Principal component analysis of the yield curve

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

Three essays on the term structure of interest rates

A PhD Dissertation, presented as part of the requirements for the Degree of Doctor of Philosophy from the NOVA - School of Business and Economics

Previsão da estrutura temporal da taxa de juro na zona Euro : aproximação paramétrica e por métodos de aprendizagem automática

A estrutura temporal das taxas de juro, também conhecida por yield curve ou curva de rendimentos define a relação entre as taxas de juros e o prazo de vencimento (ou maturidades) dos investimentos feitos. Assim, o desenvolvimento de modelos que possibilitem a obtenção de previsões precisas sobre a estrutura temporal das taxas de juro e que permitam estudar a dinâmica da evolução das taxas de juro é de crucial importância em diversas áreas de financiamento. Neste estudo investigou-se a performance de diferentes métodos de previsão para obter a estrutura temporal das taxas de juro da Zona Euro, considerando o período entre 2009 e 2015. Em termos mais específicos, foi analisada a capacidade preditiva do modelo de Nelson-Siegel & Svensson assumindo que os parâmetros resultantes da estimação da especificação paramétrica podem ser modelizados através de métodos de séries temporais univariados (modelos ARIMA, Random walk) e multivariados (modelos VAR) e Redes Neuronais Artificiais (RNA) individuais e conjuntas. Os resultados deste estudo mostram que (i) as RNA com a previsão dos parâmetros em simultâneo exibem os valores de erro mais baixos para as maturidades de curto e médio prazo (3 meses a 5 anos); (ii) As RNAs individuais são melhores para prever as taxas de juro nas maturidades compreendidas entre os 7 e os 10 anos, e que (iii) para as maturidades de longo e muito longo prazo (15 e 30 anos respetivamente) deverá ser escolhido o modelo VAR(1). Estes resultados são robustos e consistentes para todos os horizontes de previsão analisados (1,2 e 3 meses). Contudo, no período analisado nenhum dos modelos testados apresenta valores de erro inferiores aos obtidos com o modelo Random Walk.

Avaliação do débito máximo da tosse (peak cough flow) na doença pulmonar obstrutiva crónica

