{"id":57195,"date":"2018-03-09T22:44:58","date_gmt":"2018-03-09T22:44:58","guid":{"rendered":"https:\/\/www.deberes.net\/tesis\/sin-categoria\/cornish-fisher-distributions-theory-and-financial-applications\/"},"modified":"2018-03-09T22:44:58","modified_gmt":"2018-03-09T22:44:58","slug":"cornish-fisher-distributions-theory-and-financial-applications","status":"publish","type":"post","link":"https:\/\/www.deberes.net\/tesis\/probabilidad\/cornish-fisher-distributions-theory-and-financial-applications\/","title":{"rendered":"Cornish-fisher distributions. theory and financial applications"},"content":{"rendered":"<h2>Tesis doctoral de <strong> Unai Ansejo Barra <\/strong><\/h2>\n<p>A pesar de su popularidad en finanzas, las distribuciones semiparam\u00e9tricas est\u00e1ndar basadas en expansiones de cornish-fisher, como gram-charlier o edgeworth, han sido permanentemente consideradas insatisfactorias debido a la presencia de probabilidades negativas y a su carencia de flexibilidad. Estas dificultades parecen haber sido superadas pro nuestro nuevo sistema, la funci\u00f3n de densidad cornish-fisher cfd, tambi\u00e9n basada  en expansiones cornish-fisher.  en el primer cap\u00edtulo introducimos las funciones cfd en sus formas univariante y multivariante y analizamos su contribuci\u00f3n est\u00e9tica y din\u00e1mica a los movimientos de activos financieros. Estudiamos la propiedades te\u00f3ricas de estas distribuciones y analizamos la capacidad de ajuste de los diferentes modelos a datos financieros como tipos de cambio e \u00edndices de mercado burs\u00e1tiles comparando los resultados con toros modelos est\u00e1ndar en la literatura. Estas distribuciones demuestran ser un buen marco para analizar problemas en matem\u00e1ticas financieras dado que nuestros resultados muestran que son muy flexibles, presentan propiedades que son de inter\u00e9s para las series financieras como la unimodalidad y obtienen buenos resultados de estimaci\u00f3n. Motivados por los resutlados del cap\u00edtulo 1, en el cap\u00edtulo 2  estudiamos diferentes \u00e1reas de inter\u00e9s en matem\u00e1ticas financieras bajo la hip\u00f3tesis de que las variables financieras siguen una distribuci\u00f3n cfc: la valoraci\u00f3n de opciones, la medida del riesgo a trav\u00e9s del valor en riesgo (var) y la selecci\u00f3n \u00f3ptima de carteras.<\/p>\n<p>&nbsp;<\/p>\n<h3>Datos acad\u00e9micos de la tesis doctoral \u00ab<strong>Cornish-fisher distributions. theory and financial applications<\/strong>\u00ab<\/h3>\n<ul>\n<li><strong>T\u00edtulo de la tesis:<\/strong>\u00a0 Cornish-fisher distributions. theory and financial applications <\/li>\n<li><strong>Autor:<\/strong>\u00a0 Unai Ansejo Barra <\/li>\n<li><strong>Universidad:<\/strong>\u00a0 Pa\u00eds vasco\/euskal herriko unibertsitatea<\/li>\n<li><strong>Fecha de lectura de la tesis:<\/strong>\u00a0 23\/02\/2007<\/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>Aitor Bergara Jauregui<\/li>\n<\/ul>\n<\/li>\n<li><strong>Tribunal<\/strong>\n<ul>\n<li>Presidente del tribunal: gonzalo Rubio irigoyen <\/li>\n<li>alfonso Novales cinca (vocal)<\/li>\n<li> Seco revilla Luis angel (vocal)<\/li>\n<li>angel Leon valle (vocal)<\/li>\n<\/ul>\n<\/li>\n<\/ul>\n<p>&nbsp;<\/p>\n","protected":false},"excerpt":{"rendered":"<p>Tesis doctoral de Unai Ansejo Barra A pesar de su popularidad en finanzas, las distribuciones semiparam\u00e9tricas est\u00e1ndar basadas en expansiones [&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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