Generalized Hyperbolic Distributions and Brazilian Data
AbstractThe 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.
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Bibliographic InfoPaper provided by Central Bank of Brazil, Research Department in its series Working Papers Series with number 52.
Date of creation: Sep 2002
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Web page: http://www.bcb.gov.br/?english
Other versions of this item:
- 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.
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