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dc.contributor.advisorRodríguez, Gabriel
dc.contributor.authorTéllez De Vettori, Giannioes_ES
dc.contributor.authorNajarro Chuchón, Ricardoes_ES
dc.date.accessioned2017-02-20T16:10:45Zes_ES
dc.date.available2017-02-20T16:10:45Zes_ES
dc.date.created2016es_ES
dc.date.issued2017-02-20es_ES
dc.identifier.urihttp://hdl.handle.net/20.500.12404/7890
dc.description.abstractMost empirical studies in nance use data on a daily basis which is obtained by retaining the last observation of the day and ignoring all intraday records. However, as a result of the increased automatization of nancial markets and the evolution of computational trading systems, intraday data bases that record every transaction along with their characteristics have been stablished. These data sets prompted the development of a new area of research ( nance with high frequency data), and in 1980 a literature based on the mechanisms of trading began (forms of trading, rules on securities trading, market structure, etc.), originating the Theory of Market Microstructure for the valuation of nancial assets, whose models advocate that timing transmits information. Then the literature proposed an extension to risk management by calculating the implied volatility, which is estimated by the realized volatility on an intraday level, and its applications for a ner value at risk (VaR).es_ES
dc.language.isoenges_ES
dc.publisherPontificia Universidad Católica del Perúes_ES
dc.rightsinfo:eu-repo/semantics/openAccesses_ES
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/2.5/pe/*
dc.subjectBolsa de valores--Perúes_ES
dc.subjectRiesgo de mercado--Métodos estadísticoses_ES
dc.subjectRiesgo (Economía)--Modelos matemáticoses_ES
dc.titleDuration models and value at risk using high-frequency data for the peruvian stock marketes_ES
dc.typeinfo:eu-repo/semantics/masterThesises_ES
thesis.degree.nameMaestro en Economíaes_ES
thesis.degree.levelMaestríaes_ES
thesis.degree.grantorPontificia Universidad Católica del Perú. Escuela de Posgradoes_ES
thesis.degree.disciplineEconomíaes_ES
dc.type.otherTesis de maestría
dc.subject.ocdehttps://purl.org/pe-repo/ocde/ford#5.02.01es_ES
dc.publisher.countryPEes_ES
renati.discipline311317es_ES
renati.levelhttps://purl.org/pe-repo/renati/level#maestroes_ES
renati.typehttp://purl.org/pe-repo/renati/type#tesises_ES


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