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 Finance Lab, Insper Instituto de Ensino e Pesquisa in its series Finance Lab Working Papers with number flwp_57.
Date of creation: Oct 2003
Date of revision:
Other versions of this item:
- José Fajardo & Aquiles Farias, 2002. "Generalized Hyperbolic Distributions and Brazilian Data," Working Papers Series 52, Central Bank of Brazil, Research Department.
- NEP-ALL-2003-11-09 (All new papers)
- NEP-FIN-2003-11-09 (Finance)
- NEP-FMK-2003-11-09 (Financial Markets)
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