{"id":84891,"date":"2000-08-06T00:00:00","date_gmt":"2000-08-06T00:00:00","guid":{"rendered":"https:\/\/www.deberes.net\/tesis\/sin-categoria\/la-estructura-temporal-del-mercado-de-swaps-de-tipos-de-interes\/"},"modified":"2000-08-06T00:00:00","modified_gmt":"2000-08-06T00:00:00","slug":"la-estructura-temporal-del-mercado-de-swaps-de-tipos-de-interes","status":"publish","type":"post","link":"https:\/\/www.deberes.net\/tesis\/ciencias-economicas\/la-estructura-temporal-del-mercado-de-swaps-de-tipos-de-interes\/","title":{"rendered":"La estructura temporal del mercado de swaps de tipos de inter\u00e9s"},"content":{"rendered":"<h2>Tesis doctoral de <strong> Mar\u00eda  Del Pilar Abad Romero <\/strong><\/h2>\n<p>En esta tesis se han abordado dos cuestiones b\u00e1sicas en el an\u00e1lisis de la estructura temporal de los tipos de inter\u00e9s(etti) del mercado de swaps de tipos de inter\u00e9s nominada en marco alem\u00e1n, d\u00f3lar y yen:(1) la contrastaci\u00f3n de la hip\u00f3tesis de las expectativas(he) sobre dicha etti y (2) el estudio de las caracter\u00edsticas de la volatilidad y la contrastaci\u00f3n de transmisi\u00f3n de la misma a lo largo de dicha erri. Para tratar la cuesti\u00f3n(1), en una primera etapa, se ha contrastado la hip\u00f3tesis de que los tipos forwad son predictores insesgados de los tipos de contado futuros con los dos procedimientos propuestos en la literatura para los mercados de renta fija, procedimientos de regresi\u00f3n y de cointegraci\u00f3n, y se ha procedido el an\u00e1lisis de las primas por plazo observadas. En una segunda etapa, se han analizado las relaciones de equilibrio a largo plazo entre los tipos de inter\u00e9s que forman la etti. a este respecto, los resultados muestran evidencia en contra de la he en la etti objeto de estudio. En una tercera etapa, se ha propuesto un nuevo marco en el que contrastar la he (distinguiendo entre componentes de alta y baja frecuencia de los tipos que forman la etti), con el que se ha detectado evidencia a favor de la he en la etti del mercado de swaps. Para tratar la cuesti\u00f3n(2) se ha aproximado la volatilidad como modelos de garch, se han observado las caracter\u00edsticas de la volatilidad y se ha detectado una transmisi\u00f3n de volatilidad desde los tipos a m\u00e1s corto plazo al resto de los tipos de la etti diferente seg\u00fan la divisa considerada.<\/p>\n<p>&nbsp;<\/p>\n<h3>Datos acad\u00e9micos de la tesis doctoral \u00ab<strong>La estructura temporal del mercado de swaps de tipos de inter\u00e9s<\/strong>\u00ab<\/h3>\n<ul>\n<li><strong>T\u00edtulo de la tesis:<\/strong>\u00a0 La estructura temporal del mercado de swaps de tipos de inter\u00e9s <\/li>\n<li><strong>Autor:<\/strong>\u00a0 Mar\u00eda  Del Pilar Abad Romero <\/li>\n<li><strong>Universidad:<\/strong>\u00a0 Complutense de Madrid<\/li>\n<li><strong>Fecha de lectura de la tesis:<\/strong>\u00a0 08\/06\/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>Alfonso Novales Cinca<\/li>\n<\/ul>\n<\/li>\n<li><strong>Tribunal<\/strong>\n<ul>\n<li>Presidente del tribunal: Carlos Sebastian gascon <\/li>\n<li>eliseo Navarro arribas (vocal)<\/li>\n<li>mercedes Gracia d\u00edez (vocal)<\/li>\n<li>Antonio Aznar grasa (vocal)<\/li>\n<\/ul>\n<\/li>\n<\/ul>\n<p>&nbsp;<\/p>\n","protected":false},"excerpt":{"rendered":"<p>Tesis doctoral de Mar\u00eda Del Pilar Abad Romero En esta tesis se han abordado dos cuestiones b\u00e1sicas en el an\u00e1lisis [&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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