Var Model
Mostrando 13-24 de 117 artigos, teses e dissertações.
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13. O uso de cópulas para gestão de riscos
The large number of publications in finance using currently copulas can be explained by the ability of this technique to deal with statistical evidence of non-normality of the return series of financial assets. The non-normality is evidenced by the "volatility smile" in the series of stock options near expiration, the existence of "heavy tails" in portfolios
IBICT - Instituto Brasileiro de Informação em Ciência e Tecnologia. Publicado em: 2012
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14. Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions
We study the joint determination of the lag length, the dimension of the cointegrating space and the rank of the matrix of short-run parameters of a vector autoregressive (VAR) model using model selection criteria. We suggest a new two-step model selection procedure which is a hybrid of traditional criteria and criteria with data-dependant penalties and we p
Escola de Pós-Graduação em Economia da FGV. Publicado em: 27/01/2011
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15. Ultrasound effects on the mass transfer processes during drying kinetic of olive leaves (Olea Europea, var. Serrana).
The large amount of materials derived from olive trees pruning may constitute a source of compounds with antioxidant activity. The air drying of raw matter is a previous stage before extraction preserving the raw matter and avoiding the interference of water on the process but it constitutes a slow and high energy demanding process. In this sense, the applic
Defect and Diffusion Forum. Publicado em: 2011
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16. Influence on olive leaves (Olea Europaea, var. Serrana) antioxidant extraction kinetics of ultrasound assisted drying.
The olive crop has a great importance in the economy of Spain. Every year during the pruning of the olive trees a significant quantity of leaves are cut and discarded. It is known that these leaves constitute a source of antioxidant compounds and its processing would provide an added value to this raw material. Antioxidant compounds may be damaged when dryin
Defect and Diffusion Forum. Publicado em: 2011
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17. Evaluation of hydration indexes in kale leaves
Hydration indexes are practical variables for quantifying plant water stress and can be useful for agronomic purposes. Three adapted hydration indexes based on relative water content, volumetric hydration, and leaf turgor pressure were evaluated in kale (Brassica oleracea var. acephala) leaf segments. Relative water content and volumetric hydration were meas
Brazilian Journal of Plant Physiology. Publicado em: 2011
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18. Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions
We study the joint determination of the lag length, the dimension of the cointegrating space and the rank of the matrix of short-run parameters of a vector autoregressive (VAR) model using model selection criteria. We consider model selection criteria which have data-dependent penalties as well as the traditional ones. We suggest a new two-step model selecti
Escola de Pós-Graduação em Economia da FGV. Publicado em: 13/09/2010
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19. COMPARATIVE ANALYSIS OF THE IMPACT OF EXCHANGE RATE ON BRAZILIAN EXPORTS OF MEAT, FROM 1989 TO 2009 / AnÃlise Comparativa do Impacto da Taxa de CÃmbio Sobre as ExportaÃÃes Brasileiras de Carnes, Relativas ao PerÃodo de 1989-2009
O objeto dessa dissertaÃÃo à conhecer a influÃncia do cÃmbio sobre as exportaÃÃes brasileiras de carnes bovina, suÃna e de frango e, posteriormente, comparar os resultados encontrados, decorrentes da obtenÃÃo das elasticidades-cÃmbio e elasticidades-renda mundial de curto e longo prazo. Verificar se houve quebra estrutural no perÃodo referente Ã
IBICT - Instituto Brasileiro de Informação em Ciência e Tecnologia. Publicado em: 11/08/2010
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20. PRELIMINARY PHYTOCHEMICAL PROFILE AND EVALUATION OF GASTROPROCTIVE ACTIVE OF HIDROALCOHOLIC EXTRACT, FRACTIONS AND SUBFRACTIONS OF KALE LEAVES (Brassica oleracea L. var. acephala DC.) / Estudo do perfil fitoquímico e avaliação da atividade gastroprotetora do extrato hidroalcoólico, frações e subfrações das folhas de couve: Brassica oleracea L. var. acephala DC.
P opular reports indicate that kale, Brassica oleracea L. var. acephala DC., when taken while fasting, in the form of a juice, relieves the symptoms of gastric disorders. Studies show that some compounds present in plants of this genus exhibit antioxidant, wound healing, antimicrobial, anti-inflammatory and anticancer activity. Thus, this study investigates
IBICT - Instituto Brasileiro de Informação em Ciência e Tecnologia. Publicado em: 30/07/2010
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21. Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions
We study the joint determination of the lag length, the dimension of the cointegrating space and the rank of the matrix of short-run parameters of a vector autoregressive (VAR) model using model selection criteria. We consider model selection criteria which have data-dependent penalties as well as the traditional ones. We suggest a new two-step model selecti
Publicado em: 29/03/2010
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22. Determinantes da taxa de juros no Brasil: uma abordagem não-linear
This paper investigates the interest rate determination in Brazil based on autoregressive Markov-Switching Process (MS-VAR). Initially developed to model US business cycle, the MS-VAR approach has been used in several fields in conomics due to its flexibility and to its important empirical results, based on estimates of nonlinear parameters of the regression
Publicado em: 2010
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23. O value at risk na avaliação de risco do índice Bovespa
O Value at Risk (VaR) é, hoje, uma das principais ferramentas para a gestão de risco no mercado financeiro. Sua aceitação decorre de fatores como a sua polivalência (pode ser usado, virtualmente, para medir o risco de qualquer ativo), a simplicidade do seu conceito e a sua capacidade de expressar, com um único valor, o risco existente em várias posiç
Publicado em: 2010
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24. Apreçamento racional de mercadorias utilizando modelo de valor presente para o boi gordo no período de 2001 a 2008
Campbell and Schiller (1987) proposed, within the scope of econometric analysis and cointegration, a powerful tool that enabled the present value model tests to also test market rationality and efficiency. The opportunity offered by the present value model of a substantial and settled fundamental value theory together with a powerful tool kit of empiricaleco
Publicado em: 2010