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Analyzing the use of generalized hyperbolic distributions to value at risk calculations

Barbachan, José Santiago Fajardo; Farias, Aquiles Rocha de - In: Economia aplicada : EA 9 (2005) 1, pp. 25-38

Persistent link: https://www.econbiz.de/10002889308

Goodness-of-fit tests focus on value-at-risk estimation

Barbachan, José Santiago Fajardo; Ornelas, José … - In: Brazilian review of econometrics : the review of the … 26 (2006) 2, pp. 309-326

Persistent link: https://www.econbiz.de/10003590640

Estimating risk aversion, risk-neutral and real-world densities using Brazilian real currency options

Barbachan, José Santiago Fajardo; Ornelas, José … - In: Economia aplicada : EA 16 (2012) 4, pp. 567-577

Persistent link: https://www.econbiz.de/10011447980

Estimating Relative Risk Aversion, Risk-Neutral and Real-World Densities Using Brazilian Real Currency Options

Ornelas, José Renato Haas - 2011

Building Risk-Neutral Densities (RND) from options data can provide market-implied expectations about the future behavior of a financial variable. And market expectations on financial variables may influence macroeconomic policy decisions. It can be useful also for corporate and financial...

Persistent link: https://www.econbiz.de/10013120276

Apreçamento de opções de IDI usando o modelo CIR

Barbachan, José Santiago Fajardo; Ornelas, José … - In: Estudos econômicos : publicação trimestral do … 33 (2003) 2, pp. 287-323

Persistent link: https://www.econbiz.de/10001796828

Apreçamento de opçoes de IDI usando distribuiçoes hiperbólicas generalizadas

Barbachan, José Santiago Fajardo; Ornelas, José … - In: Economia aplicada : EA 7 (2003) 4, pp. 767-794

Persistent link: https://www.econbiz.de/10002080861

Generalized hyperbolic distributions and Brazilian data

Barbachan, José Santiago Fajardo (contributor); … - 2002 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001743269

Generalized hyperbolic distributions and Brazilian data

Barbachan, José Santiago Fajardo; Farias, Aquiles Rocha de - In: Brazilian review of econometrics : the review of the … 24 (2004) 2, pp. 249-271

Persistent link: https://www.econbiz.de/10003119676

Multivariate affine generalized hyperbolic distributions: an empirical investigation

Barbachan, José Santiago Fajardo; Farias, Aquiles Rocha de - In: International review of financial analysis 18 (2009) 4, pp. 174-184

The aim of this paper is to estimate multivariate affine generalized distributions (MAGH) using market data. We use the Ibovespa, CAC, DAX, FTSE, NIKKEI and S&P500 indexes. We estimate the univariate distributions, bi-variate distributions and six-dimensional distribution. Then we assess their...

Persistent link: https://www.econbiz.de/10003921092

Derivative pricing using multivariate affine generalized hyperbolic distributions

Barbachan, José Santiago Fajardo; Farias, Aquiles Rocha de - In: Journal of banking & finance 34 (2010) 7, pp. 1607-1617

Persistent link: https://www.econbiz.de/10008649442