{"id":60796,"date":"2007-05-10T00:00:00","date_gmt":"2007-05-10T00:00:00","guid":{"rendered":"https:\/\/www.deberes.net\/tesis\/sin-categoria\/volatilidad-estocastica-aplicacion-a-series-financieras\/"},"modified":"2007-05-10T00:00:00","modified_gmt":"2007-05-10T00:00:00","slug":"volatilidad-estocastica-aplicacion-a-series-financieras","status":"publish","type":"post","link":"https:\/\/www.deberes.net\/tesis\/econometria\/volatilidad-estocastica-aplicacion-a-series-financieras\/","title":{"rendered":"Volatilidad estoc\u00e1stica. aplicaci\u00f3n a series financieras"},"content":{"rendered":"<h2>Tesis doctoral de <strong> Mar\u00eda  Del Carmen Garcia  Centeno <\/strong><\/h2>\n<p>Las series de rendimientos de financieros de alta frecuencias se caracterizan por presentar unos determinados hechos estilizados. As\u00ed, para explicar las caracter\u00edsticas de este tipo de series, en la literatura econom\u00e9trica, se han propuesto dos tipos de modelos: los modelos autorregresivos de heterocedasticidad condicional y los modelos de volatilidad estoc\u00e1stica. en esta tesis se hace una revisi\u00f3n de tanto de los modelos de heterocedasticidad condicional como de los modelos de volatilidad estoc\u00e1stica y se propone un nuevo modelos de volatilidad estoc\u00e1stica: el modelo de volatilidad estoc\u00e1stica asim\u00e9trica por umbrales (tarsva). Para este nuevo modelo se han deducido las principales propiedades estad\u00edsticas tanto de la variable como de algunas transformaciones no lineales que aproximan la evoluci\u00f3n de la volatilidad. por otro lado, a trav\u00e9s de este nuevo modelo, se pretende recoger el diferente comportamiento de la volatilidad ante rendimientos positivos o negativos. Para conseguirlo, se han utilizado dos reg\u00edmenes excluyentes entere s\u00ed y se ha propuesto un procedimiento de estimaci\u00f3n de los par\u00e1metros del proceso estoc\u00e1stico expresando el modelo en forma de espacio de los estados. por \u00faltimo, se han analizado los resultados de la estimaci\u00f3n con diferentes modelos de distintos tipos de series, tales como, rendimientos diarios de \u00edndices burs\u00e1tiles, rendimientos de precios medios diarios de metales y de materias primas y series de variaci\u00f3n de tipos de inter\u00e9s interbancarios. Los resultados obtenidos en la estimaci\u00f3n evidencian que, si existe un comportamiento asim\u00e9trico de la volatilidad la mejor forma de detectarlo es a trav\u00e9s del nuevo modelo tarsva.<\/p>\n<p>&nbsp;<\/p>\n<h3>Datos acad\u00e9micos de la tesis doctoral \u00ab<strong>Volatilidad estoc\u00e1stica. aplicaci\u00f3n a series financieras<\/strong>\u00ab<\/h3>\n<ul>\n<li><strong>T\u00edtulo de la tesis:<\/strong>\u00a0 Volatilidad estoc\u00e1stica. aplicaci\u00f3n a series financieras <\/li>\n<li><strong>Autor:<\/strong>\u00a0 Mar\u00eda  Del Carmen Garcia  Centeno <\/li>\n<li><strong>Universidad:<\/strong>\u00a0 San pablo-ceu<\/li>\n<li><strong>Fecha de lectura de la tesis:<\/strong>\u00a0 05\/10\/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>Eduardo Morales Mart\u00ednez<\/li>\n<\/ul>\n<\/li>\n<li><strong>Tribunal<\/strong>\n<ul>\n<li>Presidente del tribunal: Francisco javier Martin pliego <\/li>\n<li>Jos\u00e9 ram\u00f3n Cancelo de la torre (vocal)<\/li>\n<li>ricardo Gimeno nogues (vocal)<\/li>\n<li>Jos\u00e9 Mar\u00eda Montero lorenzo (vocal)<\/li>\n<\/ul>\n<\/li>\n<\/ul>\n<p>&nbsp;<\/p>\n","protected":false},"excerpt":{"rendered":"<p>Tesis doctoral de Mar\u00eda Del Carmen Garcia Centeno Las series de rendimientos de financieros de alta frecuencias se caracterizan por [&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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