{"id":84271,"date":"2018-03-10T00:08:34","date_gmt":"2018-03-10T00:08:34","guid":{"rendered":"https:\/\/www.deberes.net\/tesis\/sin-categoria\/cobertura-dinamica-con-contratos-de-futuro-sobre-indices-bursatiles\/"},"modified":"2018-03-10T00:08:34","modified_gmt":"2018-03-10T00:08:34","slug":"cobertura-dinamica-con-contratos-de-futuro-sobre-indices-bursatiles","status":"publish","type":"post","link":"https:\/\/www.deberes.net\/tesis\/ciencias-economicas\/cobertura-dinamica-con-contratos-de-futuro-sobre-indices-bursatiles\/","title":{"rendered":"Cobertura dinamica con contratos de futuro sobre indices bursatiles"},"content":{"rendered":"<h2>Tesis doctoral de <strong> Vicente Arago Manzana <\/strong><\/h2>\n<p>El objetivo principal de esta tesis es estudiar la constancia temporal del ratio de cobertura optimo. El estudio se realiza para duraciones de la cobertura diaria y semanal. Las caracteristicas de las series de contado y futuro para ambas frecuencias son diferentes, por lo que la metedolog\u00eda utilizada en ambos casos tambien lo es. Para frecuencias diarias, se utilizan modelos de correcci\u00f3n de error garch bivariantes, mientras que para la semanal se utilizan modelos de regresi\u00f3n que incorpor\u00e1n un termino de correci\u00f3n de error. Tambi\u00e9n se analiza la existencia de un comportamiento diferencial del valor del ratio de cobertura alrededor de la fecha de vencimiento del contrato de futuro. Los resultados muestran que el ratio de cobertura debe ajustarse a la llegada de informaci\u00f3n al mercado frente a ratios estaticos.  no obstante, para determinar la conveniencia de realizar politicas de car\u00e1cter dinamico, se utilizan medidas de efectividad que incorporan los costes de transaccion en los que se incurre al ajustar la posici\u00f3n de futuros. el estudio de la efectividad se realiza desde una \u00f3ptica expost y una exante, m\u00e1s ajustada al verdadero proceso de decisi\u00f3n llevado a cabo por el inversor. como conclusi\u00f3n de este estudio, se obtiene que con las pol\u00edticas de cobertura din\u00e1micas se producen resultados en los que se consigue reducir el riesgo de la posici\u00f3n cubierta, aunque su realizaci\u00f3n, en determinados casos, no es viable econ\u00f3micamente.<\/p>\n<p>&nbsp;<\/p>\n<h3>Datos acad\u00e9micos de la tesis doctoral \u00ab<strong>Cobertura dinamica con contratos de futuro sobre indices bursatiles<\/strong>\u00ab<\/h3>\n<ul>\n<li><strong>T\u00edtulo de la tesis:<\/strong>\u00a0 Cobertura dinamica con contratos de futuro sobre indices bursatiles <\/li>\n<li><strong>Autor:<\/strong>\u00a0 Vicente Arago Manzana <\/li>\n<li><strong>Universidad:<\/strong>\u00a0 Jaume i de castell\u00f3n<\/li>\n<li><strong>Fecha de lectura de la tesis:<\/strong>\u00a0 14\/04\/2000<\/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>Angeles Fernandez Izquierdo<\/li>\n<\/ul>\n<\/li>\n<li><strong>Tribunal<\/strong>\n<ul>\n<li>Presidente del tribunal: vicente Meneu ferrer <\/li>\n<li>amado Peiro gimenez (vocal)<\/li>\n<li>Rafael Santamaria alquilue (vocal)<\/li>\n<li> Blasco de las heras natividad (vocal)<\/li>\n<\/ul>\n<\/li>\n<\/ul>\n<p>&nbsp;<\/p>\n","protected":false},"excerpt":{"rendered":"<p>Tesis doctoral de Vicente Arago Manzana El objetivo principal de esta tesis es estudiar la constancia temporal del ratio 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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