{"id":36191,"date":"1998-01-01T00:00:00","date_gmt":"1998-01-01T00:00:00","guid":{"rendered":"https:\/\/www.deberes.net\/tesis\/sin-categoria\/tecnicas-semiparametricas-en-la-especificacion-y-prediccion-de-modelos-arch\/"},"modified":"1998-01-01T00:00:00","modified_gmt":"1998-01-01T00:00:00","slug":"tecnicas-semiparametricas-en-la-especificacion-y-prediccion-de-modelos-arch","status":"publish","type":"post","link":"https:\/\/www.deberes.net\/tesis\/ciencias-economicas\/tecnicas-semiparametricas-en-la-especificacion-y-prediccion-de-modelos-arch\/","title":{"rendered":"Tecnicas semiparametricas en la especificacion y prediccion de modelos arch."},"content":{"rendered":"<h2>Tesis doctoral de <strong>  Miguel Alvarez Jes\u00fas Angel <\/strong><\/h2>\n<p>Se analiza en primer lugar, el problema de la construcci\u00f3n de intervalos predictivos a corto y medio plazo con un nivel de confianza dado en modelos arma-arch y arma-garch-m utilizando desarrollo asint\u00f3ticos de cornish-fisher de la distribuci\u00f3n del error predictivo y la metodolog\u00eda boostrap.  a continuaci\u00f3n, se aborda el problema de la especificaci\u00f3n de la varianza condicional del error de predicci\u00f3n proponi\u00e9ndose un contraste de hip\u00f3tesis basado en la comparaci\u00f3n de un estimador param\u00e9trico y uno no param\u00e9trico de la volatilidad mediante el error cuadr\u00e1tico medio integrado. Se obtiene la distribuci\u00f3n asint\u00f3tica del estad\u00edstico del contraste y se propone un procedimiento boostrap para evaluar los puntos cr\u00edticos del mismo. Se eval\u00faa mediante simulaci\u00f3n la potencia del contraste propuesto compar\u00e1ndolo con los estad\u00edsticos m\u00e1s usuales utilizados en la literatura.  por \u00faltimo, se aplican las t\u00e9cnicas propuestas al an\u00e1lisis del mercado de tipos de cambio, estudiando las series del tipo de cambio pta.\/Dolar y pta.\/Marco analizando la existencia de prima de riesgo en dichas series.<\/p>\n<p>&nbsp;<\/p>\n<h3>Datos acad\u00e9micos de la tesis doctoral \u00ab<strong>Tecnicas semiparametricas en la especificacion y prediccion de modelos arch.<\/strong>\u00ab<\/h3>\n<ul>\n<li><strong>T\u00edtulo de la tesis:<\/strong>\u00a0 Tecnicas semiparametricas en la especificacion y prediccion de modelos arch. <\/li>\n<li><strong>Autor:<\/strong>\u00a0  Miguel Alvarez Jes\u00fas Angel <\/li>\n<li><strong>Universidad:<\/strong>\u00a0 Zaragoza<\/li>\n<li><strong>Fecha de lectura de la tesis:<\/strong>\u00a0 01\/01\/1998<\/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>Pilar Olave Rubio<\/li>\n<\/ul>\n<\/li>\n<li><strong>Tribunal<\/strong>\n<ul>\n<li>Presidente del tribunal: Jos\u00e9 Antonio Crist\u00f3bal Crist\u00f3bal <\/li>\n<li> Rodriguez Poo Juan  M. (vocal)<\/li>\n<li>Mar\u00eda no Valderrama Bonnet (vocal)<\/li>\n<li>Marc Saez (vocal)<\/li>\n<\/ul>\n<\/li>\n<\/ul>\n<p>&nbsp;<\/p>\n","protected":false},"excerpt":{"rendered":"<p>Tesis doctoral de Miguel Alvarez Jes\u00fas Angel Se analiza en primer lugar, el problema de la construcci\u00f3n de intervalos predictivos [&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":[82,974,1068,6264,126,8134,13610],"tags":[2768,95983,3674,95981,28575,95982],"class_list":["post-36191","post","type-post","status-publish","format-standard","hentry","category-ciencias-economicas","category-econometria","category-estadistica-economica","category-investigacion-operativa","category-matematicas","category-teoria-de-sistemas","category-zaragoza","tag-jose-antonio-cristobal-cristobal","tag-marc-saez","tag-maria-no-valderrama-bonnet","tag-miguel-alvarez-jesus-angel","tag-pilar-olave-rubio","tag-rodriguez-poo-juan-m"],"_links":{"self":[{"href":"https:\/\/www.deberes.net\/tesis\/wp-json\/wp\/v2\/posts\/36191","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=36191"}],"version-history":[{"count":0,"href":"https:\/\/www.deberes.net\/tesis\/wp-json\/wp\/v2\/posts\/36191\/revisions"}],"wp:attachment":[{"href":"https:\/\/www.deberes.net\/tesis\/wp-json\/wp\/v2\/media?parent=36191"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/www.deberes.net\/tesis\/wp-json\/wp\/v2\/categories?post=36191"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/www.deberes.net\/tesis\/wp-json\/wp\/v2\/tags?post=36191"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}