{"id":58457,"date":"2018-03-09T22:46:16","date_gmt":"2018-03-09T22:46:16","guid":{"rendered":"https:\/\/www.deberes.net\/tesis\/sin-categoria\/la-modelizacion-de-la-heterocedasticidad-autorregresiva-en-la-valoracion-de-activos-financieros-con-riesgo\/"},"modified":"2018-03-09T22:46:16","modified_gmt":"2018-03-09T22:46:16","slug":"la-modelizacion-de-la-heterocedasticidad-autorregresiva-en-la-valoracion-de-activos-financieros-con-riesgo","status":"publish","type":"post","link":"https:\/\/www.deberes.net\/tesis\/gestion-financiera\/la-modelizacion-de-la-heterocedasticidad-autorregresiva-en-la-valoracion-de-activos-financieros-con-riesgo\/","title":{"rendered":"La modelizacion de la heterocedasticidad autorregresiva en la valoracion de activos financieros con riesgo"},"content":{"rendered":"<h2>Tesis doctoral de <strong> Mar\u00eda  Dolores Lagoa Varela <\/strong><\/h2>\n<p>A partir del \u00e9xito alcanzado por los modelos arch y sus extensiones en su aplicaci\u00f3n a los mercados de capitales, algunos autores proponen el tratamiento de los modelos est\u00e1ticos con un planteamiento din\u00e1mico a partir de la incorporaci\u00f3n de la modelizaci\u00f3n del riesgo variable en el tiempo. en consonancia con lo anteriormente expuesto, en el presente trabajo se lleva a cabo la estimaci\u00f3n de loa variable beta o riesgo sistem\u00e1tico en su versi\u00f3n condicional como posible soluci\u00f3n a los problemas econom\u00e9tricos planteados por los contrastes tradicionales en los que se supon\u00eda que el valor de beta tomaba un valor constante.  los datos utilizados para el estudio corresponden a las rentabilidades diarias de una muestra representativa de activos financieros con riesgo que cotizaron en la bolsa de Madrid durante el per\u00edodo 2002-2004. Aunque se puede apreciar que en practicamente todos los casos los patrones de comportamiento de los errores se describen a partir del modelo garch (1,1) los resultados alcanzados no apoyan la validez del capm como modelo adecuado para describir el comportamiento de los activos con riesgo del mercado de capitales espa\u00f1ol.<\/p>\n<p>&nbsp;<\/p>\n<h3>Datos acad\u00e9micos de la tesis doctoral \u00ab<strong>La modelizacion de la heterocedasticidad autorregresiva en la valoracion de activos financieros con riesgo<\/strong>\u00ab<\/h3>\n<ul>\n<li><strong>T\u00edtulo de la tesis:<\/strong>\u00a0 La modelizacion de la heterocedasticidad autorregresiva en la valoracion de activos financieros con riesgo <\/li>\n<li><strong>Autor:<\/strong>\u00a0 Mar\u00eda  Dolores Lagoa Varela <\/li>\n<li><strong>Universidad:<\/strong>\u00a0 A coru\u00f1a<\/li>\n<li><strong>Fecha de lectura de la tesis:<\/strong>\u00a0 14\/05\/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>Susana Iglesias Antelo<\/li>\n<\/ul>\n<\/li>\n<li><strong>Tribunal<\/strong>\n<ul>\n<li>Presidente del tribunal: felix ramon Doldan tie <\/li>\n<li>Juan Pi\u00f1eiro chousa (vocal)<\/li>\n<li>teresa Corzo santamar\u00eda (vocal)<\/li>\n<li>Mar\u00eda  macarena Larrauri  estefania (vocal)<\/li>\n<\/ul>\n<\/li>\n<\/ul>\n<p>&nbsp;<\/p>\n","protected":false},"excerpt":{"rendered":"<p>Tesis doctoral de Mar\u00eda Dolores Lagoa Varela A partir del \u00e9xito alcanzado por los modelos arch y sus extensiones en [&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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