In this paper we propose a method to estimate the value-at-risk (VaR) of a portfolio based on a combination of time series, extreme value theory and copula fitting. Given multivariate financial data, we use a univariate ARMA-GARCH model for each return series. We then fit a generalized Pareto distribution to the tails of the residuals to model the distributions of marginal residuals, followed b...

Modeling the dependency between stock market returns is a difficult task when returns follow a complicated dynamics. It is not easy to specify the multivariate distribution relating two or more return series. In this paper, a methodology based on fitting ARIMA, GARCH and ARMA-GARCH models and copula functions is applied. In such methodology, the dependency parameter can easily be rendered condi...

With the increase of wind power as a renewable energy source in many countries, wind speed forecasting has become more and more important to the planning of wind speed plants, the scheduling of dispatchable generation and tariffs in the day-ahead electricity market, and the operation of power systems. However, the uncertainty of wind speed makes troubles in them. For this reason, a wind speed f...

Precise control of the canonical Wnt pathway is crucial in embryogenesis and all stages of life, and dysregulation of this pathway is implicated in many human diseases including cancers and birth defect disorders. A key aspect of canonical Wnt signaling is the cytoplasmic to nuclear translocation of β-catenin, a process that remains incompletely understood. Here we report the identification of ...

OBJECTIVE To estimate the investments to implement and operational costs of a type I Oral Health Care Team in the Family Health Care Strategy. METHODS This is an economic assessment study, for analyzing the investments and operational costs of an oral health care team in the city of Salvador, BA, Northeastern Brazil. The amount worth of investments for its implementation was obtained by summi...

In the age of cloud computing, securely storing, tracking, and controlling access to digital “secrets” (e.g. private cryptographic keys, hashed passwords, etc) is a major challenge for developers, administrators, and end-users alike. Yet, the ability to securely store such secrets is critical to the security of the web-connected applications on which we rely. We believe many of the traditional ...