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	Provedor de dados 31 (1) Autor Figiel, Szczepan (1) Hamulczuk, Mariusz (1) Klimkowski, Cezary (1) Palavra-chave C22 (1) Data aggregation (1) Price risk (1) Risk and Uncertainty (1) Volatility (1) Wheat prices (1) Mais... Tipo do documento Presentation (1) Ano 2012 (1) País United States (1) Idioma Inglês (1)		Ordenar por:  Relevância Autor Título Ano Registros recuperados: 1 Primeira ... 1 ... Última Price volatility and accuracy of price risk measurement depending on methods and data aggregation: The case of wheat prices in the EU countries 31 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 Registros recuperados: 1 Primeira ... 1 ... Última

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