{"id":30919,"date":"2018-03-09T09:24:44","date_gmt":"2018-03-09T09:24:44","guid":{"rendered":"https:\/\/www.deberes.net\/tesis\/sin-categoria\/forecasting-asset-portfolio-market-risk\/"},"modified":"2018-03-09T09:24:44","modified_gmt":"2018-03-09T09:24:44","slug":"forecasting-asset-portfolio-market-risk","status":"publish","type":"post","link":"https:\/\/www.deberes.net\/tesis\/alicante\/forecasting-asset-portfolio-market-risk\/","title":{"rendered":"Forecasting asset portfolio market risk"},"content":{"rendered":"<h2>Tesis doctoral de <strong> Trinitario Manuel \u00f1iguez Grau <\/strong><\/h2>\n<p>El principal objetivo de esta tesis es la evaluaci\u00f3n del rendimiento de diferentes especificaciones (univariantes y multivariantes) para la varianza condicional bajo las distribuciones m\u00e1s utilizadas en finanzas, para la predicci\u00f3n de la volatilidad, la curtosis y el var de carteras de activos financieros.  el cap\u00edtulo 1 proporciona un resumen de los principales conceptos y herramientas matem\u00e1ticas utilizados en la tesis.  el cap\u00edtulo 2 presenta un an\u00e1lisis comparativo de la capacidad de los modelos tipo garch y figarch, bajo la distribuci\u00f3n gausiana y la t de student, para la predicci\u00f3n de la volatilidad y del var de una cartera igualmente ponderada compuesta por las acciones del \u00edndice selectivo de la bolsa de Madrid, ibex-35.  en el cap\u00edtulo 3, se propone un procedimiento para predecir la matriz de varianzas y covarianzas de una cartera de activos financieros con memoria larga en la volatilidad del rendimiento. El m\u00e9todo combina el modelo multivariante garch ortogonal (ogarch) introducido por alexander y chibumba (1996) y desarrollado por alexander (1998, 2001a), y el modelo univariante garch hiperb\u00f3lico (hygarch) recientemente propuesto por davidson (2004).  el cap\u00edtulo 4 se centra en el estudio de la din\u00e1mica de las colas de la distribuci\u00f3n condicional de los rendimientos de los activos financieros. se analizan dos extensiones de la estructura garch para permitir especificar un proceso para la curtosis condicional. A trav\u00e9s de un an\u00e1lisis emp\u00edrico para una cartera basada en cinco indices selectivos de acciones, se muestra que el modelo autorregresivo generalizado para la heterocedastidad y curtosis condicionales (garchk) bajo la distribuci\u00f3n t de student (brooks, burke and persand, 2002) proporciona un mejor ajuste de la volatilidad de los rendimientos as\u00ed como predicciones m\u00e1s exactas de la curtosis y volatilidad condicionales que los modelos de referencia (garch de bollerslev (1986, 1987)), y que el garch<\/p>\n<p>&nbsp;<\/p>\n<h3>Datos acad\u00e9micos de la tesis doctoral \u00ab<strong>Forecasting asset portfolio market risk<\/strong>\u00ab<\/h3>\n<ul>\n<li><strong>T\u00edtulo de la tesis:<\/strong>\u00a0 Forecasting asset portfolio market risk <\/li>\n<li><strong>Autor:<\/strong>\u00a0 Trinitario Manuel \u00f1iguez Grau <\/li>\n<li><strong>Universidad:<\/strong>\u00a0 Alicante<\/li>\n<li><strong>Fecha de lectura de la tesis:<\/strong>\u00a0 21\/06\/2004<\/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>Gabriele Fiorentini<\/li>\n<\/ul>\n<\/li>\n<li><strong>Tribunal<\/strong>\n<ul>\n<li>Presidente del tribunal: esther Ruiz ortega <\/li>\n<li>giampiero Gallo (vocal)<\/li>\n<li>eva Ferreira Garc\u00eda (vocal)<\/li>\n<li>Juan Mora lopez (vocal)<\/li>\n<\/ul>\n<\/li>\n<\/ul>\n<p>&nbsp;<\/p>\n","protected":false},"excerpt":{"rendered":"<p>Tesis doctoral de Trinitario Manuel \u00f1iguez Grau El principal objetivo de esta tesis es la evaluaci\u00f3n del rendimiento de diferentes [&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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