Análisis de la interdependencia de mercados financieros con cópulas. Implicaciones para la valoración del riesgo

Esta tesis doctoral se centra en el estudio de la interdependencia entre diversos mercados financieros utilizando cópulas y la teoría del valor extremo, proporcionando así información de la dependencia promedio y de la dependencia de cola superior e inferior (movimientos conjuntos extremos), información que es crucial para la evaluación del riesgo de una inversión. Además, se analizan las implicaciones del uso de esta metodología para la valoración y cuantificación de los riesgos de mercado, la diversificación de carteras, las estrategias de cobertura y la protección de las inversiones contra el riesgo a la baja para diferentes tipos de activos que se negocian en los mercados financieros. Para dar cumplimiento a estos objetivos, la tesis se estructura en 6 capítulos. En los capítulos 1, 2 y 3 se revisan cuestiones metodológicas, describiendo los principales métodos y pruebas relevantes que serán utilizados en el desarrollo del trabajo. En los capítulos 4, 5 y 6 se presentan los desarrollos y las aportaciones de la tesis

Applicability of Warren Buffett's investment criteria in equity securities trading on the Quito Stock Exchange, Ecuador / Aplicabilidade dos critérios de investimento de Warren Buffett em ações negociadas na Bolsa de Valores de Quito, Equador

The Quito Stock Exchange (QSE) through its objective of offering security to investors, has reflected an act based on good corporate governance practices, however, 2% of amounts correspond to shares that are traded nationally, being Ecuador one of the Latin American countries with the lowest amounts traded compared to 8% of GDP. The objective of the investigation is framed in determining if the investment criteria of Warren Buffett have applicability in the negotiations of actions in the QSE, added to this the presumed existence of aversion to risk on the part of the investor, but also the ignorance of the movement of market and securities transactions, with a population that possibly lacks financial education and does not have benchmarks to invest in a seemingly unknown market. The fields of inquiry that have been defined have to do with the buffettology that involves the investment techniques and criteria that have made Buffett the most famous investor worldwide and, on the other hand, the equity certificates of or documents that represent a Part of ownership of the assets of a company that in the future allows you to enjoy the derived benefits. In conclusion, the criteria are partially applicable in an average 72.23% within companies that could be very close to being excellent, with economic, legal and operational barriers that hold back the development of the stock market in the city of Quito

Applicability of Warren Buffett's investment criteria in equity securities trading on the Quito Stock Exchange, Ecuador / Aplicabilidade dos critérios de investimento de Warren Buffett em ações negociadas na Bolsa de Valores de Quito, Equador

The Quito Stock Exchange (QSE) through its objective of offering security to investors, has reflected an act based on good corporate governance practices, however, 2% of amounts correspond to shares that are traded nationally, being Ecuador one of the Latin American countries with the lowest amounts traded compared to 8% of GDP. The objective of the investigation is framed in determining if the investment criteria of Warren Buffett have applicability in the negotiations of actions in the QSE, added to this the presumed existence of aversion to risk on the part of the investor, but also the ignorance of the movement of market and securities transactions, with a population that possibly lacks financial education and does not have benchmarks to invest in a seemingly unknown market. The fields of inquiry that have been defined have to do with the buffettology that involves the investment techniques and criteria that have made Buffett the most famous investor worldwide and, on the other hand, the equity certificates of or documents that represent a Part of ownership of the assets of a company that in the future allows you to enjoy the derived benefits. In conclusion, the criteria are partially applicable in an average 72.23% within companies that could be very close to being excellent, with economic, legal and operational barriers that hold back the development of the stock market in the city of Quito

Presupuesto participativo en gobiernos autónomos descentralizados municipales de la provincia Santo Domingo de los Tsáchilas - Ecuador