Resumo Objectivos: Avaliação da Tosse em doentes com Doença Pulmonar Obstrutiva Crónica (DPOC). Identificar e determinar a relação dos factores preditivos que contribuem para a deterioração da capacidade de tosse nestes indivíduos. Tipo de estudo: Estudo observacional descritivo de natureza transversal. Definição dos casos: Os critérios de diagnóstico da DPOC são o quadro clínico e o Gold standard para diagnóstico da DPOC – a espirometria. População-alvo: Todos os utentes com patologia primária de DPOC diagnosticada que se desloquem ao serviço de função respiratória do Hospital de Viseu, para realizar provas. Método de Amostragem: Foi utilizada uma amostra aleatória constituída por todos os indivíduos, que cumpriram os critérios de inclusão, conscientes e colaborantes, que aceitaram participar neste estudo. Dimensão da amostra: Uma amostra de 55 indivíduos que se deslocaram ao serviço de função respiratória, entre Janeiro e Junho de 2009, para realizar provas de função respiratória. Condução do estudo: Os utentes que aceitaram participar neste estudo foram sujeitos a um questionário de dados clínicos e realizaram 5 testes: índice de massa corporal (IMC), estudo funcional respiratório e gasometria arterial, avaliação da força dos músculos respiratórios (PImax e PEmax) e avaliação do débito máximo da tosse (Peak Cough Flow). Análise estatística: Foram obtidos dados caracterizadores da amostra em estudo, sendo posteriormente correlacionado o valor de débito máximo da tosse (Peak Cough Flow) com os resultados obtidos para as avaliações do IMC, estudo funcional respiratório, PImax e PEmax, gasometria, avaliação da capacidade de Tosse e número de internamentos no último ano por agudização da DPOC. Tendo sido encontrados os valores de correlação entre o Peak Cough Flow e os restantes parâmetros. Resultados: Após análise dos resultados, foram obtidos os valores de Peak Cough Flow para a população com DPOC e verificou-se valores diminuídos em comparação com os valores normais da população, tendo-se verificado maiores valores de PCF em indivíduos do sexo masculino, em comparação aos valores do sexo feminino. Foi analisada a relação entre o PCF e a idade, peso, altura e IMC, não tendo sido encontrada relação, dado que a tosse não apresenta uma variação segundo os valores antropométricos, tal como a relação com os valores espirométricos. Quanto aos parâmetros funcionais respiratórios foram analisadas as relações com o PCF. Verificou-se relações significativas entre o PCF e o FEV1, a FVC, o PEF, apresentando uma relação positiva, onde maiores valores destes parâmetros estão correlacionados com maiores picos de tosse. Quanto a RAW e RV, o PCF apresenta uma relação negativa, onde uma maior resistência da via aérea ou doentes mais hiperinsuflados leva a menores valores de PCF. Por outro lado não foi encontrada relação entre o PCF e a FRC e o TLC. Quanto à força dos músculos respiratórios, verificou-se relação significativa com o PImax e a PEmax em que a fraqueza ao nível dos músculos respiratórios contribuem para um menor valor de PCF. Relativamente aos valores da gasometria arterial, verificou-se relação entre o PCF e a PaO2 de forma positiva, em que doentes hipoxémicos apresentam menores valores de tosse, e a PaCO2, de forma negativa, em que os doentes hipercápnicos apresentam menores valores de PCF tendo sido verificada relação entre o PCF e o pH e sO2. Quanto à relação entre o número de internamentos por agudização da DPOC no último ano e o PCF verificou-se uma relação significativa, onde um menor valor de PCF contribui para uma maior taxa de internamento por agudização da DPOC. Conclusão: Este conjunto de conclusões corrobora a hipótese inicialmente formulada, de que o Peak Cough Flow se encontra diminuído nos indivíduos com Doença Pulmonar Obstrutiva Crónica onde a variação do PCF se encontra directamente relacionada com os parâmetros funcionais respiratórios, com a força dos músculos respiratórios e com os valores de gasometria arterial. ABSTRACT: Aims: Cough evaluation in Chronic Obstructive Pulmonary Disease (COPD) patients. Identify and determine the relation of the predictive factors that contribute to the cough capacity degradation in this type of patients. Type of study: Descriptive observational study of transversal nature. Case definition: The COPD diagnosis criteria are the clinical presentation and the gold standard to the COPD diagnosis- the Spirometry. Target Population: Every patients, with primary pathology of COPD diagnosed, who went to the respiratory function service of Viseu hospital to perform tests. Sampling Method: It was used a random sample constituted by all the, conscious and cooperating individuals, who complied with the inclusion criteria and who accepted to make part of this study. Sample size: A sample of 55 individuals that went to the respiratory function service between January and June 2009 to perform respiratory function tests. Study: The patients who accepted to make part of this study were submitted to a clinical data questionary and performed 5 tests: body mass index (BMI), respiratory functional study, arterial blood gas level, evaluation of respiratory muscles strength (maximal inspiratory pressure (MIP) and maximum expiratory pressure (MEP)), and Peak Cough Flow evaluation. Statistic Analysis: Were obtained characterizing data of the sample in study, and later correlated the value of the Peak Cough Flow with the results from the evaluation of the body mass index (BMI), the respiratory functional study the MIP and MEP, the arterial blood gas level and also with the ability to cough evaluation and the number of hospitalizations in the last year for COPD exacerbations. The values of correlation between the Peak Cough Flow and the other parameters were found. Results: After analyzing the results, were obtained the values of Peak Cough Flow for the population with COPD. There were decreased values compared with the population normal values, having been found higher values of PCF in males compared to female values. It was analyzed the relation between the PCF and the age, weight, height and BMI but no relation was found on account of the fact that the cough does not show a variation according to anthropometric parameters, such as the relation with spirometric values. As for the respiratory functional parameters were analyzed relations with the PCF. There were significant relations between the PCF and FEV1, the FVC, the PEF, presenting a positive relation, where higher values of these parameters are correlated with higher incidence of cough. Concerning the RAW and RV, the PCF has a negative relation, in which a higher airway resistance or in more hyperinflated patients, leads to lower values of PCF. On the other hand no correlation was found between the PCF and the FRC and TLC. Regarding the respiratory muscle strength, there was a significant relation with the MIP and MEP, in which the weakness at the level of respiratory muscles contribute to a lower value of PCF. For values of arterial blood gas level, there was no relation between the PCF and PaO2, in a positive way, in which patients with hypoxemia present lower values of cough, and PaCO2, in a negative way in which hypercapnic patients had lower values of PCF, having being founded a relation between the PCF and the pH and sO2. As for the relation between the number of hospitalizations for COPD exacerbation in the last year and the PCF was found a significant relation, in which a smaller value of PCF contributes to a higher rate of hospitalization for COPD exacerbation. Conclusion: This set of findings supports the hypothesis first formulated that Peak Cough Flow is decreased in individuals with Chronic Obstructive Pulmonary Disease, in which the variation of the PCF is directly related to the respiratory function parameters, the strength of respiratory muscles and the values of arterial blood gases.

