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A fractionally cointegrated VAR analysis of price discovery in commodity futures markets
Dolatabadi, Sepideh; Nielsen, Morten Ørregaard; Xu, Ke - 2014
In this paper we apply the recently developed fractionally cointegrated vector autoregressive (FCVAR) model to analyze price discovery in the spot and futures markets for five non-ferrous metals (aluminium, copper, lead, nickel, and zinc). The FCVAR model allows for long memory (fractional...
Persistent link: https://www.econbiz.de/10011380829
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A fractionally cointegrated VAR model with deterministic trends and application to commodity futures markets
Dolatabadi, Sepideh; Nielsen, Morten Ørregaard; Xu, Ke - 2014
We apply the fractionally cointegrated vector autoregressive (FCVAR) model to analyze the relationship between spot and futures prices in five commodity markets (aluminium, copper, lead, nickel, and zinc). To this end, we first extend the FCVAR model to accommodate de terministic trends in the...
Persistent link: https://www.econbiz.de/10011380830
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Economic significance of commodity return forecasts from the fractionally cointegrated VAR model
Dolatabadi, Sepideh; Narayan, Paresh Kumar; Nielsen, … - 2015
Based on recent evidence of fractional cointegration in commodity spot and futures markets, we investigate whether a fractionally cointegrated model can provide statistically and/or economically significant forecasts of commodity returns. Specifically, we propose to model and forecast commodity...
Persistent link: https://www.econbiz.de/10011380833
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Economic significance of commodity return forecasts from the fractionally cointegrated VAR model
Dolatabadi, Sepideh; Narayan, Paresh Kumar; Nielsen, … - 2015
Based on recent evidence of fractional cointegration in commodity spot and futures markets, we investigate whether a fractionally cointegrated model can provide statistically and/or economically significant forecasts of commodity returns. Specifically, we propose to model and forecast commodity...
Persistent link: https://www.econbiz.de/10010464770
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A fractionally cointegrated VAR analysis of price discovery in commodity futures markets
Dolatabadi, Sepideh; Nielsen, Morten Ørregaard; Xu, Ke - 2014
Persistent link: https://www.econbiz.de/10010394599
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A fractionally cointegrated VAR analysis of price discovery in commodity futures markets
Dolatabadi, Sepideh; Nielsen, Morten Ørregaard; Xu, Ke - 2014
In this paper we apply the recently developed fractionally cointegrated vector autoregressive (FCVAR) model to analyze price discovery in the spot and futures markets for five non-ferrous metals (aluminium, copper, lead, nickel, and zinc). The FCVAR model allows for long memory (fractional...
Persistent link: https://www.econbiz.de/10010381431
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A fractionally cointegrated VAR model with deterministic trends and application to commodity futures markets
Dolatabadi, Sepideh; Nielsen, Morten Ørregaard; Xu, Ke - 2014
We apply the fractionally cointegrated vector autoregressive (FCVAR) model to analyze the relationship between spot and futures prices in five commodity markets (aluminium, copper, lead, nickel, and zinc). To this end, we first extend the FCVAR model to accommodate de terministic trends in the...
Persistent link: https://www.econbiz.de/10010381434
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Diagnóstico da cadeia produtiva de caprinos e ovinos no Brasil
Monteiro, Maicon Gonçalves; Brisola, Marlon Vinícius; … - 2021
Brazilian agribusiness, a sector that represents a quarter of the country's economy, has undergone significant … transformations since the 1960s. With the economic opening and financial stabilization of the 1990s, several agribusiness productive …
Persistent link: https://www.econbiz.de/10012616558
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O mercado de trabalho na fronteira do agronegócio: Quanto a dinâmica no Matopiba difere das regiões mais tradicionais?
Serigati, Felippe; Rodrigues, Raquel Magossi; Possamai, … - 2017
with the evolution of the Brazilian agribusiness labor market as a whole. The paper is part of a broader research project … the one hand, although agribusiness generated an increasingly smaller number of jobs within the sector itself, on the … agribusiness, which, through more capital-intensive and labor-saving technologies, has been able to increase its productivity and …
Persistent link: https://www.econbiz.de/10011818851
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Inserção internacional do agronegócio brasileiro
Maranhão, Rebecca Lima Albuquerque; Vieira Filho, … - 2017
The urban population growth in developing countries, the middle class expansion and the increase in per capita income have increased the demand for food. This work aims to identify, from the Constant Market Share (CMS) method, the sources of growth of agricultural exports among the main...
Persistent link: https://www.econbiz.de/10011818892