Banca de DEFESA: THIAGO DOS SANTOS AZEVEDO DAMASCENO

Uma banca de DEFESA de MESTRADO foi cadastrada pelo programa.
DISCENTE : THIAGO DOS SANTOS AZEVEDO DAMASCENO
DATA : 31/07/2019
HORA: 15:00
LOCAL: NEPSA II
TÍTULO:

The price volatility transmission between crude oil, biodiesel and soybean in Brazil


PALAVRAS-CHAVES:
Biodiesel; Energy; Volatility transmission; Dynamic Hedge.

PÁGINAS: 70
GRANDE ÁREA: Ciências Sociais Aplicadas
ÁREA: Administração
RESUMO:
The objective of this work is to investigate the joint behavior, the price volatility transmission mechanism of the crude oil, biodiesel and soybean in Brazil and its dynamics over time. An econometric approach was designed to quantify the volatility and correlation of the risk structure, with a strong impact on hedging strategies and market regulators. Understanding the disseminating structure of volatility and its transmission mechanism is one of the pillars of modern asset management and most recently employed by players and pricing policymakers in the construction of dynamic hedges to intra and intermarket shocks and spillovers. The volatilities and their short and long terms links are analyzed using the asymmetric GARCH model with dynamic conditional correlation (DCC-GARCH), as well as a multivariate multiplicative volatility (MVM) model. A flexible and consistent adaptation procedure is used for risk volatility and correlation. In the long run prices move together and preserve a balance, while correlations are often positive with persistent market shocks. The results of the MVM model exhibit greater hedge effectiveness to the results of the DCC model, taking into account its variant characteristic of the long-term covariance matrix. It is possible to capture the risk more adequately for the purposes of hedging strategies.


MEMBROS DA BANCA:
Presidente - 1543333 - ANDERSON LUIZ REZENDE MOL
Externo à Instituição - ISRAEL JOSE DOS SANTOS FELIPE - UFOP
Externo à Instituição - MELQUIADES PEREIRA DE LIMA JUNIOR - IFRN
Externo à Instituição - RODRIGO JOSÉ GUERRA LEONE - UnP
Notícia cadastrada em: 19/07/2019 08:27
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