{"id":18821,"date":"2002-05-09T00:00:00","date_gmt":"2002-05-09T00:00:00","guid":{"rendered":"https:\/\/www.deberes.net\/tesis\/sin-categoria\/threshold-autoregressive-models-extensions-with-applications-to-economics-and-finance\/"},"modified":"2002-05-09T00:00:00","modified_gmt":"2002-05-09T00:00:00","slug":"threshold-autoregressive-models-extensions-with-applications-to-economics-and-finance","status":"publish","type":"post","link":"https:\/\/www.deberes.net\/tesis\/ciencias-economicas\/threshold-autoregressive-models-extensions-with-applications-to-economics-and-finance\/","title":{"rendered":"Threshold autoregressive models: extensions with applications to economics and finance"},"content":{"rendered":"<h2>Tesis doctoral de <strong> Antoni Vidiella Anguera <\/strong><\/h2>\n<p>El trabajo de esta tesis se centra en la clase de modelos de series temporales no lineales conocida como modelos autoregresivos con umbral (tar en ingl\u00e9s). De los cinco cap\u00edtulos de la tesis el primero es una introducci\u00f3n y el \u00faltimo unas conclusiones en las que se incluyen las futuras l\u00edneas de investigaci\u00f3n. El segundo cap\u00edtulo consta de un repaso detallado del proceso de identificaci\u00f3n, especificaci\u00f3n, estimaci\u00f3n y predicci\u00f3n con este tipo de modelos. Adem\u00e1s, se estudia, utilizando simulaci\u00f3n de monte carlo el comportamiento de un conjunto de tests estad\u00edsticos de diagnostico aplicados en los residuos de los modelos no lineales. En este cap\u00edtulo tambi\u00e9n se encuentra un repaso pormenorizado de las aplicaciones emp\u00edricas que se han realizado con este tipo de modelos.  el tercer cap\u00edtulo introduce un nuevo modelo de series temporales no lineales que describe no linealidad de tipo setar y estacionalidad al mismo tiempo. Este modelo es un caso especial de modelo setar no multiplicativo en el que se imponen ciertas restricciones en los par\u00e1metros. En relaci\u00f3n a dichas restricciones se presentan dos tests estad\u00edsticos, uno que tiene en cuenta los \u00abagujeros\u00bb y otro que tiene en cuenta una estructura multiplicativa para la estacionalidad. Estos estad\u00edsticos forman la base para dos tests de estacionalidad nuevos. La aplicaci\u00f3n emp\u00edrica que se realiza con este nuevo modelo se centra en el problema de la modelizaci\u00f3n de la inflaci\u00f3n en el campo actuarial. Los resultados obtenidos mejoran aspectos aun sin resolver en la literatura previa.  en el siguiente cap\u00edtulo, se presenta un modelo de cointegraci\u00f3n no lineal en el que se permite que la relaci\u00f3n de cointegraci\u00f3n entre dos variables no estacionarias dependa del nivel de desequilibrio entre las dos variables (level tvec model). Este nuevo modelo para series bivariantes se compara con los modelos existentes (tvec model) desde el punto de vista de la capacidad de pred<\/p>\n<p>&nbsp;<\/p>\n<h3>Datos acad\u00e9micos de la tesis doctoral \u00ab<strong>Threshold autoregressive models: extensions with applications to economics and finance<\/strong>\u00ab<\/h3>\n<ul>\n<li><strong>T\u00edtulo de la tesis:<\/strong>\u00a0 Threshold autoregressive models: extensions with applications to economics and finance <\/li>\n<li><strong>Autor:<\/strong>\u00a0 Antoni Vidiella Anguera <\/li>\n<li><strong>Universidad:<\/strong>\u00a0 Barcelona<\/li>\n<li><strong>Fecha de lectura de la tesis:<\/strong>\u00a0 05\/09\/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: alejandro Balbas de la corte <\/li>\n<li> De gooijer jan gerard (vocal)<\/li>\n<li>michael Gonzalo mu\u00f1oz (vocal)<\/li>\n<li>  (vocal)<\/li>\n<\/ul>\n<\/li>\n<\/ul>\n<p>&nbsp;<\/p>\n","protected":false},"excerpt":{"rendered":"<p>Tesis doctoral de Antoni Vidiella Anguera El trabajo de esta tesis se centra en la clase de modelos de series [&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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