Eficiência e razão de hedge: uma análise dos mercados futuro brasileiros de boi, café, etanol, milho e soja

This research aims to investigate the Hedge Efficiency and Optimal Hedge Ratio for the future market of cattle, coffee, ethanol, corn and soybean. This paper uses the Optimal Hedge Ratio and Hedge Effectiveness through multivariate GARCH models with error correction, attempting to the possible phenomenon of Optimal Hedge Ratio differential during the crop and intercrop period. The Optimal Hedge Ratio must be bigger in the intercrop period due to the uncertainty related to a possible supply shock (LAZZARINI, 2010). Among the future contracts studied in this research, the coffee, ethanol and soybean contracts were not object of this phenomenon investigation, yet. Furthermore, the corn and ethanol contracts were not object of researches which deal with Dynamic Hedging Strategy. This paper distinguishes itself for including the GARCH model with error correction, which it was never considered when the possible Optimal Hedge Ratio differential during the crop and intercrop period were investigated. The commodities quotation were used as future price in the market future of BM&FBOVESPA and as spot market, the CEPEA index, in the period from May 2010 to June 2013 to cattle, coffee, ethanol and corn, and to August 2012 to soybean, with daily frequency. Similar results were achieved for all the commodities. There is a long term relationship among the spot market and future market, bicausality and the spot market and future market of cattle, coffee, ethanol and corn, and unicausality of the future price of soybean on spot price. The Optimal Hedge Ratio was estimated from three different strategies: linear regression by MQO, BEKK-GARCH diagonal model, and BEKK-GARCH diagonal with intercrop dummy. The MQO regression model, pointed out the Hedge inefficiency, taking into consideration that the Optimal Hedge presented was too low. The second model represents the strategy of dynamic hedge, which collected time variations in the Optimal Hedge. The last Hedge strategy did not detect Optimal Hedge Ratio differential between the crop and intercrop period, therefore, unlikely what they expected, the investor do not need increase his/her investment in the future market during the intercrop

Determinação do teor de diclofenaco sódico em comprimidos por espectroscopia no infravermelho próximo NIR com calibração multivariada PLS

This work is combined with the potential of the technique of near infrared spectroscopy - NIR and chemometrics order to determine the content of diclofenac tablets, without destruction of the sample, to which was used as the reference method, ultraviolet spectroscopy, which is one of the official methods. In the construction of multivariate calibration models has been studied several types of pre-processing of NIR spectral data, such as scatter correction, first derivative. The regression method used in the construction of calibration models is the PLS (partial least squares) using NIR spectroscopic data of a set of 90 tablets were divided into two sets (calibration and prediction). 54 were used in the calibration samples and the prediction was used 36, since the calibration method used was crossvalidation method (full cross-validation) that eliminates the need for a validation set. The evaluation of the models was done by observing the values of correlation coefficient R 2 and RMSEC mean square error (calibration error) and RMSEP (forecast error). As the forecast values estimated for the remaining 36 samples, which the results were consistent with the values obtained by UV spectroscopy

Espectroscopia no infravermelho próximo e métodos de calibração multivariada aplicados à determinação simultânea de parâmetros bioquímicos em plasma sanguíneo

In this work, the quantitative analysis of glucose, triglycerides and cholesterol (total and HDL) in both rat and human blood plasma was performed without any kind of pretreatment of samples, by using near infrared spectroscopy (NIR) combined with multivariate methods. For this purpose, different techniques and algorithms used to pre-process data, to select variables and to build multivariate regression models were compared between each other, such as partial least squares regression (PLS), non linear regression by artificial neural networks, interval partial least squares regression (iPLS), genetic algorithm (GA), successive projections algorithm (SPA), amongst others. Related to the determinations of rat blood plasma samples, the variables selection algorithms showed satisfactory results both for the correlation coefficients (R²) and for the values of root mean square error of prediction (RMSEP) for the three analytes, especially for triglycerides and cholesterol-HDL. The RMSEP values for glucose, triglycerides and cholesterol-HDL obtained through the best PLS model were 6.08, 16.07 e 2.03 mg dL-1, respectively. In the other case, for the determinations in human blood plasma, the predictions obtained by the PLS models provided unsatisfactory results with non linear tendency and presence of bias. Then, the ANN regression was applied as an alternative to PLS, considering its ability of modeling data from non linear systems. The root mean square error of monitoring (RMSEM) for glucose, triglycerides and total cholesterol, for the best ANN models, were 13.20, 10.31 e 12.35 mg dL-1, respectively. Statistical tests (F and t) suggest that NIR spectroscopy combined with multivariate regression methods (PLS and ANN) are capable to quantify the analytes (glucose, triglycerides and cholesterol) even when they are present in highly complex biological fluids, such as blood plasma

Eficiência e razão de hedge: uma análise dos mercados futuro brasileiros de boi, café, etanol, milho e soja

This research aims to investigate the Hedge Efficiency and Optimal Hedge Ratio for the future market of cattle, coffee, ethanol, corn and soybean. This paper uses the Optimal Hedge Ratio and Hedge Effectiveness through multivariate GARCH models with error correction, attempting to the possible phenomenon of Optimal Hedge Ratio differential during the crop and intercrop period. The Optimal Hedge Ratio must be bigger in the intercrop period due to the uncertainty related to a possible supply shock (LAZZARINI, 2010). Among the future contracts studied in this research, the coffee, ethanol and soybean contracts were not object of this phenomenon investigation, yet. Furthermore, the corn and ethanol contracts were not object of researches which deal with Dynamic Hedging Strategy. This paper distinguishes itself for including the GARCH model with error correction, which it was never considered when the possible Optimal Hedge Ratio differential during the crop and intercrop period were investigated. The commodities quotation were used as future price in the market future of BM&FBOVESPA and as spot market, the CEPEA index, in the period from May 2010 to June 2013 to cattle, coffee, ethanol and corn, and to August 2012 to soybean, with daily frequency. Similar results were achieved for all the commodities. There is a long term relationship among the spot market and future market, bicausality and the spot market and future market of cattle, coffee, ethanol and corn, and unicausality of the future price of soybean on spot price. The Optimal Hedge Ratio was estimated from three different strategies: linear regression by MQO, BEKK-GARCH diagonal model, and BEKK-GARCH diagonal with intercrop dummy. The MQO regression model, pointed out the Hedge inefficiency, taking into consideration that the Optimal Hedge presented was too low. The second model represents the strategy of dynamic hedge, which collected time variations in the Optimal Hedge. The last Hedge strategy did not detect Optimal Hedge Ratio differential between the crop and intercrop period, therefore, unlikely what they expected, the investor do not need increase his/her investment in the future market during the intercrop