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| Registros recuperados: 65 | |
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| Martins,Tailon; Barreto,Alisson Castro; Coronel,Daniel Arruda; Jacobi,Luciane Flores; Lirio,Valentina Wolff; Souza,Adriano Mendonça. |
| ABSTRACT: The objective of this research was to forecast the Brazilian national production of agricultural and road machinery in the short term by BOX & JENKINS methodology and determine the persistence effect. Data were obtained at National Association of Automotive Vehicle Manufacturers (ANFAVEA) from January 1960 to October 2019, totaling 718 monthly observations. The Autoregressive Integrated Moving Average (ARIMA) and Autoregressive Conditional Heteroscedasticity (ARCH) methodology were used. The ARIMA (2,1,1)-ARCH (2) model was fitted and persistence of 0.60 was determined, showing that the instability in the series will be for a long period of time. |
| Tipo: Info:eu-repo/semantics/article |
Palavras-chave: Time series; Prediction; Volatility; Agricultural machinery; Road machinery. |
| Ano: 2020 |
URL: http://www.scielo.br/scielo.php?script=sci_arttext&pid=S0103-84782020000600351 |
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| Ruiz González, Alberto. |
| Debido a la importancia que tiene el concepto de volatilidad en los mercados financieros, este concepto ha sido tomado como un indicador de riesgo y se han generado indicadores y productos derivados referenciados a la volatilidad en los principales mercados del mundo. La principal utilidad de este índice es dar información sobre los niveles de volatilidad del mercado. El Mercado Mexicano de Derivados (MexDer) no se ha quedado rezagado en este sentido, por lo que se publica el Indice de Volatilidad México (VIMEX@). En este trabajo de tesis, se ajusta un modelo GARCH(1,1) a los rendimientos semanales del VIMEX@ para modelar la varianza y para modelar la media se incluye un proceso AR(2), el cual resulta ser cero en el modelo final. El modelo ajustado produce... |
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Palavras-chave: GARCH; Indices de volatilidad; MexDer; VIMEX; Volatilidad; Volatility rate; Volatility; Estadística; Maestría. |
| Ano: 2011 |
URL: http://hdl.handle.net/10521/650 |
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| Almendra Arao, Genaro. |
| Los costos económicos y sociales de las fluctuaciones cíclicas de la economía mexicana son muy grandes y, sin embargo, no se les ha estudiado con los métodos estadísticos y teóricos adecuados. Los objetivos de la presente investigación fueron: 1) identificar las fluctuaciones cíclicas de la economía mexicana y 2) descubrir las regularidades empíricas de esas fluctuaciones. Para ello se usó la metodología del filtrado estadístico y de los comovimientos de las series de tiempo macroeconómicas. Los resultados indican que la inversión y el consumo son procíclicos y están fuertemente correlacionados con el PIB. Los precios son anticíclicos, la inversión es más volátil que el PIB. El agregado monetario nominal M1 es cinco veces más volátil que el PIB,... |
| Tipo: Tesis |
Palavras-chave: Comovimientos; Volatilidad; Filtrado estadístico; Doctorado; Economía; Comovements; Volatility; Statistical filtering. |
| Ano: 2007 |
URL: http://hdl.handle.net/10521/1296 |
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| Wilfling, Bernd. |
| Recent theory on exchange rate dynamics suggests that the mere announcement of regime switching from floating to fixed rates at a given future date triggers a reduction in exchange rate volatility during the interim period. Using a Markov-switching GARCH model this paper estimates the volatility processes of four EMU exchange rate returns vis-à-vis the German mark using daily data for the time prior to Stage III of EMU. Statistical inference yields the dates at which financial markets began to incorporate the expected EMU participation of each country into currency pricing. The data exhibits strong econometric evidence for two distinct views concerning the ultimate EMU membership: (1) Finland and France were considered irrefutable EMU members long before... |
| Tipo: Working or Discussion Paper |
Palavras-chave: EMU; Exchange rate policy; Volatility; Regime-switching GARCH models; Financial Economics; F31; F33; C51. |
| Ano: 2001 |
URL: http://purl.umn.edu/26136 |
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| Bathla, Seema. |
| Globalization and trade liberalization have exposed agricultural sector of many developing countries to sudden disturbances, caused not just by demand-supply conditions within their economies but also by volatility in global commodity prices, exchange rate and surge in imports. This paper evaluates the magnitude of sensitivity of Indian agriculture to these factors, and explores policy options that may neutralize their adverse effects, maintain price incentives and stability. The analysis is undertaken for one important tradable commodity viz. wheat by applying a structural econometric model, separately under the exportable and importable scenarios from 1980-81 to 2009-10. Findings reveal wheat to be increasingly driven by an incentive structure based on... |
| Tipo: Presentation |
Palavras-chave: Agricultural trade; Price transmission; Volatility; Macroeconomic policies; International Relations/Trade; Risk and Uncertainty; Q17; C22; E69; E60. |
| Ano: 2012 |
URL: http://purl.umn.edu/122543 |
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| Figiel, Szczepan; Hamulczuk, Mariusz; Klimkowski, Cezary. |
| In this paper we use weekly milling wheat price series for nine selected EU countries to evaluate levels and components of volatility in the period from July 2004 to April 2011 and to examine how sensitive the results can be to spatial aggregation of the price data. The prices were analyzed in levels and logarithmic rate of returns. To asses price risk, apart from basic measures of price variability, the price series were decomposed using multiplicative model in order to determine shares of seasonal and random components in the total variance of the prices. We also applied ARMAX model to separate the stochastic components of the price series to properly evaluate real price risk exposure and tested for ARCH and GARCH effects. We found considerable... |
