{"id":15533,"date":"2002-11-02T00:00:00","date_gmt":"2002-11-02T00:00:00","guid":{"rendered":"https:\/\/www.deberes.net\/tesis\/sin-categoria\/modelizacion-no-browniana-de-series-temporales-financieras\/"},"modified":"2002-11-02T00:00:00","modified_gmt":"2002-11-02T00:00:00","slug":"modelizacion-no-browniana-de-series-temporales-financieras","status":"publish","type":"post","link":"https:\/\/www.deberes.net\/tesis\/ciencias-economicas\/modelizacion-no-browniana-de-series-temporales-financieras\/","title":{"rendered":"Modelizaci\u00f3n no browniana de series temporales financieras"},"content":{"rendered":"<h2>Tesis doctoral de <strong> Fernando Espinosa Navarro <\/strong><\/h2>\n<p>La tesis doctoral trabajo que se presenta trata de un tema de gran actualidad, la modelizaci\u00f3n de series temporales financieras, en concreto sobre el tipo de inter\u00e9s interbancario.  el tipo de inter\u00e9s se ha modelizado desde diferentes perspectivas, por ejemplo tenemos los modelos cl\u00e1sicos de vasiceck y el modelo de cox-ingresoll-ross entre otros, sobre las que se basan los estudios que actualmente se desarrollan sobre el tipo de inter\u00e9s. Por el contra, esta tesis propone un nuevo frente a la hora de abordar esta problem\u00e1tica. En primer lugar y observando que mediante la modelizaci\u00f3n tradicional de series temporales no se obtienen resultados suficientemente satisfactorios, se generaliza la l\u00ednea cl\u00e1sica, de box y jenkins, para dar pie a la modelizaci\u00f3n del tipo de inter\u00e9s teniendo en cuenta la inclusi\u00f3n de la memoria a largo plazo en los modelos iniciales, proponiendo, as\u00ed, los modelos arfima, que por otro lado y a nivel de investigaci\u00f3n nunca han sido aplicados en nuestro pa\u00eds. Observando que no se obten\u00edan resultados suficientemente satisfactorios, se pasa a la modelizaci\u00f3n no lineal. En primer lugar, mediante la modelizaci\u00f3n no lineal de un comportamiento determinista, propuestos por la teor\u00eda del caos, y, en segundo lugar, a la introducci\u00f3n de los modelos no lineales estoc\u00e1sticos: los modelos arma\/garch. destacar que si bien el segundo tratamiento es muy frecuente en la investigaci\u00f3n financiera el primero, el de la teor\u00eda del caos, es totalmente novedoso, no tenemos constancia alguna de la existencia de alg\u00fan trabajo que proponga su aplicaci\u00f3n.  puesto que los resultados obtenidos, de nuevo, no son suficientemente satisfactorios, se da paso a la modelizaci\u00f3n de les series del tipo de inter\u00e9s mediante los procesos estoc\u00e1sticos de salto o de l\u00e9vy o de merton-l\u00e9vy.<\/p>\n<p>&nbsp;<\/p>\n<h3>Datos acad\u00e9micos de la tesis doctoral \u00ab<strong>Modelizaci\u00f3n no browniana de series temporales financieras<\/strong>\u00ab<\/h3>\n<ul>\n<li><strong>T\u00edtulo de la tesis:<\/strong>\u00a0 Modelizaci\u00f3n no browniana de series temporales financieras <\/li>\n<li><strong>Autor:<\/strong>\u00a0 Fernando Espinosa Navarro <\/li>\n<li><strong>Universidad:<\/strong>\u00a0 Barcelona<\/li>\n<li><strong>Fecha de lectura de la tesis:<\/strong>\u00a0 11\/02\/2002<\/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>Antonio Alegre Escolano<\/li>\n<\/ul>\n<\/li>\n<li><strong>Tribunal<\/strong>\n<ul>\n<li>Presidente del tribunal: frederic Utzet civit <\/li>\n<li>joan Del castillo franquet (vocal)<\/li>\n<li>monique Pontier (vocal)<\/li>\n<li>jean-marc Bardet (vocal)<\/li>\n<\/ul>\n<\/li>\n<\/ul>\n<p>&nbsp;<\/p>\n","protected":false},"excerpt":{"rendered":"<p>Tesis doctoral de Fernando Espinosa Navarro La tesis doctoral trabajo que se presenta trata de un tema de gran actualidad, [&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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