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EAE Editorial Academia Espanola Análisis de la Deuda del Estado en la Unión Europea: Comportamiento de las series temporales de precios y rendimientos

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Description

La visión tradicional de la inversión en Renta Fija se ha caracterizado por ser conservadora, de carácter pasivo y bajo riesgo, con una rentabilidad bastante estable. Pero ha habido un cambio en esta apreciación. Como consecuencia de esto existe un creciente interés en el análisis del riesgo de variación de los tipos de interés ya que éste influye de manera importante en las carteras de títulos de Renta Fija. En esta investigación se analizan los rendimientos de la Deuda del Estado, a medio y largo plazo, de diez países de la Unión Europea (UE), siete de ellos miembros de la Unión Monetaria Europea (UME), durante los años 1998 hasta 2004, ambos incluidos. Para ello seleccioné emisiones de bonos en circulación de amplio espectro, tanto en la extensión del plazo hasta el vencimiento como el número de ellas por país. Aparte del estudio i análisis de las series temporales de precios y rendimientos, también se analiza la existencia de un cambio estructural en las series de rendimientos como consecuencia de la implantación del Euro. Además se modeliza la volatilidad de los rendimientos a través de los modelos GARCH(1,1) (no lineal) y PC-GARCH (multivariante).

Product Specifications

Format
paperback
Domain
Amazon UK
Release Date
26 July 2011
Listed Since
27 July 2011

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