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Investments and Financial Flows Induced by Climate Mitigation Policies AgEcon
Bastianin, Andrea; Favero, Alice; Massetti, Emanuele.
In this paper we use the hybrid integrated model WITCH to quantify and analyze the investments and financial flows stimulated by a climate policy to stabilize Greenhouse Gases concentrations at 550ppm CO2-eq at the end of the century. We focus on investments to decarbonize the power sector and on investments in knowledge creation. We examine the financial flows associated with the carbon market and the implications for the international trade of oil. Criticalities in investment requirements will emerge when coal power plants with carbon capture and sequestration and nuclear power plants are deployed around 2020-2040, both in high and low income regions. Investments in energy related R&D increase sharply and might cause stress in the short term....
Tipo: Working or Discussion Paper Palavras-chave: Climate Change; Mitigation; Carbon Finance; Emission Trading; Energy Investments; Environmental Economics and Policy; Q01; Q43; Q54; O32; O11.
Ano: 2010 URL: http://purl.umn.edu/59418
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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
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Oil Price Forecast Evaluation with Flexible Loss Functions AgEcon
Bastianin, Andrea; Manera, Matteo; Markandya, Anil; Scarpa, Elisa.
The empirical literature is very far from any consensus about the appropriate model for oil price forecasting that should be implemented. Relative to the previous literature, this paper is novel in several respects. First of all, we test and systematically evaluate the ability of several alternative econometric specifications proposed in the literature to capture the dynamics of oil prices. Second, we analyse the effects of different data frequencies on the coefficient estimates and forecasts obtained using each selected econometric specification. Third, we compare different models at different data frequencies on a common sample and common data. Fourth, we evaluate the forecasting performance of each selected model using static forecasts, as well as...
Tipo: Working Paper Palavras-chave: Oil Price; WTI Spot and Futures Prices; Forecasting; Econometric Models; Research and Development/Tech Change/Emerging Technologies; C52; C53; Q32; Q43.
Ano: 2011 URL: http://purl.umn.edu/120042
Registros recuperados: 3
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