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	Provedor de dados AgEcon (2) Autor Bastianin, Andrea (1) Ledebur, Oliver von (1) Schmitz, Jochen (1) Palavra-chave C53 (2) G17 (2) Agricultural Finance (1) C32 (1) C52 (1) C58 (1) Copula functions (1) Corn market (1) Financial Economics (1) Forecasting (1) Futures prices (1) Market expectations (1) Political Economy (1) Q14 (1) Q43 (1) Research Methods/ Statistical Methods (1) Risk and Uncertainty (1) Risk neutral density (1) Value-At-Risk (1) Mais... Tipo do documento Presentation (1) Working or Discussion Paper (1) Ano 2012 (1) 2009 (1) País United States (2) Idioma Inglês (2)		Ordenar por:  Relevância Autor Título Ano Registros recuperados: 2 Primeira ... 1 ... Última The 2007 emerging corn price surge revisited – Was it expected or a large surprise? AgEcon Schmitz, Jochen; Ledebur, Oliver von. Point forecasts are a common method to classify uncertain future outcomes. In the option price literature the concept of implied volatility is well known. This concept is used to get a forward looking indicator about the future volatility. Nowadays market expectations can be extracted in numerous ways. One of the first articles regarding this topic in the area of exchange rates and interest rates was Sölderlind and Svensson (1997). Extracting market expectations is not only focused on point forecasts. A more ambitious approach is to extract the whole possible range of market expectations out of option prices. This concept is called risk-neutral density (RND). Most agricultural markets undergo some remarkable price movements in the last 4 years. The reasons... Tipo: Presentation Palavras-chave: Risk neutral density; Market expectations; Futures prices; Corn market; Agricultural Finance; Financial Economics; Political Economy; Research Methods/ Statistical Methods; Q14; C53; C58; G17. Ano: 2012 URL: http://purl.umn.edu/123971 Modelling Asymmetric Dependence Using Copula Functions: An Application to Value-at-Risk in the Energy Sector AgEcon Bastianin, Andrea. In this paper I have used copula functions to forecast the Value-at-Risk (VaR) of an equally weighted portfolio comprising a small cap stock index and a large cap stock index for the oil and gas industry. The following empirical questions have been analyzed: (i) are there nonnormalities in the marginals? (ii) are there nonnormalities in the dependence structure? (iii) is it worth modelling these nonnormalities in risk- management applications? (iv) do complicated models perform better than simple models? As for questions (i) and (ii) I have shown that the data do deviate from the null of normality at the univariate, as well as at the multivariate level. When considering the dependence structure of the data I have found that asymmetries show up in their... Tipo: Working or Discussion Paper Palavras-chave: Copula functions; Forecasting; Value-At-Risk; Risk and Uncertainty; C32; C52; C53; G17; Q43. Ano: 2009 URL: http://purl.umn.edu/50452 Registros recuperados: 2 Primeira ... 1 ... Última

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