{"id":42430,"date":"1999-01-01T00:00:00","date_gmt":"1999-01-01T00:00:00","guid":{"rendered":"https:\/\/www.deberes.net\/tesis\/sin-categoria\/mercado-de-opciones-y-volatilidades-de-los-activos-el-caso-espanol\/"},"modified":"1999-01-01T00:00:00","modified_gmt":"1999-01-01T00:00:00","slug":"mercado-de-opciones-y-volatilidades-de-los-activos-el-caso-espanol","status":"publish","type":"post","link":"https:\/\/www.deberes.net\/tesis\/ciencias-economicas\/mercado-de-opciones-y-volatilidades-de-los-activos-el-caso-espanol\/","title":{"rendered":"Mercado de opciones y volatilidades de los activos. el caso espa\u00f1ol."},"content":{"rendered":"<h2>Tesis doctoral de <strong> Pilar Corredor Casado <\/strong><\/h2>\n<p>El objetivo principal de la tesis consiste en el an\u00e1lisis de la volatilidad de los activos a trav\u00e9s del mercado de opciones empleando el mercado de renta variable. El trabajo se centra en el estudio de tres aspectos relacionados con este objetivo coincidentes con cada una de las partes en que se estructura la tesis. la primera parte se concentra en las interacciones entre los mercados de derivados y los del subyacente y los posibles efectos que pueden aparecer por la negociaci\u00f3n simult\u00e1nea en los dos mercados. La segunda parte estudia si las expectativas sobre la volatilidad media del mercado se forman racionalmente o si existe sub o sobre-reacci\u00f3n en los movimientos de las volatilidades de distintos vencimientos, eplenado para ello distintos modelos de volatilidad condicional y derivando una relaci\u00f3n te\u00f3rica entre lolatilidades impl\u00edcitas cuando el proceso que sigue el subyacente es un gjr. Finalmente la parte tercera determina qu\u00e9 modelo de volatilidad ofrece mejores predicciones en t\u00e9rminos de rentabilidad. Se comparan modelos de volatilidad condicional en los que se emplean datos hist\u00f3ricos, modelos que utilizan datos de volatilidades impl\u00edcitas y modelos que combinan la informaci\u00f3n que procede de datos hist\u00f3ricos (a trav\u00e9s de los modelos arch) con la que procede de datos de opciones (a trav\u00e9s de volatilidades impl\u00edcitas).<\/p>\n<p>&nbsp;<\/p>\n<h3>Datos acad\u00e9micos de la tesis doctoral \u00ab<strong>Mercado de opciones y volatilidades de los activos. el caso espa\u00f1ol.<\/strong>\u00ab<\/h3>\n<ul>\n<li><strong>T\u00edtulo de la tesis:<\/strong>\u00a0 Mercado de opciones y volatilidades de los activos. el caso espa\u00f1ol. <\/li>\n<li><strong>Autor:<\/strong>\u00a0 Pilar Corredor Casado <\/li>\n<li><strong>Universidad:<\/strong>\u00a0 P\u00fablica de navarra<\/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>Rafael Santamaria Aquilue<\/li>\n<\/ul>\n<\/li>\n<li><strong>Tribunal<\/strong>\n<ul>\n<li>Presidente del tribunal: prosper Lamothe fern\u00e1ndez <\/li>\n<li> Fernandez games Manuel angel (vocal)<\/li>\n<li>Mar\u00eda Bonilla musoles (vocal)<\/li>\n<li>salvador Cruz rambaud (vocal)<\/li>\n<\/ul>\n<\/li>\n<\/ul>\n<p>&nbsp;<\/p>\n","protected":false},"excerpt":{"rendered":"<p>Tesis doctoral de Pilar Corredor Casado El objetivo principal de la tesis consiste en el an\u00e1lisis de 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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