Intraday volatility

A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and Economics

Testing for volatility persistence change: The effect of the credit crisis on the Portuguese banks

A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and Economics

Spatial Patterns and Irregularities of the electoral data: general elections in Canada

Dissertation submitted in partial fulfillment of the requirements for the Degree of Master of Science in Geospatial Technologies.

Electoral opportunism and fiscal policy before and after the EMU

A Masters Thesis, presented as part of the requirements for the award of a Research Masters Degree in Economics from NOVA – School of Business and Economics

Crashes, volatility, and the equity premium: Lessons from S&P 500 options

We use a novel pricing model to imply time series of diffusive volatility and jump intensity from S&P 500 index options. These two measures capture the ex ante risk assessed by investors. Using a simple general equilibrium model, we translate the implied measures of ex ante risk into an ex ante risk premium. The average premium that compensates the investor for the ex ante risks is 70% higher than the premium for realized volatility. The equity premium implied from option prices is shown to significantly predict subsequent stock market returns.

Electoral observation: Evidence from Mozambique

Electoral fraud is a common problem in young democracies. Election observers constitute one possible remedy. Yet, quantitative evidence of the exact effects of observers is scarce. Data on the random assignment of observers during Mozambique’s 2009 general elections is used to estimate the impact that observers have on ballot fraud. It is shown that the presence of national observers reduces high levels of turnout and manipulation of ballots. The findings contribute to the understanding of the behavior of politicians and have implications for the implementation of observer missions.

Fiscal dynamics and electoral behavior in the Eurozone

Abstract: The Stability Growth Pact and the 3% rule did not prevent countries from running large deficits. Countries in the EMU administrate fiscal policies differently, despite the existence of a common quantitative goal. The main focus of this work project is to study differences in the fiscal dynamics of eight EMU countries and assess the role of political variables in shaping those dynamics. We find that elections negatively affect government revenue in Austria, Belgium, Portugal, Spain and Germany. Expenditure, on the other hand, responds positively to incoming elections in Portugal, Italy, France and Netherlands, and negatively in the case of Germany.

What is the value of value-at-risk after all?: A conditional approach using quantile regressions

A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and Economics

The hidden value behind capital structure decisions

A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and Economics

Treasury bond returns and U.S. political cycles

A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and Economics

Nominations across gender: An empirical investigation of Brazilian municipal elections

A Work Project, presented as part of the requirements for the Award of a Masters Degree in Economics from the NOVA – School of Business and Economics

Differences in the prices of physical ETF’s and synthetic ETF’s

A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and Economics

Is Information Power? Using Mobile Phones and Free Newspapers during an Election in Mozambique*

African elections often reveal low levels of political accountability. We assess different forms of voter education during an election in Mozambique. Three interventions providing information to voters and calling for their electoral participation were randomized; an SMS-based information campaign, an SMS hotline for electoral misconduct, and the distribution of a free newspaper. To measure impact, we look at official electoral results, reports by electoral observers, behavioral and survey data. We find positive effects of all treatments on voter turnout. We observe that the distribution of the newspaper led to more accountability-based participation and to a decrease in electoral problems.

The impact of national and international observers in democratic elections: A randomized control trial from the Mozambican elections of 2009

A Work Project, presented as part of the requirements for the Award of a Masters Degree in Economics from the NOVA – School of Business and Economics