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Goodness-of-Fit Test focuses on Conditional Value at Risk:An Empirical Analysis of Exchange Rates

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

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File URL: http://www.ibmecsp.edu.br/pesquisa/download.php?recid=2969
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Paper provided by Finance Lab, Ibmec São Paulo in its series Finance Lab Working Papers with number flwp_70.

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Date of creation: Oct 2004
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Handle: RePEc:ibm:finlab:flwp_70

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  1. Praetz, Peter D, 1972. "The Distribution of Share Price Changes," Journal of Business, University of Chicago Press, vol. 45(1), pages 49-55, January. [Downloadable!] (restricted)
  2. Basak, Suleyman & Shapiro, Alexander, 2001. "Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 14(2), pages 371-405.
  3. Blattberg, Robert C & Gonedes, Nicholas J, 1974. "A Comparison of the Stable and Student Distributions as Statistical Models for Stock Prices," Journal of Business, University of Chicago Press, vol. 47(2), pages 244-80, April. [Downloadable!] (restricted)
  4. 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, Ibmec São Paulo. [Downloadable!]
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This page was last updated on 2009-11-13.

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