Record Details

Generalized Hyperbolic Distributions and Brazilian Data

Brazilian Review of Econometrics

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Field Value
 
Title Generalized Hyperbolic Distributions and Brazilian Data
Generalized Hyperbolic Distributions and Brazilian Data
 
Creator Fajardo, José; IBMEC Business School.
Farias, Aquiles; University of Brasilia.
 
Subject Generalized Hyperbolic Distributions; Derivatives Pricing; Fat Tails; Fast Fourier Transformation.
052; GlO
Generalized Hyperbolic Distributions; Derivatives Pricing; Fat Tails; Fast Fourier Transformation.
052; GlO
 
Description The aim of this paper is to discuss the use of the Generalized Hyperbolic Distributions to fit Brazilian assets returns. Selected subclasses are compared regarding goodness of fit statistics and distances. Empirical results show that these distributions fit data well. Then we show how to use these distributions in value at risk estimation and derivative price computation.
The aim of this paper is to discuss the use of the Generalized Hyperbolic Distributions to fit Brazilian assets returns. Selected subclasses are compared regarding goodness of fit statistics and distances. Empirical results show that these distributions fit data well. Then we show how to use these distributions in value at risk estimation and derivative price computation.
 
Publisher Sociedade Brasileira de Econometria
 
Date 2004-11-02
 
Type info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
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Format application/pdf
 
Identifier http://bibliotecadigital.fgv.br/ojs/index.php/bre/article/view/2712
10.12660/bre.v24n22004.2712
 
Source Brazilian Review of Econometrics; Vol 24, No 2 (2004); 249–271
Brazilian Review of Econometrics; Vol 24, No 2 (2004); 249–271
1980-2447
 
Language eng
 
Relation http://bibliotecadigital.fgv.br/ojs/index.php/bre/article/view/2712/1652