{"id":40841,"date":"1999-01-01T00:00:00","date_gmt":"1999-01-01T00:00:00","guid":{"rendered":"https:\/\/www.deberes.net\/tesis\/sin-categoria\/modelos-de-volatilidad-en-el-mercado-espanol-de-divisas\/"},"modified":"1999-01-01T00:00:00","modified_gmt":"1999-01-01T00:00:00","slug":"modelos-de-volatilidad-en-el-mercado-espanol-de-divisas","status":"publish","type":"post","link":"https:\/\/www.deberes.net\/tesis\/ciencias-economicas\/modelos-de-volatilidad-en-el-mercado-espanol-de-divisas\/","title":{"rendered":"Modelos de volatilidad en el mercado espa\u00f1ol de divisas."},"content":{"rendered":"<h2>Tesis doctoral de <strong> Paulina Marco Pont <\/strong><\/h2>\n<p>El objetivo de la tesis es evaluar la posibilidad de predecir la volatilidad de los tipos de cambio, as\u00ed como determinar cu\u00e1les son los modelos m\u00e1s exactos y apropiados. comparamos exahustivamente la calidad predictiva de diferentes modelizaciones arch. concluyendo que estos modelos tienen capacidad predictiva. Mostramos clara evidencia de que las series de volatilidades de los tipos de cambio que analizamos exhiben memoria a largo plazo. Proponemos el empleo de modelos no param\u00e9tricos (cart y loess) para predecir la volatilidad del tipo de cambio, mostrando que generalmente, para nuestras series, no superan al modelo lineal. Mediante la aplicaci\u00f3n del contraste bds demostramos que existen dependencias no lineales en las series de volatilidades del tipo de cambio. Utilizamos redes neuronales artificiales (rna) para predecir la volatilidad del tipo de cambio de la peseta a partir de observaciones hist\u00f3ricas, mostrando que en medias, las rna superan a los modelos arch. por \u00faltimo, proponemos nuevos modelos de predicci\u00f3n de volatilidad: rna que combinan las predicciones de los diferentes modelos arch, mostrando que el modelo h\u00edbrido que proponemos se comporta mejor que la media de los modelos arch y que las rna que predicen sobre observaciones hist\u00f3ricas.<\/p>\n<p>&nbsp;<\/p>\n<h3>Datos acad\u00e9micos de la tesis doctoral \u00ab<strong>Modelos de volatilidad en el mercado espa\u00f1ol de divisas.<\/strong>\u00ab<\/h3>\n<ul>\n<li><strong>T\u00edtulo de la tesis:<\/strong>\u00a0 Modelos de volatilidad en el mercado espa\u00f1ol de divisas. <\/li>\n<li><strong>Autor:<\/strong>\u00a0 Paulina Marco Pont <\/li>\n<li><strong>Universidad:<\/strong>\u00a0 Universitat de val\u00e9ncia (estudi general)<\/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>Mar\u00eda Bonilla Musoles<\/li>\n<\/ul>\n<\/li>\n<li><strong>Tribunal<\/strong>\n<ul>\n<li>Presidente del tribunal: maximo Ferrando bolado <\/li>\n<li>Rafael Santamaria aguilue (vocal)<\/li>\n<li>Jos\u00e9 Luis Sanchez-fernandez valderrama (vocal)<\/li>\n<li>Jos\u00e9 Antonio Gonzalo angulo (vocal)<\/li>\n<\/ul>\n<\/li>\n<\/ul>\n<p>&nbsp;<\/p>\n","protected":false},"excerpt":{"rendered":"<p>Tesis doctoral de Paulina Marco Pont El objetivo de la tesis es evaluar la posibilidad de predecir la volatilidad de [&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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