Multivariate affine generalized hyperbolic distributions: An empirical investigation
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- 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.
References listed on IDEAS
- Fajardo, José & Farias, Aquiles, 2004.
"Generalized Hyperbolic Distributions and Brazilian Data,"
Brazilian Review of Econometrics,
Sociedade Brasileira de Econometria - SBE, vol. 24(2), November.
- José Fajardo & Aquiles Farias, 2002. "Generalized Hyperbolic Distributions and Brazilian Data," Working Papers Series 52, Central Bank of Brazil, Research Department.
- 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.
- 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.
- repec:sbe:breart:v:21:y:2001:i:2:a:2752 is not listed on IDEAS
- Schmidt, Rafael & Hrycej, Tomas & Stutzle, Eric, 2006. "Multivariate distribution models with generalized hyperbolic margins," Computational Statistics & Data Analysis, Elsevier, vol. 50(8), pages 2065-2096, April.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- BenSaïda, Ahmed & Slim, Skander, 2016. "Highly flexible distributions to fit multiple frequency financial returns," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 442(C), pages 203-213.
- Barros Fernandes, José Luiz & Haas Ornelas, José Renato & Martínez Cusicanqui, Oscar Augusto, 2012.
"Combining equilibrium, resampling, and analyst’s views in portfolio optimization,"
Journal of Banking & Finance,
Elsevier, vol. 36(5), pages 1354-1361.
- José Luis Barros Fernandes & José Renato Haas Ornelas & Oscar Augusto Martínez Cusicanqui, 2011. "Combining equilibrium, resampling, and analysts' views in portfolio optimization," BIS Papers chapters,in: Bank for International Settlements (ed.), Portfolio and risk management for central banks and sovereign wealth funds, volume 58, pages 75-84 Bank for International Settlements.
- 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.
- Fajardo, José & Mordecki, Ernesto, 2010. "Market symmetry in time-changed Brownian models," Finance Research Letters, Elsevier, vol. 7(1), pages 53-59, March.
More about this item
KeywordsGeneralized hyperbolic distributions Multivariate distributions Affine transformation Fat tails;
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