Post-merger innovative performance in the renewable energy sector

Due to global warming and shrinking fossil fuel resources, politics as well as society urge for a reduction of green house gas (GHG) emissions. This leads to a re-orientation towards a renewable energy sector. In this context, innovation and new technologies are key success factors. Moreover, the renewable energy sector has entered a consolidation stage, where corporate investors and mergers and acquisitions (M&A) gain in importance. Although both M&A and innovation in the renewable energy sector are important corporate strategies, the link between those two aspects has not been examined before. The present thesis examines the research question how M&A influence the acquirer’s post-merger innovative performance in the renewable energy sector. Based on a framework of relevant literature, three hypotheses are defined. First, the relation between non-technology oriented M&A and post-merger innovative performance is discussed. Second, the impact of absolute acquired knowledge on postmerger innovativeness is examined. Third, the target-acquirer relatedness is discussed. A panel data set of 117 firms collected over a period of six years has been analyzed via a random effects negative binomial regression model and a time lag of one year. The results support a non-significant, negative impact of non-technology M&A on postmerger innovative performance. The applied model did not support a positive and significant impact of absolute acquired knowledge on post-merger innovative performance. Lastly, the results suggest a reverse relation than postulated by Hypothesis 3. Targets from the same industry significantly and negatively influence the acquirers’ innovativeness.

A historical approach to the new secular stagnation hypothesis

In this paper, we analyze the behavior of real interest rates over the long-run using historical data for nine developed economies, to assess the extent to which the recent decline observed in most advanced countries is at odds with the past data, as suggested by the Secular Stagnation hypothesis. By using data from 1703 and performing stationarity and structural breaks tests, we find that the recent decline in interest rates is not explained by a structural break in the time series. Our results also show that considering long-run data leads to different conclusions than using short-run data.

Proving a market for a startup befor scaling using the hypothesis-driven entrepreneurship process

The year is 2015 and the startup and tech business ecosphere has never seen more activity. In New York City alone, the tech startup industry is on track to amass $8 billion dollars in total funding – the highest in 7 years (CB Insights, 2015). According to the Kauffman Index of Entrepreneurship (2015), this figure represents just 20% of the total funding in the United States. Thanks to platforms that link entrepreneurs with investors, there are simply more funding opportunities than ever, and funding can be initiated in a variety of ways (angel investors, venture capital firms, crowdfunding). And yet, in spite of all this, according to Forbes Magazine (2015), nine of ten startups will fail. Because of the unpredictable nature of the modern tech industry, it is difficult to pinpoint exactly why 90% of startups fail – but the general consensus amongst top tech executives is that “startups make products that no one wants” (Fortune, 2014). In 2011, author Eric Ries wrote a book called The Lean Startup in attempts to solve this all-too-familiar problem. It was in this book where he developed the framework for The Hypothesis-Driven Entrepreneurship Process, an iterative process that aims at proving a market before actually launching a product. Ries discusses concepts such as the Minimum Variable Product, the smallest set of activities necessary to disprove a hypothesis (or business model characteristic). Ries encourages acting briefly and often: if you are to fail, then fail fast. In today’s fast-moving economy, an entrepreneur cannot afford to waste his own time, nor his customer’s time. The purpose of this thesis is to conduct an in-depth of analysis of Hypothesis-Driven Entrepreneurship Process, in order to test market viability of a reallife startup idea, ShowMeAround. This analysis will follow the scientific Lean Startup approach; for the purpose of developing a functional business model and business plan. The objective is to conclude with an investment-ready startup idea, backed by rigorous entrepreneurial study.