ABSTRACT   Management model to overcome the weakness and deficiency in implementing the participatory budget in the municipal governments of the province of Santo Domingo de los Tsáchilas; The objective was to seek that the entities have a tool to prepare the budget and comply with the legal framework. Despite the laws, there is weakness in management, which means that the resources allocated by the central government and those collected do not reach the vulnerable sectors. The research was carried out in the Santo Domingo and La Concordia cantons. The mixed approach was addressed, 656 surveys were conducted with a structured and semi-structured questionnaire to people, adults, interviews with the authorities, technical team and opinion leaders. Results show causes for poor access to priority needs, weak management, it is concluded that own resources and government allocations are not distributed equitable and supportive participation.Es importante la gestión presupuestaria para superar la debilidad y deficiencia en la implementación del presupuesto participativo en los gobiernos municipales de la provincia de Santo Domingo de los Tsáchilas; el objetivo busca que las entidades tengan una herramienta para elaborar el presupuesto y cumplan con el marco legal. Pese a las leyes, se observa debilidad en la gestión que provoca que los recursos asignados por el gobierno central y los recaudados no lleguen a los sectores vulnerables. La investigación se desarrolló en los cantones Santo Domingo y La Concordia, Se abordó, el enfoque mixto, se realizaron 656 encuestas con cuestionario estructurado y semiestructurado a personas mayores de edad, entrevistas a las autoridades, equipo técnico y a líderes de opinión. Los resultados evidenciaron el deficiente acceso a las necesidades prioritarias, debilidad de gestión, se concluye, que los recursos propios y las asignaciones no son distribuidos de manera participativa, equitativa y solidaria.   Palabras clave: participación social, política, derechos, economía, gestión   ABSTRACT Budget management is important to overcome the weakness and deficiency in the implementation of the participatory budget in the municipal governments of the province of Santo Domingo de los Tsáchilas; The objective is for entities to have a tool to prepare the budget and comply with the legal framework. Despite the laws, there is a weakness in the management that causes that the resources assigned by the central government and those collected do not reach the vulnerable sectors. The research was developed in the cantons of Santo Domingo and La Concordia, the mixed approach was addressed, 656 surveys were carried out with a structured and semi-structured questionnaire to people of legal age, interviews with authorities, technical team and opinion leaders. The results evidenced poor access to priority needs, management weakness, it is concluded that own resources and allocations are not distributed in a participatory, equitable and supportive manner.   Keywords: social participation, politics, rights, economy, managemen

Operational financial management model to improve the profitability of the manufacturing sector. Lycras Manía Case / Modelo de gestão financeira operacional para melhorar a rentabilidade do setor manufatureiro. Caso Lycras Manía

This degree work consists of designing a management model and analyzing its effect on profitability. The investigation problem was identified as inadequate handling of financial information. For which a financial management model will be designed to improve the profitability of the manufacturing sector. In this way, it seeks to optimally use the company's resources and obtain profitability according to the sector in which it is developed. The research will be carried out through a mixed, non-experimental approach, the population corresponds to the main related parties of the Lycras Manía company and will use techniques and tools such as the survey, the interview, the structured questionnaire, and semi-structured, where the inadequate handling of financial information was evidenced; which was causing financial losses. After applying the vertical and horizontal analysis to the financial and income statements, it was determined that there are deficiencies in the inventory account, affecting its cash levels. Therefore, the development of the operational financial management model allowed to help the manager, providing him with truthful information for optimal decision-making, to know the real profitability of the company, ensuring its business progress

Regressão linear e modelo Arima na previsão de vendas de gengibre no Equador / Linear regression and Arima Model in sales forecasts of Ginger in Ecuador

Esta pesquisa apresenta a aplicação de técnicas estatísticas de regressão linear múltipla e modelo ARIMA nas previsões das demonstrações financeiras do gengibre, para o mercado local e internacional através da empresa Nature Product Gingerdale Cía. Ltda., da província de Santo Domingo de los Tsáchilas, Equador. Dados financeiros como: preço, quantidade exportada e níveis de vendas. Em particular, este estudo teve como foco a dinâmica econométrica que essas contas tiveram de janeiro de 2016 a 2020. Com base nesses dados, foi feita uma projeção até 2021. Adicionalmente, foi realizada uma análise exploratória, considerando os pressupostos de normalidade, multicolinearidade, homocedasticidade, autocorrelação e presença de ruído branco para os resíduos. Posteriormente, foi complementado com modelagem linear múltipla e a metodologia de séries temporais Box Jenkins. Em conclusão, o modelo de regressão linear múltipla para as demonstrações financeiras do gengibre é Y=-8103,317+5511,314X1+1,217 X2, com covariância global de 93,90%, por sua vez, a variável explicativa com maior incidência nas vendas é o quilograma de Ruivo que refletiu 91,50%, o preço apresentou uma covariância de 22,10%. O modelo de média móvel autoregressiva para o preço indicou um ARIMA (2,0,0) (0,0,1), em relação ao número de quilogramas/exportações um ARIMA (2,0,0) (0) é ajustado, 0.0) e baseado em vendas para um modelo ARIMA (2,0,0) (0,0,0) e por sua vez este modelo é ideal para fazer previsões, confirmando que o cenário é otimista para produção e exportação de gengibre para o Equador

