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  • About
  • The Global ETD Search service is a free service for researchers to find electronic theses and dissertations. This service is provided by the Networked Digital Library of Theses and Dissertations.
    Our metadata is collected from universities around the world. If you manage a university/consortium/country archive and want to be added, details can be found on the NDLTD website.
1

Modelo estrutural de previsão de preço e volume negociado de minério de ferro

Franco, Patricia Calazans Albuquerque de Mello 30 May 2008 (has links)
Submitted by Patricia Calazans (patmellofranco@gmail.com) on 2011-01-14T12:05:28Z No. of bitstreams: 1 Tese-Patricia-Calazans.pdf: 594538 bytes, checksum: 1945b30641fdf200c49dca14b4422b31 (MD5) / Approved for entry into archive by Vitor Souza(vitor.souza@fgv.br) on 2011-01-14T14:16:14Z (GMT) No. of bitstreams: 1 Tese-Patricia-Calazans.pdf: 594538 bytes, checksum: 1945b30641fdf200c49dca14b4422b31 (MD5) / Made available in DSpace on 2011-02-21T14:28:06Z (GMT). No. of bitstreams: 1 Tese-Patricia-Calazans.pdf: 594538 bytes, checksum: 1945b30641fdf200c49dca14b4422b31 (MD5) Previous issue date: 2008-05-30 / This study presents a forecasting model for prices and volumes traded in the seaborne iron ore market. A VAR model (with endogenous variables with one lag) was developed, using oil prices (Brent) and an industrial production index. After testing for a unit root in the variables and discovering that none of them were stationary, the co-integration test showed that there was a long term relation between them, which was in itself stationary, eliminating the possibility of a spurious regression. As a result, the VAR model was seen to be consistent, with high adherence to forecast prices and volumes for seaborne trade, in spite of some short term imprecision. / O presente estudo apresenta um modelo de previsão do preço e do volume comercializado no mercado transoceânico de minério de ferro. Para tanto, foi desenvolvido um modelo VAR, utilizando, além das variáveis endógenas com um lag de diferença, o preço do petróleo Brent e um índice de produção industrial. Após testar raiz unitária das variáveis e constatar que nenhuma era estacionária, o teste de cointegração atestou que existia relação de longo prazo entre as mesmas que era estacionária, afastando a possibilidade de uma regressão espúria. Como resultado, a modelagem VAR apresentou um modelo consistente, com elevada aderência para a previsão do preço e do volume negociado de minério de ferro no mercado transoceânico, não obstante ele tenha apresentado alguma imprecisão no curto prazo.

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