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dc.contributor.advisorVALLEJOS A., RONNY
dc.contributor.authorGÁRATE BARRAZA, ANGELO FABIÁN
dc.coverage.spatialUniversidad Técnica Federico Santa María UTFSM. Casa Central Valparaísoes_CL
dc.date.accessioned2017-06-16T14:13:22Z
dc.date.available2017-06-16T14:13:22Z
dc.date.issued2016
dc.identifier.urihttp://hdl.handle.net/11673/13923
dc.descriptionCatalogado desde la version PDF de la tesis.es_CL
dc.description.abstractIn this work different methods to measure the comovement between time series are presented. Comovement is a concept suffciently studied in the economic context, for example in the international stock market. The comovement is focused on measuring the degree of correlated movement between different time series. Over time there have been various methods for measuring the comovement, so in this work we summarize 8 techniques found in the literature: nonparametric approach, time-frequency space, Box's M Test and principal component analysis, dispersion coefficient, GARCH models, Granger causality test, copula and linear regression. Finally, to learn about the agreement between these methods an actual dataset related to the returns of Chilean pension fund administrators (AFP) is considered. The magnitude of comovement, measured with different methods, is almost perfect among all di erent pension funds indicating that the AFP are investing in the same places and getting the same returns, i.e., there is little competition between them.eng
dc.format.extent92 h.
dc.format.mediumCD ROM
dc.format.mimetypeapplication/pdf
dc.subjectAFP CHILEes_CL
dc.subjectCOMOVIMIENTOes_CL
dc.subjectSERES TEMPORALESes_CL
dc.titleCOMOVIMIENTO EN SERIES TEMPORALES APLICADO A LAS RENTABILIDADES DE LAS ADMINISTRADORAS DE FONDOS DE PENSIONES (AFP) CHILENASes_CL
dc.typeTesis Pregradoes_CL
dc.rights.accessRightsA - Internet abierta www.repositorio.usm.cl y otros repositorios a la que la USM se adscriba
dc.description.degreeINGENIERO CIVIL MATEMÁTICOes_CL
dc.contributor.departmentUniversidad Tecnica Federico Santa Maria UTFSM MATEMATICAes_CL
dc.description.programINGENIERÍA CIVIL MATEMÁTICO
dc.identifier.barcode3560900231393
usm.identifier.thesis4500004060
usm.date.thesisregistration2015


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