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Import dfa into orcad5/24/2023 The uncertainty of price direction in the future increases the risk for agents operating in this market and can affect a dependent price chain, such as food and gasoline. Furthermore, the effect of shocks to the price system dissipates in the long run.ĥ0 days's free access to full text (share link) : Įthanol is one of the most used fuels in Brazil, which is the second-largest producer of this biofuel in the world. The results suggest that the ethanol prices series is anti-persistent which implies that a low price level has a tendency to be followed by a high price level and vice versa. The data series cover the period from 2010 up to the end of 2014, for the spot price composition, and 2015 for the future price prediction. In this paper, several tools for investigating the Brazilian ethanol pricing mechanism are adopted, namely the Auto Regressive Integrated Moving Average, Auto Regressive Fractional Integrated Moving Average, Detrended Fluctuation Analyses, and the Hurst and Lyapunov exponents. Brazil is one of the world’s largest producers of ethanol that represents an important energy commodity. Full text - free access before J(share link) : Ĭommodities have an increasing importance in international financial markets due to the cross effects between their equity patterns and their volatility.
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