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En este trabajo se utilizó la metodología de estudio de eventos para estimar el impacto que tuvieron las ofertas públicas de adquisición, dirigidas al Grupo Empresarial Antioqueño desde noviembre del 2021, sobre los rendimientos del mercado accionario y de renta fija colombiano. Para ello, se emplearon datos asociados a los precios ajustados por dividendos de 22 acciones que componen el mercado accionario colombiano y las cotizaciones ajustadas por cupones del índice COLTES de corto plazo. Los resultados obtenidos sugirieron que existe evidencia estadística de que las OPA estudiadas impactaron significativamente las rentabilidades de las acciones, caracterizándose por un efecto positivo durante los días anteriores y posteriores a la adjudicación de las ofertas. Entretanto, para el mercado de renta fija colombiano se observó un impacto negativo durante los días previos. En ambos casos, los resultados indicaron que el efecto de las OPA sobre los retornos fue mayor en el corto plazo., This paper used the event study methodology to estimate the impact of the takeover bids over Grupo Empresarial Antioqueño since November 2021 on the Colombian stock and fixed income market returns. For this purpose, data associated with the dividend-adjusted prices of 22 stocks that make up the Colombian stock market and the coupon-adjusted quotes of the short-term COLTES index were used. The results obtained suggested that there is statistical evidence that the takeover bids studied had a significant impact on stock returns, characterized by a positive effect during the days before and after the awarding of the offers. Meanwhile, for the Colombian fixed income market, a negative impact was observed during the previous days. In both cases, the results indicated that the effect of takeovers bids on returns was greater in the short term.

[ES] En este trabajo se propone analizar la evolución del riesgo de los países (España, Alemania, Estados Unidos, Ucrania, etc) como objeto de inversión a través de los mercados de renta fija (Bonos, obligaciones, letras del Tesoro). Se estudiarán los factores que determinan la evolución, y tendencia de los tipos de interés de los instrumentos de renta fija de los países, comparando los mismos., [EN] The purpose of this dissertation is to analyze the evolution of the country risk as an object of investment through the fixed income markets. Factors that determinate the evolution will be studied and interest rates of the financial assets of each country also, comparing their values.

[ES] En este trabajo se propone analizar la evolución del riesgo de los países (España, Alemania, Estados Unidos, Ucrania, etc) como objeto de inversión a través de los mercados de renta fija (Bonos, obligaciones, letras del Tesoro). Se estudiarán los factores que determinan la evolución, y tendencia de los tipos de interés de los instrumentos de renta fija de los países, comparando los mismos., [EN] The purpose of this dissertation is to analyze the evolution of the country risk as an object of investment through the fixed income markets. Factors that determinate the evolution will be studied and interest rates of the financial assets of each country also, comparing their values.

[ES] En este trabajo se propone analizar la evolución del riesgo de los países (España, Alemania, Estados Unidos, Ucrania, etc) como objeto de inversión a través de los mercados de renta fija (Bonos, obligaciones, letras del Tesoro). Se estudiarán los factores que determinan la evolución, y tendencia de los tipos de interés de los instrumentos de renta fija de los países, comparando los mismos., [EN] The purpose of this dissertation is to analyze the evolution of the country risk as an object of investment through the fixed income markets. Factors that determinate the evolution will be studied and interest rates of the financial assets of each country also, comparing their values.

[ES] En este trabajo se propone analizar la evolución del riesgo de los países (España, Alemania, Estados Unidos, Ucrania, etc) como objeto de inversión a través de los mercados de renta fija (Bonos, obligaciones, letras del Tesoro). Se estudiarán los factores que determinan la evolución, y tendencia de los tipos de interés de los instrumentos de renta fija de los países, comparando los mismos., [EN] The purpose of this dissertation is to analyze the evolution of the country risk as an object of investment through the fixed income markets. Factors that determinate the evolution will be studied and interest rates of the financial assets of each country also, comparing their values.

This thesis consists of three essays investigating different aspects of interest rates. "Prediction of Future Risk-Neutral Short-Term Interest Rate Densities: Can the Black, Derman and Toy Model Assist?" (Co-authored with David Vestin.) This essay evaluates two different approaches to inferring expectations of future interest rates from asset prices. One is based on bond data and builds on the Black, Derman and Toy model, the other is based on option prices. We compare the outcome with a specified assumed benchmark data generating process. The main conclusion is that the option based model works well, whereas the bond based model has difficulties in capturing aspects of the true distribution. "Natura non facit saltum – Or Are Jumps an Inherent Feature in European Interest Rate Markets?" A jump-enhanced diffusion model for the instantaneous interest rate is estimated on the EURIBOR, LIBOR and STIBOR one-week interest rates via the characteristic function and a Fourier transform to recover the density function. This is compared with an estimated non-jump diffusion model. Both continuous-time and discrete-time versions of the model are estimated. For all three interest rate series, likelihood ratio tests favor the jump-enhanced model at a statistically significant level. This result holds for both the continuous-time and the discrete-time versions of the model. "Estimating the Market Price of Risk in European Interest Rate Markets Using Spectral GMM." The market price of risk in European interest rate markets, constituted by the market price of diffusion risk and the market price of jump risk, is estimated for a jump diffusion model, using the characteristic function and the Generalized Method of Moments. Utilized data is the EURIBOR twelve-month interest rate during 1999-2003. The results are in line with earlier studies on US interest rate markets. The estimation technique appears promising in its technical simplicity, but entails practical estimation difficulties su