{"id":13314,"date":"2018-03-09T08:59:33","date_gmt":"2018-03-09T08:59:33","guid":{"rendered":"https:\/\/www.deberes.net\/tesis\/sin-categoria\/raices-unitarias-estocasticas-una-aplicacion-a-series-financieras\/"},"modified":"2018-03-09T08:59:33","modified_gmt":"2018-03-09T08:59:33","slug":"raices-unitarias-estocasticas-una-aplicacion-a-series-financieras","status":"publish","type":"post","link":"https:\/\/www.deberes.net\/tesis\/ciencias-economicas\/raices-unitarias-estocasticas-una-aplicacion-a-series-financieras\/","title":{"rendered":"Raices unitarias estocasticas: una aplicaci\u00f3n a series financieras"},"content":{"rendered":"<h2>Tesis doctoral de <strong> Roman Minguez Salido <\/strong><\/h2>\n<p>El objetivo de esta tesis es ampliar el estudio de la no estacionariedad para abarcar aquellos procesos estocasticos que pueden cambiar su car\u00e1cter(estacionario o no estacionario) en cada momento del tiempo.  en la primera parte del trabajo se recogen las propiedades de los procesos que poseen raiz unitaria junto con los contrastes de deteccion adecuados, incidiendo especialmente en los problemas derivados de la existencia de rupturas estructurales durante el periodo muestral.  la segunda parte de la tesis describe las propiedades estocasticas y dinamicas de modelos que incluyen raiz unitaria estocastica (stur), realizandose un estudio de simulacion para describir el comportamiento de la funcion generalizada de respuesta al impulso asociada a dichos modelos. Por otro lado, se utiliza la teoria asintotica adecuada para desarrollar contrastes de deteccion de raiz unitaria estocastica y se dise\u00f1a otro amplio estudio de simulacion para obtener superficies de respuesta utiles en la realizacion de estos contrastes con tama\u00f1o muestral finito. Finalmente se deriva la funcion de distribucion y de densidad numericas asociadas a cada uno de los contrastes.  en la tercera parte del trabajo se realizan aplicaciones empiricas de los contrastes desarrollados al analisis de coyuntura y la economia financiera. se estima modelos stur para los principales indices bursatiles mundiales realizando un ejercicio de prediccion comparativo con modelos de series temporales alternativos. La tesis se cierra con un capitulo de conclusiones y lineas futuras de investigacion.<\/p>\n<p>&nbsp;<\/p>\n<h3>Datos acad\u00e9micos de la tesis doctoral \u00ab<strong>Raices unitarias estocasticas: una aplicaci\u00f3n a series financieras<\/strong>\u00ab<\/h3>\n<ul>\n<li><strong>T\u00edtulo de la tesis:<\/strong>\u00a0 Raices unitarias estocasticas: una aplicaci\u00f3n a series financieras <\/li>\n<li><strong>Autor:<\/strong>\u00a0 Roman Minguez Salido <\/li>\n<li><strong>Universidad:<\/strong>\u00a0 San pablo-ceu<\/li>\n<li><strong>Fecha de lectura de la tesis:<\/strong>\u00a0 17\/10\/2001<\/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>Eduardo Morales Martinez<\/li>\n<\/ul>\n<\/li>\n<li><strong>Tribunal<\/strong>\n<ul>\n<li>Presidente del tribunal: Francisco javier Martin pliego <\/li>\n<li>guillermina Mart\u00edn reyes (vocal)<\/li>\n<li>enrique Garc\u00eda p\u00e9rez (vocal)<\/li>\n<li>Jos\u00e9 Mar\u00eda Montero lorenzo (vocal)<\/li>\n<\/ul>\n<\/li>\n<\/ul>\n<p>&nbsp;<\/p>\n","protected":false},"excerpt":{"rendered":"<p>Tesis doctoral de Roman Minguez Salido El objetivo de esta tesis es ampliar el estudio de la no estacionariedad para [&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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