O presente trabalho avaliou as características das séries de retornos, normalmenteencontradas em séries financeiras, para dados do mercado de arroz em casca ao produtordo Rio Grande do Sul. Um modelo da classe GARCH (1,1) tipo VaR foi utilizado paraobter previsões da variância condicional e...

Cattle feeding enterprises operate amid variability originating in prices and production. Thisresearch explicitly models yield risks related to cattle feeding by relating the mean and varianceof yield performance factors to observable conditioning variables. The results demonstratethat pen...

This paper investigates conditional variance patterns in daily return series of stock market indices in the G-7 and 6 selected economies of Central and Eastern Europe. For this purpose, various linear and asymmetric GARCH models are employed. The analysis is conducted for Canada, France,...

Generalized autoregressive conditional heteroscedasticity (GARCH) models are widely used in financial markets. Parameters of GARCH models are usually estimated by the quasi-maximum likelihood estimator (QMLE). In recent years, economic theory often implies equilibrium between the levels of time...

A multiple-sample semiparametric density ratio model, which is equivalent to a generalized logistic regression model, can be constructedby multiplicative exponential distortions of a reference distribution. Distortion functions are assumed to be nonnegative and of a known finite-dimensional...

This thesis focuses on two statistical problems related to credit scoring. In credit scoring of individuals, two classes are distinguished, namely low and high risk individuals (the so-called "good" and "bad" risk classes). Firstly, we suggest a measure which may be used to study the nature of a...