Publications
by members of
IBMEC Business School - Distrito Federal
Brasília, Brazil
These are publications listed in RePEc written by members of the above institution who are registered with the RePEc Author Service. Thus this compiles the works all those currently affiliated with this institution, not those affilated at the time of publication. List of registered members. Register yourself. Citation analysis. This page is updated in the first days of each month.| Working papers | Journal articles |
Working papers
2012
- José Renato Haas Ornelas & José Santiago Fajardo Barbachan & Aquiles Rocha de Farias, 2012.
"Estimating Relative Risk Aversion, Risk-Neutral and Real-World Densities using Brazilian Real Currency Options,"
Working Papers Series
269, Central Bank of Brazil, Research Department.
- Ornelas, José Renato Haas & Barbachan, José Santiago Fajardo & Farias, Aquiles Rocha de, 2012. "Estimating relative risk aversion, risk-neutral and real-world densities using brazilian real currency options," EBAPE Working Papers 1, FGV EBAPE - Escola Brasileira de Administração Pública e de Empresas (Brazil).
2008
- José Fajardo & Aquiles Farias, 2008.
"Multivariate Affine Generalized Hyperbolic Distributions: An Empirical Investigation,"
IBMEC RJ Economics Discussion Papers
2008-01, Economics Research Group, IBMEC Business School - Rio de Janeiro.
- Fajardo, José & Farias, Aquiles, 2009. "Multivariate affine generalized hyperbolic distributions: An empirical investigation," International Review of Financial Analysis, Elsevier, vol. 18(4), pages 174-184, September.
2004
- Farias, A. R. & Ornelas, J. R. H & Fajardo, J., 2004. "Goodness-of-Fit Test focuses on Conditional Value at Risk:An Empirical Analysis of Exchange Rates," Finance Lab Working Papers flwp_70, Finance Lab, Insper Instituto de Ensino e Pesquisa.
2003
- Fajardo, J. & Farias, A. R. & Ornelas, J. R. H., 2003. "Analyzing the Use of Generalized Hyperbolic Distributions to Value at Risk Calculations," Finance Lab Working Papers flwp_58, Finance Lab, Insper Instituto de Ensino e Pesquisa.
- Fajardo, J. & Farias, A. R & Ornelas, J. R. H, 2003. "Goodness-of-fit Tests focus on VaR Estimation," Finance Lab Working Papers flwp_55, Finance Lab, Insper Instituto de Ensino e Pesquisa.
2002
- José Fajardo & Aquiles Farias, 2002.
"Generalized Hyperbolic Distributions and Brazilian Data,"
Working Papers Series
52, Central Bank of Brazil, Research Department.
- Fajardo, José & Farias, Aquiles, 2004. "Generalized Hyperbolic Distributions and Brazilian Data," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 24(2), November.
- Fajardo, J. & Farias, A., 2003. "Generalized Hyperbolic Distributions and Brazilian Data," Finance Lab Working Papers flwp_57, Finance Lab, Insper Instituto de Ensino e Pesquisa.
Journal articles
2010
- Fajardo, José & Farias, Aquiles, 2010. "Derivative pricing using multivariate affine generalized hyperbolic distributions," Journal of Banking & Finance, Elsevier, vol. 34(7), pages 1607-1617, July.
2009
- Fajardo, José & Farias, Aquiles, 2009.
"Multivariate affine generalized hyperbolic distributions: An empirical investigation,"
International Review of Financial Analysis, Elsevier, vol. 18(4), pages 174-184, September.
- José Fajardo & Aquiles Farias, 2008. "Multivariate Affine Generalized Hyperbolic Distributions: An Empirical Investigation," IBMEC RJ Economics Discussion Papers 2008-01, Economics Research Group, IBMEC Business School - Rio de Janeiro.