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Analyzing the Use of Generalized Hyperbolic Distributions to Value at Risk Calculations

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Author Info
Fajardo, J.
Farias, A. R.
Ornelas, J. R. H.

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File URL: http://www.ibmecsp.edu.br/pesquisa/download.php?recid=2663
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Paper provided by Finance Lab, Ibmec São Paulo in its series Finance Lab Working Papers with number flwp_58.

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Date of creation: Oct 2003
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Handle: RePEc:ibm:finlab:flwp_58

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Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. 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, Ibmec São Paulo. [Downloadable!]
  2. Fajardo, J. & Farias, A., 2003. "Generalized Hyperbolic Distributions and Brazilian Data," Finance Lab Working Papers flwp_57, Finance Lab, Ibmec São Paulo. [Downloadable!]
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  3. Paul H. Kupiec, 1995. "Techniques for verifying the accuracy of risk measurement models," Finance and Economics Discussion Series 95-24, Board of Governors of the Federal Reserve System (U.S.).
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  1. 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, Ibmec São Paulo. [Downloadable!]
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This page was last updated on 2009-12-9.

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