Please use this identifier to cite or link to this item: http://repositorio.ufla.br/jspui/handle/1/11072
Title: Modelos multivariados dinâmicos: análise de contágio nos mercados de derivativos agropecuários
Authors: Castro Júnior, Luiz Gonzaga de
Sáfadi, Thelma
Leiva, Diógenes Manoel
Perobelli, Fernanda Finotti Cordeiro
Calegário, Natalino
Keywords: Bolsa de mercadorias
Commodity exchanges
Mercado futuro
Futures market
Café
Coffee
Bovino - Pesquisa
Cattle - Research
Issue Date: 18-Apr-2016
Publisher: Universidade Federal de Lavras
Citation: MÓL, A. L. R. Modelos multivariados dinâmicos: análise de contágio nos mercados de derivativos agropecuários. 2006. 148 p. Tese (Doutorado em Administração)-Universidade Federal de Lavras, Lavras, 2006.
Abstract: The present papers makes an analysis of identification on the evidence of Volatileness transmission and contagion in the futures market of the Brazilian agricultural commodities, in specific, coffee and beef market. It is analyzed, therefore, the hypothesis of contagion existence and it is tested starting from the estimate of multivariate models volatility. Having evidence of the breaking structural existence in the volatíleness structure of the commodities historical series of beef and coffee and such breaking could be associated with the financial crises, suggests contagion evidence. The resulte gotten in this thesis supply evidence favorable to the contagion hypothesis.
URI: http://repositorio.ufla.br/jspui/handle/1/11072
Appears in Collections:Administração - Doutorado (Teses)



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