Modeling and forecasting value-at-risk for the Portuguese stock market

The aim of this work project is to find a model that is able to accurately forecast the daily Value-at-Risk for PSI-20 Index, independently of the market conditions, in order to expand empirical literature for the Portuguese stock market. Hence, two subsamples, representing more and less volatile periods, were modeled through unconditional and conditional volatility models (because it is what drives returns). All models were evaluated through Kupiec’s and Christoffersen’s tests, by comparing forecasts with actual results. Using an out-of-sample of 204 observations, it was found that a GARCH(1,1) is an accurate model for our purposes.

Development of composite particles for pulmonary delivery

In this work, biocompatible and biodegradable poly(D-L-lactide-co-glycolide) (PLGA) microparticles with the potential for use as a controlled release system of vaccines and other drugs to the lung were manufactured using supercritical CO2, through the Supercritical Assisted Atomization (SAA) technique. After performing a controlled variance in production parameters (temperature, pressure, CO2/solution flow ratio) PLGA microparticles were characterized and later used to encapsulate active pharmaceutical ingredients (API). Bovine serum albumin (BSA) was chosen as model protein and vaccine, while sildenafil was the chosen drug to treat pulmonary artery hypertension and their effect on the particles characteristics was evaluated. All the produced formulations were characterized in relation to their morphology (Morphologi G3 and scanning electronic microscopy (SEM)), to their physical-chemical properties (X-ray diffraction (XRD, differential scanning calorimetry (DSC), Fourier transform infrared (FTIR)) and aerodynamic performance using an in vitro aerosolization study – Andersen cascade impactor (ACI) - to obtain data such as the fine particle fraction (FPF) and the mass median aerodynamic diameter (MMAD). Furthermore, pharmacokinetic, biodegradability and biocompatibility tests were performed in order to verify the particle suitability for inhalation. The resulting particles showed aerodynamic diameters between the 3 and 5 μm, yields up to 58% and FPF percentages rounding the 30%. Taken as a whole, the produced microparticles do present the necessary requests to make them appropriate for pulmonary delivery.

The graduate: Spillovers from the entry of the first worker with a college degree in a firm

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