{"id":131430,"date":"1996-01-01T00:00:00","date_gmt":"1996-01-01T00:00:00","guid":{"rendered":"https:\/\/www.deberes.net\/tesis\/sin-categoria\/analisis-de-los-futuros-y-las-opciones-sobre-el-ibex-35-eficiencia-valoracion-e-interaccion\/"},"modified":"1996-01-01T00:00:00","modified_gmt":"1996-01-01T00:00:00","slug":"analisis-de-los-futuros-y-las-opciones-sobre-el-ibex-35-eficiencia-valoracion-e-interaccion","status":"publish","type":"post","link":"https:\/\/www.deberes.net\/tesis\/ciencias-economicas\/analisis-de-los-futuros-y-las-opciones-sobre-el-ibex-35-eficiencia-valoracion-e-interaccion\/","title":{"rendered":"Analisis de los futuros y las opciones sobre el ibex-35: eficiencia, valoracion e interaccion."},"content":{"rendered":"<h2>Tesis doctoral de <strong>  Valdivia Altamirano William Fernando <\/strong><\/h2>\n<p>En base a datos diarios, para el periodo 1992-1994 se analiza: 1) la eficiencia debil del mercado de futuros, aceptandose estadisticamente esta hipotesis. 2) el efecto de los derivados sobre el rendimiento y la varianza incondicional del subyacente, la evidencia no apoya la desestabilizacion.-3) la predictibilidad de la media y la varianza condicional del indice ibex35 en base a la metodolog\u00eda de box jenkins, esto es posible, en general, a condicion de intervenirlas. Para ciertos periodos se admite ademas modelos garch para la varianza.-4) se logra evidencia de interdependencia entre el contado y el futuro y de liderazgo del futuro.-5) la utilidad del modelo de black-scholes corregido por dividendos y utilizando la volatilidad implicita, para valorar opciones call, los resultados sugieren su buen comportamiento.<\/p>\n<p>&nbsp;<\/p>\n<h3>Datos acad\u00e9micos de la tesis doctoral \u00ab<strong>Analisis de los futuros y las opciones sobre el ibex-35: eficiencia, valoracion e interaccion.<\/strong>\u00ab<\/h3>\n<ul>\n<li><strong>T\u00edtulo de la tesis:<\/strong>\u00a0 Analisis de los futuros y las opciones sobre el ibex-35: eficiencia, valoracion e interaccion. <\/li>\n<li><strong>Autor:<\/strong>\u00a0  Valdivia Altamirano William Fernando <\/li>\n<li><strong>Universidad:<\/strong>\u00a0 Aut\u00f3noma de Madrid<\/li>\n<li><strong>Fecha de lectura de la tesis:<\/strong>\u00a0 01\/01\/1996<\/li>\n<\/ul>\n<p>&nbsp;<\/p>\n<h3>Direcci\u00f3n y tribunal<\/h3>\n<ul>\n<li><strong>Director de la tesis<\/strong>\n<ul>\n<li>Prosper Lamothe Fern\u00e1ndez<\/li>\n<\/ul>\n<\/li>\n<li><strong>Tribunal<\/strong>\n<ul>\n<li>Presidente del tribunal: Juan  Jos\u00e9 Dur\u00e1n Herrera <\/li>\n<li>Soledad Nu\u00f1ez Ramos (vocal)<\/li>\n<li>Ana Del Sur Mora (vocal)<\/li>\n<li>Ana Isabel Fern\u00e1ndez \u00e1lvarez (vocal)<\/li>\n<\/ul>\n<\/li>\n<\/ul>\n<p>&nbsp;<\/p>\n","protected":false},"excerpt":{"rendered":"<p>Tesis doctoral de Valdivia Altamirano William Fernando En base a datos diarios, para el periodo 1992-1994 se analiza: 1) la [&hellip;]<\/p>\n","protected":false},"author":1,"featured_media":0,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"site-sidebar-layout":"default","site-content-layout":"","ast-site-content-layout":"","site-content-style":"default","site-sidebar-style":"default","ast-global-header-display":"","ast-banner-title-visibility":"","ast-main-header-display":"","ast-hfb-above-header-display":"","ast-hfb-below-header-display":"","ast-hfb-mobile-header-display":"","site-post-title":"","ast-breadcrumbs-content":"","ast-featured-img":"","footer-sml-layout":"","theme-transparent-header-meta":"","adv-header-id-meta":"","stick-header-meta":"","header-above-stick-meta":"","header-main-stick-meta":"","header-below-stick-meta":"","astra-migrate-meta-layouts":"default","ast-page-background-enabled":"default","ast-page-background-meta":{"desktop":{"background-color":"var(--ast-global-color-4)","background-image":"","background-repeat":"repeat","background-position":"center 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