{"id":39643,"date":"1999-01-01T00:00:00","date_gmt":"1999-01-01T00:00:00","guid":{"rendered":"https:\/\/www.deberes.net\/tesis\/sin-categoria\/rendimientos-y-volatilidad-en-el-mercado-de-futuros-sobre-el-ibex35-implicaciones-para-la-cobertura-de-carteras-de-renta-variable\/"},"modified":"1999-01-01T00:00:00","modified_gmt":"1999-01-01T00:00:00","slug":"rendimientos-y-volatilidad-en-el-mercado-de-futuros-sobre-el-ibex35-implicaciones-para-la-cobertura-de-carteras-de-renta-variable","status":"publish","type":"post","link":"https:\/\/www.deberes.net\/tesis\/ciencias-economicas\/rendimientos-y-volatilidad-en-el-mercado-de-futuros-sobre-el-ibex35-implicaciones-para-la-cobertura-de-carteras-de-renta-variable\/","title":{"rendered":"Rendimientos y volatilidad en el mercado de futuros sobre el ibex35: implicaciones para la cobertura de carteras de renta variable."},"content":{"rendered":"<h2>Tesis doctoral de <strong> Juan  Angel Lafuente Luengo <\/strong><\/h2>\n<p>El trabajo de investigaci\u00f3n desarrollado en la tesis doctoral se centra en el estudio del mercado de futuros sobre el ibex 35 y tiene dos objetivos principales: a) por un lado se estudian las pautas de comportamiento que subyacen a la interacci\u00f3n entre el mercado de contado y el mercado a futuros, tanto en lo que concierne a la din\u00e1mica de rendimientos como en lo que respecta a la interacci\u00f3n entre las volatidades, y b) analizar cual es la metodolog\u00eda m\u00e1s adecuada para medir el riesgo de mercado (volatilidad) y en consecuencia para estimar el ratio de cobertura \u00f3ptimo cuando se pretende utilizar el mercado de derivados para la inmunizaci\u00f3n de carteras de renta variable. El an\u00e1lisis se efect\u00faa sobre datos de mercado de alta frecuencia (cada cinco minutos) a lo largo de tres a\u00f1os de mercado. se calibra la robustez de los resultados obtenidos tanto frente a la metodolog\u00eda econom\u00e9trica considerada (modelos de ecuaciones simult\u00e1neas, vectores autorregresivos de correcci\u00f3n de error, modelos de hetorocedasticidad condicional autorregresiva, etc.) Como a la frecuencia de observaci\u00f3n muestral.<\/p>\n<p>&nbsp;<\/p>\n<h3>Datos acad\u00e9micos de la tesis doctoral \u00ab<strong>Rendimientos y volatilidad en el mercado de futuros sobre el ibex35: implicaciones para la cobertura de carteras de renta variable.<\/strong>\u00ab<\/h3>\n<ul>\n<li><strong>T\u00edtulo de la tesis:<\/strong>\u00a0 Rendimientos y volatilidad en el mercado de futuros sobre el ibex35: implicaciones para la cobertura de carteras de renta variable. <\/li>\n<li><strong>Autor:<\/strong>\u00a0 Juan  Angel Lafuente Luengo <\/li>\n<li><strong>Universidad:<\/strong>\u00a0 Complutense de Madrid<\/li>\n<li><strong>Fecha de lectura de la tesis:<\/strong>\u00a0 01\/01\/1999<\/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>Alfonso Novales Cinca<\/li>\n<\/ul>\n<\/li>\n<li><strong>Tribunal<\/strong>\n<ul>\n<li>Presidente del tribunal: Jaime Terceiro lomba <\/li>\n<li>Jos\u00e9 Garcia montalvo (vocal)<\/li>\n<li>gonzalo Rubio iriguyen (vocal)<\/li>\n<li>prosper Lamothe fern\u00e1ndez (vocal)<\/li>\n<\/ul>\n<\/li>\n<\/ul>\n<p>&nbsp;<\/p>\n","protected":false},"excerpt":{"rendered":"<p>Tesis doctoral de Juan Angel Lafuente Luengo El trabajo de investigaci\u00f3n desarrollado en la tesis doctoral se centra en el [&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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