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Aquiles Rocha de Farias

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Personal Details

First Name:Aquiles
Middle Name:Rocha
Last Name:de Farias
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RePEc Short-ID:pfa333
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Location: Brasília, Brazil
Homepage: http://www.bcb.gov.br/
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Phone: (061) 3414-2401
Fax: (061) 3414-2480
Postal: Caixa Postal 08670 - CEP 70074-900 - Brasília DF
Handle: RePEc:edi:bcbgvbr (more details at EDIRC)
Location: Brasília, Brazil
Homepage: http://www.ibmec.br/df/
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Handle: RePEc:edi:ibmbrbr (more details at EDIRC)
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  1. José Renato Haas Ornelas & José Santiago Fajardo Barbachan & Aquiles Rocha de Farias, 2012. "Estimating Relative Risk Aversion, Risk-Neutral and Real-World Densities using Brazilian Real Currency Options," Working Papers Series 269, Central Bank of Brazil, Research Department.
  2. 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.
  3. 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, Insper Instituto de Ensino e Pesquisa.
  4. 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, Insper Instituto de Ensino e Pesquisa.
  5. 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.
  6. José Fajardo & Aquiles Farias, 2002. "Generalized Hyperbolic Distributions and Brazilian Data," Working Papers Series 52, Central Bank of Brazil, Research Department.
  1. 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.
  2. Fajardo, José & Farias, Aquiles, 2009. "Multivariate affine generalized hyperbolic distributions: An empirical investigation," International Review of Financial Analysis, Elsevier, vol. 18(4), pages 174-184, September.
6 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-CFN: Corporate Finance (1) 2012-04-03
  2. NEP-ECM: Econometrics (2) 2003-10-20 2003-10-20. Author is listed
  3. NEP-ETS: Econometric Time Series (1) 2003-10-20
  4. NEP-FIN: Finance (3) 2003-10-20 2003-10-20 2003-11-09. Author is listed
  5. NEP-FMK: Financial Markets (1) 2003-11-09
  6. NEP-FOR: Forecasting (2) 2012-04-03 2012-06-05. Author is listed
  7. NEP-RMG: Risk Management (2) 2003-10-20 2003-10-20. Author is listed

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