Robust bootstrap forecast densities for GARCH returns and volatilities

Bootstrap procedures are useful to obtain forecast densities for both returns and volatilities in the context of generalized autoregressive conditional heteroscedasticity models. In this paper, we analyse the effect of additive outliers on the finite sample properties of these bootstrap densities and show that, when obtained using maximum likelihood estimates of the parameters and standard filters for the volatilities, they are badly affected with dramatic consequences on the estimation of Value-at-Risk. We propose constructing bootstrap densities for returns and volatilities using a robust parameter estimator based on variance targeting implemented together with an adequate modification of the volatility filter. We show that the performance of the proposed procedure is adequate when compared with available robust alternatives. The results are illustrated with both simulated and real data.     

Strong formulation for the spot 5 daily photograph scheduling problem

Earth observation satellites, such as the SPOT 5, take photographs of the earth according to consumers’ demands. Obtaining a good schedule for the photographs is a combinatorial optimization problem known in the literature as the daily photograph scheduling problem (DPSP). The DPSP consists of selecting a subset of photographs, from a set of candidates, to different cameras, maximizing a profit function and satisfying a large number of constraints. Commercial solvers, with standard integer programming formulations, are not able to solve some DPSP real instances available in the literature. In this paper we present a strengthened formulation for the DPSP, based on valid inequalities arising in node packing and 3-regular independence system polyhedra. This formulation was able, with a commercial solver, to solve to optimality all those instances in a short computation time.     

Standard Exponential Cure Rate Model with Informative Censoring

In this article, we consider the standard cure rate model proposed by Boag (1949 Boag , J. W. ( 1949 ). Maximum likelihood estimates of the proportion of patients cured by cancer therapy . J. Roy. Statist. Soc. B 11 : 15 – 53 . [Google Scholar]) and Berkson and Gage (1952 Berkson , J. , Gage , R. ( 1952 ). Survival curve for cancer patients following treatment . J. Amer. Statist. Assoc. 47 : 501 – 515 .[Taylor & Francis Online], [Web of Science ®] , [Google Scholar]). We present a new definition of informative censoring similar to Lawless (1982 Lawless , J. F. ( 1982 ). Statistical Models and Methods for Lifetime Data . New York : Wiley .[Crossref] , [Google Scholar]) and the corresponding likelihood function. Under informative censoring, we obtain the Fisher information matrix of the exponential standard cure rate model. We verify, with simulated data, the impact caused by informative censoring in the coverage probabilities and in the lengths of asymptotic confidence intervals of the parameters of interest. An example with real data is analyzed.     

On-Line Process Control using Attributes with Misclassification Errors: An Economical Design for Short-Run Production

On-line process control consists of inspecting a single item for every m (integer and m ≥ 2) produced items. Based on the results of the inspection, it is decided whether the process is in-control (the fraction of conforming items is p ₁; State I) or out-of-control (the fraction of conforming items is p ₂ < p ₁; State II). If the inspected item is non conforming, it is determined that the process is out-of-control, and the production process is stopped for an adjustment; otherwise, production continues. As most designs of on-line process control assume a long-run production, this study can be viewed as an extension because it is concerned with short-run production and the decision regarding the process is subject to misclassification errors. The probabilistic model of the control system employs properties of an ergodic Markov chain to obtain the expression of the average cost of the system per unit produced, which can be minimised as a function of the sampling interval, m. The procedure is illustrated by a numerical example.     

Connecting Two Sides: A Qualitative Study on Social Innovation Ventures and Poor Communities in an Emerging Economy

VOLUNTAS: International Journal of Voluntary and Nonprofit Organizations - The relationship between social innovation venture and poor communities has received little attention from studies in the...     

The footwear factory's assembly sector: opposing organizational structure and quality from the ergonomic work analysis

Data from 2006 indicated that Brazilian footwear leather industry was composed of approximately 9,488 formally registered establishments, considering the leather industry, footwear and leather goods. It was responsible for 211,582 people employed. However, in spite of having many employees, this kind of organization found several problems when analyzed from the ergonomics view. With this premise, then, in order to identify bottlenecks and other engineering problems that could cause discomfort and motivation lack among workers, leading directly to the loss of the product quality, the assembly sector of women's shoes factory was characterized.     

Ergonomics in designing process: dialogue between designers, executors and users in the maintenance activity of radars in an oil refinery

This paper aims to discuss the role of ergonomics in design process using the dialogue developed by designers, implementers and users in an oil refinery. It was possible to identify the need of minimizing the postural constraints, risk of accidents, mechanical shocks and to enlarge safety perception in the access and permanency of the users at the workspace. It has been determined and validated by workers and managers to implement different deadlines depending on programming, viability and execution time for the improvements proposed. In a long-term: it was proposed the substitution of the ladders with time planning according to the maintenance program of the tanks; in a short-time: it was suggested the expansion of the existing platforms, implementation of a walkway connection provided with guardrails between the upper access of the side ladder and the repositioning of radar set and aerial aiming at the usage by workers at the workstation of the new platform. It was also elaborated eight typologies of intervention, according to the request, type of tank, material stored, and its setting place. The design process arises from ergonomics workplace analysis that presents concepts for solutions which was a mediator tool to be settled between users and implementers.     

Efficiency of personal protective equipment used in agriculture

Despite the practical importance of Personal Protective Equipment (PPE), both in production and in consumption, it is observed a main problem regarding the quality of many PPE?s used in Brazil. This study found a gap between the state of the art and the state of prevailing practices in the design of PPE?s, which main consequences affect the health of workers who use PPE in agriculture activities. The results of this study identified legal constraints of this occurrence, involving the validation of PPE designed for isolate agents, without the analysis of relevant activities and without prototypes experiments in more frequent use situation.     

Temporal Association,the Dynamics of Crime,and their Economic Determinants: A Time Series Econometric Model of South Africa

The paper examines the association between variouscrime series for South Africa and their economicdeterminants between 1960 and 1993. The study usesJohansen cointegration techniques to establish theimportance of income per capita (economicopportunities), police officers per capita, convictionrates (both of which proxy for the likelihood ofcriminal success whilst the latter also captures aninstitutional efficiency aspect), and politicalinstability (necessary to reflect the unique SouthAfrican environment during this time) on per capitacrime levels. The results caution previous studiesthat find a close relationship between the level ofeconomic activity and recorded crime. Previous workhas relied on the Engle-Granger technique assuming aunique cointegrating vector. Our results for SouthAfrica indicate that whilst total offences arenegatively associated with income per capita,disaggregated crime series do not always yieldcointegrating vectors. Some conclusions on the policyimplications also follow.