| Tipo: Presentation |
Palavras-chave: Wheat prices; Volatility; Price risk; Data aggregation; Risk and Uncertainty; C22. |
| Ano: 2012 |
URL: http://purl.umn.edu/122549 |
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| Guenther-Luebbers, Welf; Henke, Soren; Theuvsen, Ludwig. |
| Food prices have steadily risen since the 1990s, and price were especially volatile in the years 2008 and 2010. This trend has also been reflected in the European grain market, which presents all European companies along the food value chain with new challenges. This paper focuses on the impacts of increased price volatility on the grain market. Furthermore, it describes and evaluates government interventions attempting to reduce this volatility. At the same time, it describes and assesses private management methods of dealing with price volatility. In this article, we provide an opportunity to understand how the European cereals market evolved to reach its present state and suggest future possible price assurance systems, such as insurance for the basic... |
| Tipo: Presentation |
Palavras-chave: Management; Volatility; Grain Market; Risk and Uncertainty; Q 10; Q12; Q14; Q 17; Q 18. |
| Ano: 2012 |
URL: http://purl.umn.edu/122548 |
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| Yoshino, Joe Akira. |
| We estimate in this paper the market risk implied by the prices of different options traded in the Brazilian stock market. The fundamental theory to handle this problem is the one implied by the Arrow-Debreu contingent claim concept. Using that theory, we are able to construct the term structure of market risk, and to obtain a surface that provides slices for a particular “volatility smile.” The methodology that we use follows the one proposed by Shimko (1993), which is able to calculate a non-lognormal probability density function (PDF) consistent with the volatility observed in a relatively small sample of option prices. This methodology goes beyond the one proposed originally by Black and Scholes (1973), since it does not require log-normality of the... |
| Tipo: Journal Article |
Palavras-chave: Arrow-Debreu contingent claim; Options; Black-Scholes; Market risk; Volatility; Brazilian stock market; Risk and Uncertainty; Marketing; G12; G13. |
| Ano: 2003 |
URL: http://purl.umn.edu/44000 |
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| Cassuce, Francisco Carlos da Cunha; Muller, Carlos Andre da Silva; Campos, Antonio Carvalho. |
| The objective of this work is to determine the presence of volatility in the spot and futures exchange rates, detecting, thus, the presence of risk. Identified the volatility, it is looked for shaping it through the construction of models capable to forecast the behavior of the spot and futures exchange rates. The GARCH and TARCH models had been used to shape the volatility of the exchange rates. Gotten the estimates, it is verified existence of convergence of these rates in the date of the expirations of future contracts, identifying, thus, the chance to get profits with arbitrage. The results had shown more that the spot and futures exchange rates are very volatile and the spot exchange market presents asymmetry, being affected for negative impacts. The... |
| Tipo: Journal Article |
Palavras-chave: Arbitrage; Spot exchange rate; Futures exchange rate; Volatility; International Relations/Trade. |
| Ano: 2006 |
URL: http://purl.umn.edu/55177 |
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| Sun, Changyou; Kim, Mina; Koo, Won W.; Cho, Guedae; Jin, Hyun Joung. |
| A modified gravity-type model was employed to evaluate the effect of exchange rate volatility on wheat exports worldwide. Special attention was given to the econometric properties of the gravity model within panel framework. Short and long-term measures of exchange rate volatility were constructed and compared. Both measures of exchange rate volatility have exhibited a negative effect on world wheat trade and the long-term effect was even larger. This result implies that exchange rate volatility is an important factor in explaining the trade pattern of wheat trade worldwide. Keywords: wheat, export, exchange rate, volatility, gravity model, and panel data. |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Wheat; Export; Exchange rate; Volatility; Gravity model; And panel data.; International Relations/Trade. |
| Ano: 2002 |
URL: http://purl.umn.edu/19766 |
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| Serra, Teresa; Zilberman, David. |
| Our paper looks at how price volatility in the Brazilian ethanol industry changes over time and across markets. Demand and supply forces in the energy and food markets are likely to ensure that crude oil, ethanol and feedstock prices co-move in the long-run. Hence, when assessing price volatility changes and spillovers in the ethanol industry, one should also pay attention to the notion of cointegration. Until recently, the methods proposed to estimate cointegration relationships, have not explicitly considered time varying volatility in the data. Seo (2007) suggests an estimator of the cointegration vector that explicitly models conditional heteroskedasticity. More specifically, he proposes a maximum likelihood estimator that estimates the error... |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Volatility; Ethanol; Cointegration; Demand and Price Analysis; Research Methods/ Statistical Methods; Q11; C32. |
| Ano: 2009 |
URL: http://purl.umn.edu/49940 |
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| Registros recuperados: 65 | |
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