Modelling risk for commodities in Brazil: an application to live cattle spot and futures prices

This study analysed a series of live cattle spot and futures prices from the Boi Gordo Index (BGI) in Brazil. The objective was to develop a model that best portrays this commodity’s behaviour to estimate futures prices more accurately. The database created contained 2,010 daily entries in which tra...

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Bibliographic Details
Main Author: Alcoforado, Renata G. (author)
Other Authors: Wilton, Bernardino (author), Reis, Alfredo D. Egídio dos (author), Santos, José A. C. (author)
Format: article
Language:eng
Published: 2022
Subjects:
Risk Analysis
Future Price
Commodity
Value at Risk
Boi Gordo Index (BGI)
Generalised Autoregressive Moving Average (GARMA)
Online Access:http://hdl.handle.net/10400.5/24490
Country:Portugal
Oai:oai:www.repository.utl.pt:10400.5/24490

Internet

http://hdl.handle.net/10400.5/24490

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