellifera Linnaeus, 1758, on the composition of constituent minerals such as magnesium (Mg), zinc (Zn), iron (Fe), sodium (Na), calcium (Ca), copper (Cu), and potassium (K) were evaluated. Propolis was harvested from 25 beehives by scraping or by means of propolis collectors (screen, “intelligent” collector propolis [ICP], lateral opening of the super [LOS], and underlay method). During the one-year study, the propolis produced was harvested each month, ground, homogenized, and stored in a freezer at -10 ºC. Seasonal analyses of the mineral composition were carried out by atomic absorption spectrophotometry and the results were evaluated by analysis of variance (ANOVA), followed by Tukey-Kramer’s test to compare the mean values (p<0.05). The results showed that seasonal variations influence the contents of 5 minerals (Mg, Fe, Na, Ca, and Cu), and the propolis harvesting method affects the contents of 4 minerals (Mg, Zn, Fe, and Ca). © 2016, Instituto Internacional de Ecologia. All rights reserved.762396401CNPq, Conselho Nacional de Desenvolvimento Científico e TecnológicoConselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq

Dinâmica e evolução de sistemas familiares de produção leiteira em Uruará, frente de colonização da Amazônia brasileira.

A propriedade agrícola é cada vez mais reconhecida como um objeto de estudo complexo. Isso se torna importante quando nela se intervém para fornecer um conselho de orientação ou uma ajuda à gestão, ou, num quadro mais amplo, no âmbito de um plano de desenvolvimento rural. Nos estabelecimentos leiteiros das frentes pioneiras da Amazônia, cuja diversidade de funcionamento é particularmente marcante, a modelagem da diversidade, graças à construção de tipologias, representa uma etapa importante para a organização do desenvolvimento agrícola. A partir do caso das explorações leiteiras no município de Uruará, na frente pioneira da Transamazônica, foram identificados cinco principais tipos de sistemas de produção de leite e trajetórias desses. A combinação dessas duas tipologias levou a caracterizar as principais dinâmicas possíveis dentro da diversidade dos sistemas leiteiros, representando as principais evoluções entre os tipos de propriedades. Os resultados salientam a importância de fatores socioeconômicos na implementação e desenvolvimento da atividade leiteira. Nesse contexto, as propostas formuladas devem favorecer a integração da produção leiteira, a sua permanência e a melhoria das condições de produção

Public debt, economic growth, and inflation in African economies

We analyse the relationship between public debt, economic growth and inflation in a group of 52 African economies between 1950 and 2012. The results indicate that the limits of public debt are negatively related to economic growth and exhibit, from a given level of debt, an inverted U behaviour regarding the relationship between economic growth and public debt. Briefly, the high levels of public debt are coincident with reduced rates of economic growth and rising levels of inflation. Our results for three specific geographical areas resemble those of the overall analysis, despite some differences. In North African countries, the growth rates of the GDP and inflation also show an inverted U behaviour as the ratio of public debt/GDP increases. The highest rate of economic growth is recorded when the ratio public debt/GDP is below 30% of GDP and corresponds to an average inflation rate of 5.33%. Identical behaviour of the GDP growth rates and inflation also appears in Sub-Saharan countries until the third interval (60-90%). However, the highest growth rate of the GDP and GDP per capita is registered when the public debt/GDP ratio is in the second interval (30-60%). For SADC countries, the highest average rate of economic growth (6.8%) is similar to North African countries, when the ratio public debt/GDP is below 30% of GDP, with an average inflation rate of 11%. A number of robustness analyses were performed and the great majority of them confirm the general analysis.info:eu-repo/semantics/acceptedVersio

Constrained nonlinear optimization for extreme scenarii evaluation in reservoir characterization.

International audienceThe goal of reservoir characterization is the estimation of unknown reservoir parameters (the history matching problem), by integrating available data in order to take decisions for production scheme and to predict the oil production of the field in the future (the forecast problem). The reservoir parameters could be classified in two classes: • those related to the geological modeling (spatial distribution of porosity, permeability, faults), • and those related to the fluid flow modeling (relative permeability curves, productivity index of the wells). Those parameters could not be directly determined by measurements (or only locally using well logs), this is the reason why this parameter estimation problem is formulated as an inverse problem with forward simulators that compute synthetic measurable data from those parameters. Observed data are well data acquired at production/injection wells (bottom-hole pressure, gas-oil ratio, oil rate) at different calendar times during the production of the field. The main contribution of this work is the integration of nonlinear optimization methodology to predict the oil production of a field and to give a confidence interval on this prediction. We believe that applying non linear optimization methods will increase accuracy and then give more reliable production forecast than approaches with simplified models of forward operators (linear approximations or response surfaces). The first and second sections of this paper are respectively dedicated to the history matching problem and to the forecast problem. In the third section, we described the optimization methods used to solve both problems. Then, in the last section the previous methodology is applied to a 3D synthetic reservoir application (the PUNQ test case)