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Aquiles Rocha de Farias

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This is information that was supplied by Aquiles de Farias in registering through RePEc. If you are Aquiles Rocha de Farias , you may change this information at the RePEc Author Service. Or if you are not registered and would like to be listed as well, register at the RePEc Author Service. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

Personal Details

First Name: Aquiles
Middle Name: Rocha
Last Name: de Farias
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RePEc Short-ID: pfa333

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Affiliation

(50%) Banco Central do Brasil
Location: Brasília, Brazil
Homepage: http://www.bcb.gov.br/
Email:
Phone: (061) 3414-2401
Fax: (061) 3414-2480
Postal: Caixa Postal 08670 - CEP 70074-900 - Brasília DF
Handle: RePEc:edi:bcbgvbr (more details at EDIRC)
(50%) IBMEC Business School - Distrito Federal
Location: Brasília, Brazil
Homepage: http://www.ibmec.br/df/
Email:
Phone:
Fax:
Postal:
Handle: RePEc:edi:ibmbrbr (more details at EDIRC)

Works

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Working papers

  1. 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.
  2. 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.
  3. 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.
  4. 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.
  5. 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.
  6. José Fajardo & Aquiles Farias, 2002. "Generalized Hyperbolic Distributions and Brazilian Data," Working Papers Series 52, Central Bank of Brazil, Research Department.

Articles

  1. 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.
  2. 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.

NEP Fields

6 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-CFN: Corporate Finance (1) 2012-04-03
  2. NEP-ECM: Econometrics (2) 2003-10-20 2003-10-20. Author is listed
  3. NEP-ETS: Econometric Time Series (1) 2003-10-20
  4. NEP-FIN: Finance (3) 2003-10-20 2003-10-20 2003-11-09. Author is listed
  5. NEP-FMK: Financial Markets (1) 2003-11-09
  6. NEP-FOR: Forecasting (2) 2012-04-03 2012-06-05. Author is listed
  7. NEP-RMG: Risk Management (2) 2003-10-20 2003-10-20. Author is listed

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