{"id":97475,"date":"2018-03-11T10:17:59","date_gmt":"2018-03-11T10:17:59","guid":{"rendered":"https:\/\/www.deberes.net\/tesis\/sin-categoria\/liquidez-en-la-eleccion-de-carteras-y-comportamiento-dinamico-de-la-rentabilidad-volatilidad-estocastica-y-saltos\/"},"modified":"2018-03-11T10:17:59","modified_gmt":"2018-03-11T10:17:59","slug":"liquidez-en-la-eleccion-de-carteras-y-comportamiento-dinamico-de-la-rentabilidad-volatilidad-estocastica-y-saltos","status":"publish","type":"post","link":"https:\/\/www.deberes.net\/tesis\/modelos-econometricos\/liquidez-en-la-eleccion-de-carteras-y-comportamiento-dinamico-de-la-rentabilidad-volatilidad-estocastica-y-saltos\/","title":{"rendered":"Liquidez en la eleccion de carteras y comportamiento dinamico de la rentabilidad: volatilidad estocastica y saltos"},"content":{"rendered":"<h2>Tesis doctoral de <strong> Ana Gonzalez Urteaga <\/strong><\/h2>\n<p>Esta tesis estudia las tres caracter\u00edsticas clave de los precios de los activos, liquidez, rentabilidad y riesgo.  la liquidez, y en concreto, su influencia en la selecci\u00f3n de carteras, se analiza en el primer cap\u00edtulo, al extender el marco tradicional media-varianza introduciendo la liquidez como tercera caracter\u00edstica. Tanto al estimar la frontera eficiente media-varianza liquidez, como al estimar directamente la cartera \u00f3ptima del inversor para distintos niveles de aversi\u00f3n al riesgo y preferencia por la liquidez, los resultados indican un fuerte efecto liquidez que debe tenerse en cuanta a la hora de seleccionar la cartera \u00f3ptima.  la segunda parte de la tesis (cap\u00edtulos dos y tres) trata de analizar la rentabilidad y riesgo de los precios de los activos, pero desde otra perspectiva. Se considera un modelo de volatilidad estoc\u00e1stica y saltos, en rentabilidad y en volatilidad, y analizamos sus efectos en la distribuci\u00f3n de rendimientos, examinando sobre todo el ajuste de los momentos de tercer y cuarto orden, con el objetivo de captar las regularidades emp\u00edricas presentes en las variables financieras, aproximando lo mejor posible su comportamiento din\u00e1mico. La estimaci\u00f3n se lleva a cabo utilizando el emm y los resultados apoyan la presencia conjunta de los tres factores, no s\u00f3lo para datos estadounidenses sino tambi\u00e9n para datos de rendimientos de distintos \u00edndices burs\u00e1tiles europeos, as\u00ed como para carteras de renta variable, en concreto para tres carteras extremas de las 25 de fama-french.<\/p>\n<p>&nbsp;<\/p>\n<h3>Datos acad\u00e9micos de la tesis doctoral \u00ab<strong>Liquidez en la eleccion de carteras y comportamiento dinamico de la rentabilidad: volatilidad estocastica y saltos<\/strong>\u00ab<\/h3>\n<ul>\n<li><strong>T\u00edtulo de la tesis:<\/strong>\u00a0 Liquidez en la eleccion de carteras y comportamiento dinamico de la rentabilidad: volatilidad estocastica y saltos <\/li>\n<li><strong>Autor:<\/strong>\u00a0 Ana Gonzalez Urteaga <\/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 26\/11\/2009<\/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>Gonzalo Rubio Irigoyen<\/li>\n<\/ul>\n<\/li>\n<li><strong>Tribunal<\/strong>\n<ul>\n<li>Presidente del tribunal: rafael Santamaria aquilue <\/li>\n<li>david Abad diaz (vocal)<\/li>\n<li>angel Leon valle (vocal)<\/li>\n<li>Francisco Javier Fernandez navas (vocal)<\/li>\n<\/ul>\n<\/li>\n<\/ul>\n<p>&nbsp;<\/p>\n","protected":false},"excerpt":{"rendered":"<p>Tesis doctoral de Ana Gonzalez Urteaga Esta tesis estudia las tres caracter\u00edsticas clave de los precios de los activos, liquidez, [&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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