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| Bitencourt, Wanderci Alves; Silva, Washington Santos; Safadi, Thelma. |
| The farming sector is changing, growing and occupying a position of prominence in the economy. These transformations start to demand a bigger concern with the management of risks of the activity. In this direction, the contracts traded at BM&F had become efficient instruments in the reduction of the market risk, through an operation called hedge. However, there is still the necessity of improving of the econometrical techniques for the estimation of the optimal hedge ratio, therefore, it is observed in the brazilian literature that the majority of the works doesn’t consider some aspects of the behavior of the series of returns. Thus, the present work seeks to analyze two methods for the calculation of these hedge optimal ratio, the conventional model... |
| Tipo: Journal Article |
Palavras-chave: Hedge optimal ratio; GARCH BEKK model; Regression. |
| Ano: 2006 |
URL: http://purl.umn.edu/43828 |
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| Cirillo, Marcelo Angelo; Safadi, Thelma. |
| The basic principle of the management of institutions directed to the public attendance consists of sound information which is able to help in decision-making. Thus, the knowledge in the managemental aspect is widened enabling for improvement in service quality and reduction in expenses. It is aimed to carry out a study, showing the viability of the application of time series so that the forecasts will contribute to decision-making in the hospital context. For the accomplishment of this work, the hospital price series of the Federal University of Santa Catarina hospital was investigated, this one being made up of remarks concerning the Hospital Price Indices (HIP), portraying the monthly variations of costs related with medicines, consumption material and... |
| Tipo: Journal Article |
Palavras-chave: ARIMA model; Intervention analysis; Hospital prices. |
| Ano: 2003 |
URL: http://purl.umn.edu/43562 |
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| Silva, Roberta Bessa Veloso; Ferreira, Daniel Furtado; Safadi, Thelma. |
| This piece of work was carried out objectifying to adjust the time series models to the series of price indexes for the consumer ( PIC ) of Lavras MG. It aimed at verifying the occurrence of differences in trend as for the period which preceeded, as well as for the one which succeeded the Plano Real, and if there was a simple linear trend along with Plano Real ( 1994-1999 ) as well as if any seasonality occurred. It also objectified to comparing the series of both Lavras and the Federal District. It was verified that there was no trend along the whole series, nor there was any seasonality, notwithstanding the fact that a level change occurred, which was characterized as an intervention, rather than a trend. It was necessary to fit a model featuring an... |
| Tipo: Journal Article |
Palavras-chave: Price index to the consumer; Trend; Seasonality; Forecast. |
| Ano: 2000 |
URL: http://purl.umn.edu/43355 |
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| Nogueira, Denismar Alves; Safadi, Thelma. |
| This paper is dedicated to analysing the historical series of prices for the gross beef bovines in the state of São Paulo from 1988 to 1998. For the analysis on the series the time series models were considered, aiming at finding the one which would be able to provide the best suited preview, among the models adjusted. Economical series are usually not stationary, the case in which the series floats around a straight line with either positive or negative inclinations ( linear tendency ) being the most common. Another form of non-stationariness occurs when the series floats around a level for a given period of time, changing levels afterwards and floating around a new level. Such fact may result from an event occurred at some point in the timeline, like... |
| Tipo: Journal Article |
Palavras-chave: Analysis of Intervention; SARIMA models; Preview.. |
| Ano: 2000 |
URL: http://purl.umn.edu/43287 |
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| Carvalho, Pedro Luiz Costa; Ferraz, Marcelo Inacio Ferreira; Safadi, Thelma. |
| This paper has the objective to studying the seasonal behavior of the series of Cost of Basic Basket (basic food) in Lavras county, MG, using one of the most modern and recent methods of seasonal adjustment, the method X-12ARIMA, developed for the U.S. Census Bureau. If seasonal is identified, one seasonal adjustment will be made using the automatic program of X-12 ARIMA. The data basis was provided by the Department of Management and Economics – DAE – of the University of Lavras – UFLA – including monthly observation from January of 1995 to December of 2004. The existence of seasonal was proved in the series of the Cost of Basic Basket of Lavras, MG. The analysis of the graph on the seasonal effects showed that from October to March (rain period) the... |
| Tipo: Journal Article |
Palavras-chave: Basket basic; Seasonality; Time series; X-12 ARIMA.. |
| Ano: 2006 |
URL: http://purl.umn.edu/43822 |
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