Covered Interest-Rate Parity Revisited: an Extreme Value Copula Analysis

This article studied the covered interest-rate parity (CIP) condition under extreme market movements using extreme value theory and extreme value copulas to characterize dependence between extreme interest rate differentials and forward premium. The empirical analysis for the CIP between interest rates for the US dollar and the British pound indicates that there is strong co-movement between interest rate differentials and forward premium at different maturities and in both upper and lower tails. This conclusion would support the existence of the CIP condition under extreme market movements

Diversification and Investment Protection against Downside Risk Food Price

This paper describes the diversification and protection of investments in food against downside risk using results from the relationship of dependency between the dollar (USD) US and prices for corn, soybeans, wheat and rice. Given that food products are in a process of financialization, the consequences of USD bonds with food prices for managing food risk policy were discussed. We provide evidence of the effectiveness of USD hedging to reduce the risk of a portfolio of food and better overall performance in terms of function loss investor a portfolio composed only of food

Evaluación de Impacto del Emprendimiento Innovador en el Desarrollo Económico: Situación de Santo Domingo de los Tsáchilas

The economic resources available for production are scarce; however, these same resources have alternative uses to the extent that human ideas are infinite. In this premise, the concept of innovation rests; therefore, an innovative entrepreneur will be who not only seeks the efficient combination of productive factors, but who also aims to produce organizing economic resources in different ways. From a macroeconomic perspective, the Ecuadorian economy is primary exporter, that is, its income depends on productive activities with very little added value, while from a microeconomic perspective its productive activity is scarcely innovative; therefore, the enterprises and the companies do the same (primary activities) in the same way (without added value). Assessing how innovative an economy is implies estimating how innovative its population is (individual creative initiative) to draw conclusions of a collective nature (province, city, region) from this particular analysis and, in this way, evaluate the possibilities of achieving economic development, as well as estimating the sustainability of productive activities (companies). With the purpose of evaluating the impact of innovation, this study was developed in three stages (planning, execution and presentation of results), which are an adaptation of the eight steps suggested by the impact evaluation methodology of the European Union 2006.Los recursos económicos disponibles para la producción son escasos; sin embargo, estos mismos recursos tienen usos alternativos en la medida que las ideas humanas son infinitas. En esta premisa descansa el concepto de innovación, por lo tanto, será un emprendedor innovador aquel que no solo busque la combinación eficiente de factores productivos, sino que también tenga como objetivo producir organizando los recursos económicos de formas diferentes. Desde una perspectiva macroeconómica, la economía ecuatoriana es primario exportadora, es decir sus ingresos dependen de actividades productivas con muy poco valor agregado, mientras que desde una perspectiva microeconómica su actividad productiva es escasamente innovadora; por lo tanto, los emprendimientos y las empresas hacen lo mismo (actividades primarias) de la misma manera (sin valor agregado).  Evaluar qué tan innovadora es una economía implica estimar qué tan innovadora es su población (iniciativa creativa individual) para, a partir de este análisis particular, sacar conclusiones de carácter colectivo (provincia, ciudad, región) y de esta manera valorar las posibilidades de alcanzar el desarrollo económico, así como estimar la sostenibilidad de las actividades productivas (empresas). Con el propósito de evaluar el impacto de la innovación, se desarrolló este estudio en tres etapas (planificación, ejecución y presentación de resultados), que son una adaptación de los ocho pasos sugeridos por la metodología de evaluación de impacto de la Unión Europea 2006. 

Impact Assessment of Citizen Fairs in the Process of Transition from the Popular Economy to a Solidarity Economy

The law of popular and solidarity economy in Ecuador was created to promote the transition of organizational forms of popular solidarity economy towards forms of organization. This law made possible the development of projects aimed at strengthening solidarity economic practices. One of these projects are the citizens fairs, promoted since 2008 by the state (government ministry). The fairs are an associative marketing strategy is an alternative to price speculation and a viable path to the organization of popular venture. Effective evidence that the fairs do not contribute to the transition offered popular economic forms towards forms of organization solidarity