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Nowcasting CPI using online retail prices: forecasting combination of dynamic factor models
(2020-08-06)
Neste trabalho utilizamos preços diários do varejo online e variáveis financeiras para computar nowcasts da inflação brasileira. Nós adaptamos o modelo de fatores dinâmicos proposto em (GIANNONE; REICHLIN; SMALL, 2008) ao ...
Energy and vegetable oils : a price transmission network
(Universidad de San Andrés. Escuela de Administración y Negocios., 2015)
This thesis studies how energy and agricultural commodities are linked together and
in particular how they form a network between each other. Cash traded commodities
are substituted by their closest exchange traded ...
Co-movements in commodity prices: a note based on network analysis
(Wiley, 2014-07)
This article analyses co-movements in a wide group of commodity prices during the time period 1992?2010. Our methodological approach is based on the correlation matrix and the networks inside. Through this approach we are ...
Processo de preços dinâmicos
(Universidade Federal de Santa MariaBrasilUFSMCentro de Ciências Sociais e Humanas, 2005-08)
In the process of dynamic prices the prices must express the interest of the company
in accomplishing the negotiation. In such a way, it must be personalized and flexible
to supply in different ways, the customers and ...
Using common features to understand the behavior of metal-commodity prices and forecast them at different horizons
(Fundação Getulio Vargas. Escola de Pós-graduação em Economia, 2013-06-03)
The objective of this article is to study (understand and forecast) spot metal price levels and changes at monthly, quarterly, and annual horizons. The data to be used consists of metal-commodity prices in a monthly frequency ...
Pharmaceutical innovation, reference pricing and therapeutic classes
(Universidad del RosarioUniversidad del Rosario. Facultad de Economía, 2005)
This paper is a first attempt to model the effects of reference pricing on the
innovation effort of pharmaceutical firms. The model is based on a dynamic
game involving three types of agents: pharmaceutical firms, consumers ...
Underlying dynamics of typical fluctuations of an emerging market price index: the Heston model from minutes to months
(Elsevier B.V., 2006-02-15)
We investigate the Heston model with stochastic volatility and exponential tails as a model for the typical price fluctuations of the Brazilian São Paulo Stock Exchange Index (IBOVESPA). Raw prices are first corrected for ...
Underlying dynamics of typical fluctuations of an emerging market price index: the Heston model from minutes to months
(Elsevier B.V., 2006-02-15)
We investigate the Heston model with stochastic volatility and exponential tails as a model for the typical price fluctuations of the Brazilian São Paulo Stock Exchange Index (IBOVESPA). Raw prices are first corrected for ...
Inflation and output dynamics with state-dependent nominal rigidities
(Centro de Investigación y Docencia Económicas, División de Economía, 2016)