|
|
|
| Registros recuperados: 65 | |
|
| |
|
| |
|
| |
|
| |
|
|
| Lamounier, Wagner Moura. |
| It was intended in this research to detect and to analyze the existence of conditional volatility in the time series of the prices of the spot market of the Brazilian coffee in the New York Board of Trade (NYBOT) in the period between January of 1946 and December of 2000. The results of the models of GARCH type, applied for the prices of the coffee, indicated that the conditional variance of the residues of the models possess unit roots and the same one will not present a behavior of reversion to its historical average with passing of the time, after a shock. This happens because, the coefficients of volatility persistence had been all bigger or next to one |
| Tipo: Journal Article |
Palavras-chave: Volatility; GARCH model; Coffee prices.. |
| Ano: 2006 |
URL: http://purl.umn.edu/43814 |
| |
|
| |
|
|
| Fadiga, Mohamadou L.; Misra, Sukant K.. |
| This study looked at the dynamics of conditional correlations and hedging strategies in the US main cotton producing regions. A two-step procedure was utilized to model, estimate, and analyze volatility, conditional correlations, and the optimal hedge ratios using spot prices in the Delta, Southeast, Southern Plains, and the Southwest regions and the New York commodity exchanges December futures contracts. The results indicate that volatilities in most of the regions are asymmetric and persistent. The derived conditional correlations and the optimal hedging ratios are dynamic although they do not have unit root. Moreover, the changes in agricultural policies altered the dynamics of correlations and producers' hedging strategies in the Delta, Southeast,... |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Cotton; Volatility; Asymmetry; Multivariate conditional correlations; Optimal; Risk and Uncertainty. |
| Ano: 2005 |
URL: http://purl.umn.edu/19459 |
| |
|
|
| Bekkerman, Anton; Pelletier, Denis. |
| The 2006 spike in corn-based ethanol demand has contributed to the increase in basis volatility in corn and soybean markets across the United States, which has, to a significant degree, led to the observed large jumps in the prices of the two commodities. Despite the overall rise in basis volatility, there remain differences in the degree of volatility that exists across spatially separated markets, which might be caused by factors such as transportation costs, seasonality, and time-to-delivery. The focus of this study is threefold first, this work models basis data for six corn and soybean markets by using a multivariate GARCH model that incorporates the spatial linkages of these markets; next, the model is used to investigate whether the increase in... |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Basis; Spatially separated markets; Multivariate GARCH; Volatility; Agricultural Finance; Demand and Price Analysis; Q11; Q14; G13. |
| Ano: 2009 |
URL: http://purl.umn.edu/49281 |
| |
|
|
| Ahmed, Syud Amer; Diffenbaugh, Noah S.; Hertel, Thomas W.; Ramankutty, Navin; Rios, Ana R.; Rowhani, Pedram. |
| Climate volatility will increase in the future, with agricultural productivity expected to become increasingly volatile as well. For Tanzania, where food production and prices are sensitive to the climate, rising climate volatility can have severe implications for poverty. We develop and use an integrated framework to estimate the poverty vulnerabilities of different socio-economic strata in Tanzania under current and future climate. We find that households across various strata are similarly vulnerable to being impoverished when considered in terms of their stratum’s populations, with poverty vulnerability of all groups higher in the 21st Century than in the late 20th Century. When the contributions of the different strata to the national poverty changes... |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Climate; Volatility; Poverty vulnerability; Tanzania; Environmental Economics and Policy; Food Security and Poverty; International Development. |
| Ano: 2009 |
URL: http://purl.umn.edu/49358 |
| |
|
|
| Getu, Hailu; Weersink, Alfons. |
| Over the years, critics have argued that futures market prices have been either too low or too high. Speculators have often been the target for the wrath of those feeling the futures price does not properly reflect market fundamentals. Recently, the criticism has been vented toward a new type of speculator that has been blamed for the dramatic changes in agricultural commodity prices experienced over the last several years. Commodity index traders (CITs) and other large institutional traders are commonly accused of exerting a destabilizing influence on commodity prices. The intensity of the debate over the role of CITs appeared to wane with the reduction in commodity prices since 2008 but the recent release of a well-publicized OECD report on the issue by... |
| Tipo: Report |
Palavras-chave: Commodity; Index futures; Trading; Volatility; Agribusiness; Agricultural and Food Policy; Demand and Price Analysis; Marketing. |
| Ano: 2010 |
URL: http://purl.umn.edu/95803 |
| |
|
| |
|
| |
|
| |
|
|
| Enjolras, Geoffroy; Capitanio, Fabian; Aubert, Magali; Adinolfi, Felice. |
| Volatility of farm income represents a major challenge for farm management and the design of public policies. This paper measures the extent to which risk management tools, especially direct payments and crop insurance, can significantly reduce crop income volatility in France and in Italy. We use an original dataset of 9,555 farms for the period 2003-2007 drawn up from the Farm Accountancy Data Network (FADN) and three different econometric models to explain the volatility of crop income. The results are contrasted between the specialization of the farms and the two countries: Italian farms use management tools (CAP payments and crop insurance) so as to improve their income and to reduce its volatility (crop insurance, inputs). French farms use the same... |
| Tipo: Presentation |
Palavras-chave: Volatility; Direct payments; Insurance; France; Italy; FADN; Risk and Uncertainty; G22; Q14; Q18. |
| Ano: 2012 |
URL: http://purl.umn.edu/122478 |
| |
|
| |
|
| |
|
|
| Karali, Berna; Dorfman, Jeffrey H.; Thurman, Walter N.. |
| We study the difference in the volatility dynamics of CBOT corn, soybeans, and oats futures prices across different delivery horizons via the smoothed Bayesian estimator of Karali, Dorfman, and Thurman (2010). We show that the futures price volatilities in these markets are affected by the inventories, time to delivery, and the crop progress period. Some of these effects vary across delivery horizons. Further, it is shown that the price volatility is higher before the harvest starts in most of the cases compared to the volatility during the planting period. These results have implications for hedging, options pricing, and the setting of margin requirements. |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Bayesian econometrics; Futures markets; Seasonality; Theory of storage; Volatility; Agribusiness; Agricultural and Food Policy; Agricultural Finance; Consumer/Household Economics; Demand and Price Analysis; Farm Management; Financial Economics; Marketing; Research Methods/ Statistical Methods; Risk and Uncertainty. |
| Ano: 2009 |
URL: http://purl.umn.edu/53036 |
| |
|
|
| Schneider, Uwe A.; McCarl, Bruce A.; Murray, Brian C.; Williams, Jimmy R.; Sands, Ronald D.. |
| We use the Agricultural Sector Model to analyze the economic potential of soil carbon sequestration as one of several agricultural greenhouse gas emission mitigation strategies, including afforestation. For low incentives on carbon emission savings, agricultural soil carbon sequestration is the most cost-efficient strategy. As incentive levels increase above $50 per ton of carbon equivalent, afforestation and biofuel production become the key strategies, while the role of soil carbon diminishes. If saturating sinks are discounted based on their net present value, the competitive economic equilibrium among agricultural mitigation strategies shifts away from soil carbon sequestration and afforestation and toward more biofuel production. Regardless of the... |
| Tipo: Working or Discussion Paper |
Palavras-chave: Afforestation; Agricultural Sector Model; Carbon sequestration dynamics; Economic potential; Emission leakage; Greenhouse gas emission mitigation; Sink saturation; Technical potential; Volatility; Environmental Economics and Policy. |
| Ano: 2001 |
URL: http://purl.umn.edu/18378 |
| |
|
|
| 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 |
| |
| Registros recuperados: 65 | |
|
|
|
