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

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.

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

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

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.

Stops and bonanzas in the EU: Does being part of the Euro Area make a difference?

In this paper, we investigate whether being part of the euro area influences the conditional probability of going through a sudden stop or a bonanza of capital flows. Our sample period is from 1995 until 2014. We identify these two phenomena and we evaluate which push and pull factors help predict the conditional probability of experiencing one of them. We find that most countries had significant capital inflows until 2008 and that there were more sudden stops during the recent financial crisis than in any other moment in our sample. The factors that better help forecast the conditional probability of a sudden stop are global uncertainty (represented by the push factor “Volatility Index”), and the domestic economic activity (pull factors “GDP growth” and “consumer confidence”). An indicator of country risk (pull factor “change in credit rating”) is the most significant one for predicting bonanzas. Ultimately, we find no evidence that being part of the euro area influences the conditional probability of going through a sudden stop or a bonanza.

Improving accuracy of inflation forecasts using macroeconomic information

This thesis examines the effects of macroeconomic factors on inflation level and volatility in the Euro Area to improve the accuracy of inflation forecasts with econometric modelling. Inflation aggregates for the EU as well as inflation levels of selected countries are analysed, and the difference between these inflation estimates and forecasts are documented. The research proposes alternative models depending on the focus and the scope of inflation forecasts. I find that models with a Generalized AutoRegressive Conditional Heteroskedasticity (GARCH) in mean process have better explanatory power for inflation variance compared to the regular GARCH models. The significant coefficients are different in EU countries in comparison to the aggregate EU-wide forecast of inflation. The presence of more pronounced GARCH components in certain countries with more stressed economies indicates that inflation volatility in these countries are likely to occur as a result of the stressed economy. In addition, other economies in the Euro Area are found to exhibit a relatively stable variance of inflation over time. Therefore, when analysing EU inflation one have to take into consideration the large differences on country level and focus on those one by one.

Brownian motion with drift threshold model

In this thesis we implement estimating procedures in order to estimate threshold parameters for the continuous time threshold models driven by stochastic di®erential equations. The ¯rst procedure is based on the EM (expectation-maximization) algorithm applied to the threshold model built from the Brownian motion with drift process. The second procedure mimics one of the fundamental ideas in the estimation of the thresholds in time series context, that is, conditional least squares estimation. We implement this procedure not only for the threshold model built from the Brownian motion with drift process but also for more generic models as the ones built from the geometric Brownian motion or the Ornstein-Uhlenbeck process. Both procedures are implemented for simu- lated data and the least squares estimation procedure is also implemented for real data of daily prices from a set of international funds. The ¯rst fund is the PF-European Sus- tainable Equities-R fund from the Pictet Funds company and the second is the Parvest Europe Dynamic Growth fund from the BNP Paribas company. The data for both funds are daily prices from the year 2004. The last fund to be considered is the Converging Europe Bond fund from the Schroder company and the data are daily prices from the year 2005.

Double coverage and demand for health care: Evidence from quantile regression

An individual experiences double coverage when he bene ts from more than one health insurance plan at the same time. This paper examines the impact of such supplementary insurance on the demand for health care services. Its novelty is that within the context of count data modelling and without imposing restrictive parametric assumptions, the analysis is carried out for di¤erent points of the conditional distribution, not only for its mean location. Results indicate that moral hazard is present across the whole outcome distribution for both public and private second layers of health insurance coverage but with greater magnitude in the latter group. By looking at di¤erent points we unveil that stronger double coverage e¤ects are smaller for high levels of usage. We use data for Portugal, taking advantage of particular features of the public and private protection schemes on top of the statutory National Health Service. By exploring the last Portuguese Health Survey, we were able to evaluate their impacts on the consumption of doctor visi

A score test for non-nested hypotheses with applications to discrete data models

This paper suggests that a convenient score test against non-nested alternatives can be constructed from the linear combination of the likelihood functions of the competing models. It is shown that this procedure is essentially a test for the correct specification of the conditional distribution of the variable of interest.

Derivation and consistency checking of models in early software product line engineering

Dissertação para obtenção do Grau de Doutor em Engenharia Informática

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

Economic rents, institutions and growth: International aid and natural resources: A comparative analysis

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

Three essays in risky behaviors

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