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Nuevos modelos estadísticos para el análisis de mercados financieros

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  • Peña, Juan Ignacio

Abstract

Este trabajo presenta algunos de los más recientes avances rea1izados en el área de modelización estadística de datos financieros. Se discuten los nuevos modelos desarrollados para la media condicional de los rendimientos de un activo financiero, con especial referencia a los modelos de cambio de régimen. A continuación se exponen los nuevos métodos que permiten la modelización estadística del riesgo financiero, mediante los modelos GARCH y sus extenciones. Finalmente, se presentan varias aplicaciones que de estos modelos se han realizado en los mercados españoles.

Suggested Citation

  • Peña, Juan Ignacio, 1992. "Nuevos modelos estadísticos para el análisis de mercados financieros," DE - Documentos de Trabajo. Economía. DE 3025, Universidad Carlos III de Madrid. Departamento de Economía.
    • Handle: RePEc:cte:derepe:3025
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    Keywords

    Modelos de cambio de régimen;

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