Modelling the volatility of commodities prices using a stochastic volatility model with random level shifts.

dc.contributor.advisorRodríguez Briones, Gabriel Hender
dc.contributor.authorAlvaro Polack, Dennis Leonardoes_ES
dc.contributor.authorGuillén Longa, Ángeles_ES
dc.date.accessioned2015-11-02T19:08:33Zes_ES
dc.date.available2015-11-02T19:08:33Zes_ES
dc.date.created2015es_ES
dc.date.issued2015-11-02es_ES
dc.description.abstractThe volatility of commodities prices such as oil or minerals is an important issue for small and open economies that depends on raw materials. For example, in many countries of Latin America, the volatility of commodities can a¤ect operational cost or investment schedules of business related to the primary sector. At the macroeconomic level, a high volatility can provocate changes in the current account and in capital in ows, or, on the side of importers, increase uncertainty about production costs and in ation. Therefore, modeling volatility of commodities prices would be useful for private agents and policy makers. For the rst ones, it gives valuable information for better options contracts that allow hedge under big uncertainty, and for the second ones, it could help to a better understanding of business cycles given the correlation between mineral prices uctuations, capital in ows and investment expectations.es_ES
dc.identifier.urihttp://hdl.handle.net/20.500.12404/6379
dc.language.isoenges_ES
dc.publisherPontificia Universidad Católica del Perúes_ES
dc.publisher.countryPEes_ES
dc.rightsinfo:eu-repo/semantics/openAccesses_ES
dc.rights.urihttp://creativecommons.org/licenses/by/2.5/pe/*
dc.subjectPrecios--Modelos econométricoses_ES
dc.subjectProductos básicos--Precios--Modelos econométricoses_ES
dc.subjectMercado de futuroses_ES
dc.subject.ocdehttps://purl.org/pe-repo/ocde/ford#5.02.01es_ES
dc.titleModelling the volatility of commodities prices using a stochastic volatility model with random level shifts.es_ES
dc.typeinfo:eu-repo/semantics/masterThesises_ES
renati.discipline311317es_ES
renati.levelhttps://purl.org/pe-repo/renati/level#maestroes_ES
renati.typehttp://purl.org/pe-repo/renati/type#tesises_ES
thesis.degree.disciplineEconomíaes_ES
thesis.degree.grantorPontificia Universidad Católica del Perú. Escuela de Posgradoes_ES
thesis.degree.levelMaestríaes_ES
thesis.degree.nameMaestro en Economíaes_ES

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