Modelling multiple regimes in financial volatility with a flexible coefficient GARCH model

In this paper a flexible GARCH-type model is developed with the aim of describing sign and size asymmetries in financial volatility as well as intermittent dynamics and excess of kurtosis. A sufficient condition for strict stationarity and ergodicity of the model is established and the existence of the second- and fourth-order moments is discussed. It is shown that the model may have explosive regimes and still be strictly stationary and ergodic. Furthermore, estimation of the parameters is carefully addressed and the asymptotic properties of the quasi-maximum likelihood estimator is derived. A modeling cycle based on a sequence of simple and easily implemented Lagrange multiplier tests is discussed in order to avoid the estimation of unidentified models. A Monte-Carlo experiment is designed to evaluate the methodology. Empirical examples are used to illustrate the use of the model in practical situations.Volatility, GARCH models, multiple regimes, nonlinear time series, smooth transition, finance, asymmetry, leverage effect, excess of kurtosis.

Evaluating the performance of GARCH models using White´s Reality Check

time seris, GARCH models, bootstrap, reality check, volatility, financial econometrics, Monte Carlo, forecasting, riskmetrics, moving average

ESTIMATION AND ASYMPTOTIC THEORY FOR A NEW CLASS OF MIXTURE MODELS

In this paper a new model of mixture of distributions is proposed, where the mixing structure is determined by a smooth transition tree architecture. Models based on mixture of distributions are useful in order to approximate unknown conditional distributions of multivariate data. The tree structure yields a model that is simpler, and in some cases more interpretable, than previous proposals in the literature. Based on the Expectation-Maximization (EM) algorithm a quasi-maximum likelihood estimator is derived and its asymptotic properties are derived under mild regularity conditions. In addition, a specific-to-general model building strategy is proposed in order to avoid possible identification problems. Both the estimation procedure and the model building strategy are evaluated in a Monte Carlo experiment, which give strong support for the theory developed in small samples. The approximation capabilities of the model is also analyzed in a simulation experiment. Finally, two applications with real datasets are considered. KEYWORDS: Mixture models, smooth transition, EM algorithm, asymptotic properties, time series, conditional distribution.

Aplicación de la metáfora de la colonia de hormigas en la administración de direcciones en redes móviles ad hoc

Address management is a critical pro­cess in a network, because any node wishing to make part of the network must first obtain an address. Address management in MANETs poses particular challenges, due to their operation conditions, their dynamic topology and the unique events that take place inside them. This article presents an approach for solving the address management problem in this environment, using the self-organization and emergency principles governing the behavior of social insect colonies, particularly ant colonies. The article presents results that evaluate the proposal’s validity and efficiency through several scenarios. Three fundamental aspects were evaluated: Model functionality, efficiency and impact on user applications. The obtained results show the proposed model is able to identify, manage and solve all the events related to address management in a MANET, in an efficient manner.La administración de direcciones es un proceso crítico en una red. La posesión de una dirección es un requisito previo e ineludible para cualquier nodo que aspire a hacer parte de ella. La administración de direcciones en una red móvil ad hoc se constituye en todo un desafío, por las particulares condiciones de operación de este tipo de redes, por la naturaleza dinámica y cambiante de su topología, y por el tipo particular de eventos que en ella tienen lugar. En este artículo se presenta una propuesta para resolver este problema. En ella, se aplican los principios de auto-organización y emergencia que gobiernan el comportamiento de las colonias de insectos sociales. En particular, se utilizan los principios de organización y de comportamiento, presentes en una colonia de hormigas para dar tratamiento a los principales eventos que ocurren al interior y entre redes móviles ad hoc. En el artículo se presentan, para diferentes escenarios, resultados orientados a valorar la validez y eficiencia de la propuesta. Para hacerlo se evaluaron tres aspectos fundamentales: la funcionalidad del modelo propuesto, la eficiencia de la solución y la valoración del impacto que sobre el desempeño de las aplicaciones del usuario tiene el modelo propuesto. La evidencia experimental obtenida demuestra que el modelo propuesto es capaz de identificar, gestionar y resolver, adecuada y eficientemente, todos los eventos relacionados con la administración del espacio de direcciones en una red móvil ad hoc

