|
|
|
| Registros recuperados: 16 | |
|
|
| 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... |
|
Palavras-chave: GARCH; Indices de volatilidad; MexDer; VIMEX; Volatilidad; Volatility rate; Volatility; Estadística; Maestría. |
| Ano: 2011 |
URL: http://hdl.handle.net/10521/650 |
| |
|
|
| Du, Wen. |
| China's 10-year old wheat futures market, the China Zhengzhou Commodity Exchange (CZCE) has been in stable development since establishment and is expected to be integrated to the world market after China joined WTO. This paper compares the price behavior of CZCE with that of the Chicago Board of trade (CBOT) in the US using ARCH/GARCH based univariate and multivariate time series models for the period between 1999 and 2003, around when China joined the World Trade Organization (WTO). Results show both markets can be modeled by an ARCH (1) or a GARCH (1,1), and the models have better fit when conditional error variance is t distributed. The price series in CZCE and CBOT are interrelated but not cointegrated. The existing interrelations between the two... |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Integration; Wheat; Futures price; GARCH; China; Demand and Price Analysis; International Relations/Trade; G15; Q14. |
| Ano: 2004 |
URL: http://purl.umn.edu/20115 |
| |
|
| |
|
| |
|
| |
|
|
| Wang, Kai-Li; Barrett, Christopher B.. |
| This paper takes a new empirical look at the long-standing question of the effect of exchange rate volatility on international trade flows by studying the case of Taiwan's exports to the United States from 1989-1998. In particular, we employ sectoral-level, monthly data and an innovative multivariate GARCH-M estimator with corrections for leptokurtic errors. This estimator allows for the possibility that traders' forward-looking contracting behavior might condition the way in which exchange rate movement and associated risk affect trade volumes. Change in importing country industrial production and change in the expected exchange rate are found to jointly drive the trade volumes. More strikingly, monthly exchange rate volatility affects agricultural trade... |
| Tipo: Journal Article |
Palavras-chave: Agricultural trade; Exchange rate; Expectations; GARCH; International Relations/Trade. |
| Ano: 2007 |
URL: http://purl.umn.edu/8643 |
| |
|
| |
|
| |
|
|
| Kong, Minji; Han, Doo Bong; Nayga, Rodolfo M., Jr.. |
| This study analyzes the interrelationship and volatility between grain and oil prices. Specifically, the objective of this study is to investigate the volatility transmission mechanism of grain prices with oil prices, under the assumption that an increase in crude oil prices not only affects corn and soybean prices but also other grain commodity prices such as wheat and rice. The results presented in this paper suggest several conclusions. First, there is a short-run relationship between the grain market and oil prices, which implies that recent co-movements of oil and grain prices are just a temporary phenomenon. Second, grain prices, except for rice, are affected by oil prices to some degree. Finally, the volatilities of oil prices influence the... |
| Tipo: Presentation |
Palavras-chave: Grain prices; Volatility; Volatility Transmission; VAR; GARCH; Resource /Energy Economics and Policy. |
| Ano: 2012 |
URL: http://purl.umn.edu/124377 |
| |
|
| |
|
|
| Morales, Lucia; Gassie, Esmeralda. |
| Despite the fact that there is a substantial literature on the analysis of volatility spillovers between stock returns and domestic exchange rates, surprisingly, little empirical research has examined volatility spillovers between oil prices and emerging economies, where a clear gap of research have been found regarding to the BRIC financial markets and the effects of the 2007-2009 World economy crisis. This lack of research might appear as surprising given that energy markets are of particular interest as they are considered a fundamental reference for economic recovery and growth. Therefore, this work aims to address this gap on the literature by looking at the BRIC financial markets and their co-movements with regard to some energy markets (oil, natural... |
| Tipo: Conference Paper or Presentation |
Palavras-chave: BRIC; Energy Markets; GARCH; T-GARCH modeling; Volatility; Agribusiness; F; G. |
| Ano: 2011 |
URL: http://purl.umn.edu/115523 |
| |
|
| |
|
| |
|
|
| Wu, Feng; Guan, Zhengfei. |
| This article examines the volatility spillovers from energy market to corn market. Using a volatility spillover model from the finance literature, we found significant spillovers from energy market to corn cash and futures markets, and the spillover effects are time-varying. The business cycle proxied by crude oil prices is shown to affect the magnitude of spillover effects over time. Based on the strong informational linkage between energy market and corn market, a cross hedge strategy is proposed and its performance studied. The simulation outcomes show that compared to alternative strategies of no hedge, constant hedge, and GARCH hedge, the cross hedge does not yield superior risk-reduction performance. |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Volatility Spillover; GARCH; Optimal Hedge Ratio; Energy Price; Corn Price; Risk and Uncertainty. |
| Ano: 2009 |
URL: http://purl.umn.edu/49453 |
| |
|
| |
|
| |
| Registros recuperados: 16 | |
|
|
|
