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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 ...
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 ...
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 ...
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, 2013-08-22)
The objective of this article is to study (understand and forecast) spot metal price levels and changes at monthly, quarterly, and annual frequencies. Data consists of metal-commodity prices at a monthly and quarterly ...
Modeling high frequency intraday discrete returns
(2020-04-24)
Esta tese inclui três artigos sobre o tópico de modelagem de retornos intradiários discretos em alta-frequencia. Em todos os artigos nós conduzimos a tarefa de modelar a distribuição condicional discreta das mudanças de ...
Rigidities and adjustments of daily prices to costs: Evidence from supermarket data
We assess the extent of inertia in grocery retail prices using data on prices and costs from a large supermarket chain in Colombia. Relative to previous work our analysis benefits from encompassing a wide variety of products, ...
Forecasting inflation using online daily prices: a midas approach for Brazil
(2021-05-14)
Usually, inflation is optimally forecasted using simple time series models or a Phillips’ curve process. However, as more people become online shoppers, “online inflation” turns out to be a good predictor of official ...
Sticky prices and moderate inflation
(Universidad de los Andes, Facultad de Economía, CEDE, 2008)
Recent evidence shows that there is great heterogeneity in the price setting frequency across sectors, and that those changing prices frequently do so even under low inflation. What happens to price setting strategies of ...
Imperfectly credible disinflation under endogenous time-ependent pricing
(Escola de Pós-Graduação em Economia da FGV, 2005-08-01)
The real effects of an imperfectly credible disinflation depend critically on the extent of price rigidity. Therefore, the study of how policymakers’ credibility affects the outcome of an announced disinflation should not ...