Precision and accuracy of sampling methods in thinned Pinus taeda L. stands

Different sampling methods can be used in forest surveys. It is important to know the precision and accuracy of these sampling methods, and which one is the most appropriate in specific conditions of the forest population. The aim of this study was to compare estimates of a forest inventory performed by different sampling methods with forest census results. The sampling methods evaluated were the fixed-area method and the variable-area methods of Bitterlich, Prodan, and Strand. The data were obtained in a 15-year-old thinned stand of Pinus taeda L., located in the municipality of Teixeira Soares, southern Brazil, with a total area of 12.80 ha. Initially, the forest census was carried out, and subsequently, the sample units for each sampling method were distributed in the stand, with a common starting point. The variables used to compare the sample results with the census means were quadratic diameter, number of trees, basal area, and volume, per hectare. Precision and accuracy were evaluated by sampling error and whether the confidence intervals covered the population means, respectively. The fixed-area and Bitterlich methods stood out in precision for all variables analysed. The fixed-area, Bitterlich and Strand methods with proportion to height provided more accurate estimates. The Prodan method provided inaccurate and imprecise estimates for the variables under analysis, except for the quadratic diameter

Can different stages of leprosy treatment influence the profile of oral health? Oral status in leprosy

The aim of study was to evaluate the oral health status, salivary flow and halitosis among individuals diagnosed with leprosy as compared with healthy subjects. A sample of 160 individuals was allocated into four groups, as follows: (G1) individuals with complete leprosy treatment; (G2) individuals diagnosed with leprosy and under multi-drug therapy; (G3) individuals diagnosed with leprosy not yet under treatment; and (G4) healthy individuals. Then individuals were submitted to periodontal clinical examination (visible plaque index, bleeding index, depth of probing and clinical attachment level); DMFT index (decayed-missing-filled teeth index); evaluation of salivary flow and halitosis using a halimeter equipment (Interscan Corp, Chatsworth, CA, USA). The data were analyzed using Kruskal-Wallis and chi-square tests. The mean DMFT was found to be higher than 6.6, which is considered very high, with no significant difference between groups (P>0.05). As for salivary flow, 76.2% of the subjects presented normal flow rates, while 10% and 13.7% showed low and very low salivary flow rates, respectively, with hyposalivation being mostly observed in Groups 1 and 2. The highest prevalence of noticeable odor was found in healthy individuals (G4), and the most prevalent periodontal diagnosis was gingivitis (63.1%) in Group 3 (individuals with leprosy not yet under multi-drug therapy) followed by periodontitis (25%) in Group 1 (individuals who had completed leprosy treatment). It was observed that individuals with a history of leprosy present poor oral health similar to that of systemically healthy individuals

ECONOMIC-FINANCIAL PERFORMANCE AND SPORTIVE PERFORMANCE: AN ANALYSIS WITH FOOTBALL CLUBS IN BRAZIL

The present study has the purpose to verify the relationship between the sportive and financial performance of soccer clubs in Brazil that participated at least once in the “Série A” or “Série B” between 2013 and 2016. In order to measure the sporting performance, the Official CBF Clubs Ranking was used as well as the score in a ranking developed by the authors, which used the same methodology as the CBF Ranking but considering only the current year. For the financial performance, the following indicators were used: Gross Operating Revenue, Wage Expenditure, EBIT and Indebtedness. Descriptive statistics analysis and regression with panel data, controlling the fixed effects, were performed. The research findings indicate a positive and significant relationship of gross income, salary expenditure and indebtedness with the clubs’ sports performance in the four regression models. EBIT and the dummy of electoral year weren’t significant, showing no relation with the clubs’ sports results