{"id":21509,"date":"2003-04-02T00:00:00","date_gmt":"2003-04-02T00:00:00","guid":{"rendered":"https:\/\/www.deberes.net\/tesis\/sin-categoria\/heterocedasticidad-condicional-atipicos-y-cambios-de-nivel-en-series-temporales-financieras\/"},"modified":"2003-04-02T00:00:00","modified_gmt":"2003-04-02T00:00:00","slug":"heterocedasticidad-condicional-atipicos-y-cambios-de-nivel-en-series-temporales-financieras","status":"publish","type":"post","link":"https:\/\/www.deberes.net\/tesis\/carlos-iii-de-madrid\/heterocedasticidad-condicional-atipicos-y-cambios-de-nivel-en-series-temporales-financieras\/","title":{"rendered":"Heterocedasticidad condicional, atipicos y cambios de nivel en series temporales financieras"},"content":{"rendered":"<h2>Tesis doctoral de <strong> M. Angeles Carnero Fernandez <\/strong><\/h2>\n<p>En esta tesis se analizan tres caracter\u00edsticas emp\u00edricas frecuentes en las series financieras: heterocedasticidad condicional, observaciones at\u00edpicas y cambios de nivel. En primer lugar, se analiza la relaci\u00f3n entre el coeficiente de curtosis, la persistencia de las innovaciones sobre la volatilidad y la correlaci\u00f3n de orden uno de las observaciones al cuadrado en los modelos garch(1,1) y arsv(1). Dicha relaci\u00f3n permite explicar por qu\u00e9, para las mismas series, la persistencia se estima, a menudo, mayor en modelos garch que en arsv. Tambi\u00e9n se explica por qu\u00e9 los modelos arsv gausianos parecen adecuados para explicar las propiedades de las series reales mientras que si se ajusta un modelo garch, la distribuci\u00f3n condicional necesita ser leptoc\u00fartica. A continuaci\u00f3n, se estudia la presencia simult\u00e1nea de observaciones at\u00edpicas y heterocedasticidad condicional en series temporales. Se investigan los efectos causados por at\u00edpicos en el diagn\u00f3stico y estimaci\u00f3n de la heterocedasticidad condicional y se propone un procedimiento para tratar este problema. Por \u00faltimo, se propone un nuevo contraste para detectar cambios de nivel en series temporales, que es robusto a distribuciones marginales no gausianas y, en particular, a la presencia   de heterocedasticidad condicional. Se propone tambi\u00e9n un procedimiento para el caso de m\u00faltiples cambios de nivel. Todos los resultados se ilustran con diferentes series financieras.<\/p>\n<p>&nbsp;<\/p>\n<h3>Datos acad\u00e9micos de la tesis doctoral \u00ab<strong>Heterocedasticidad condicional, atipicos y cambios de nivel en series temporales financieras<\/strong>\u00ab<\/h3>\n<ul>\n<li><strong>T\u00edtulo de la tesis:<\/strong>\u00a0 Heterocedasticidad condicional, atipicos y cambios de nivel en series temporales financieras <\/li>\n<li><strong>Autor:<\/strong>\u00a0 M. Angeles Carnero Fernandez <\/li>\n<li><strong>Universidad:<\/strong>\u00a0 Carlos III de Madrid<\/li>\n<li><strong>Fecha de lectura de la tesis:<\/strong>\u00a0 04\/02\/2003<\/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>Daniel Pe\u00f1a S\u00e1nchez De Rivera<\/li>\n<\/ul>\n<\/li>\n<li><strong>Tribunal<\/strong>\n<ul>\n<li>Presidente del tribunal: antoni Espasa terradas <\/li>\n<li>ariel Beyaert (vocal)<\/li>\n<li>Antonio Garc\u00eda ferrer (vocal)<\/li>\n<li>charles Bos (vocal)<\/li>\n<\/ul>\n<\/li>\n<\/ul>\n<p>&nbsp;<\/p>\n","protected":false},"excerpt":{"rendered":"<p>Tesis doctoral de M. Angeles Carnero Fernandez En esta tesis se analizan tres caracter\u00edsticas emp\u00edricas frecuentes en las series financieras: [&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 center","background-size":"auto","background-attachment":"scroll","background-type":"","background-media":"","overlay-type":"","overlay-color":"","overlay-gradient":""},"tablet":{"background-color":"","background-image":"","background-repeat":"repeat","background-position":"center center","background-size":"auto","background-attachment":"scroll","background-type":"","background-media":"","overlay-type":"","overlay-color":"","overlay-gradient":""},"mobile":{"background-color":"","background-image":"","background-repeat":"repeat","background-position":"center center","background-size":"auto","background-attachment":"scroll","background-type":"","background-media":"","overlay-type":"","overlay-color":"","overlay-gradient":""}},"ast-content-background-meta":{"desktop":{"background-color":"var(--ast-global-color-5)","background-image":"","background-repeat":"repeat","background-position":"center center","background-size":"auto","background-attachment":"scroll","background-type":"","background-media":"","overlay-type":"","overlay-color":"","overlay-gradient":""},"tablet":{"background-color":"var(--ast-global-color-5)","background-image":"","background-repeat":"repeat","background-position":"center center","background-size":"auto","background-attachment":"scroll","background-type":"","background-media":"","overlay-type":"","overlay-color":"","overlay-gradient":""},"mobile":{"background-color":"var(--ast-global-color-5)","background-image":"","background-repeat":"repeat","background-position":"center center","background-size":"auto","background-attachment":"scroll","background-type":"","background-media":"","overlay-type":"","overlay-color":"","overlay-gradient":""}},"footnotes":""},"categories":[18550],"tags":[64826,23265,64827,64828,14614,64825],"class_list":["post-21509","post","type-post","status-publish","format-standard","hentry","category-carlos-iii-de-madrid","tag-antoni-espasa-terradas","tag-antonio-garcia-ferrer","tag-ariel-beyaert","tag-charles-bos","tag-daniel-pena-sanchez-de-rivera","tag-m-angeles-carnero-fernandez"],"_links":{"self":[{"href":"https:\/\/www.deberes.net\/tesis\/wp-json\/wp\/v2\/posts\/21509","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/www.deberes.net\/tesis\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/www.deberes.net\/tesis\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/www.deberes.net\/tesis\/wp-json\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"https:\/\/www.deberes.net\/tesis\/wp-json\/wp\/v2\/comments?post=21509"}],"version-history":[{"count":0,"href":"https:\/\/www.deberes.net\/tesis\/wp-json\/wp\/v2\/posts\/21509\/revisions"}],"wp:attachment":[{"href":"https:\/\/www.deberes.net\/tesis\/wp-json\/wp\/v2\/media?parent=21509"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/www.deberes.net\/tesis\/wp-json\/wp\/v2\/categories?post=21509"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/www.deberes.net\/tesis\/wp-json\/wp\/v2\/tags?post=21509"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}