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

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Listed author(s):
  • Fajardo, J.
  • Farias, A. R.
  • Ornelas, J. R. H.

Abstract

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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, Insper Instituto de Ensino e Pesquisa in its series Finance Lab Working Papers with number flwp_58.

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Date of creation: Oct 2003
Handle: RePEc:ibm:finlab:flwp_58
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  1. José Fajardo & Aquiles Farias, 2002. "Generalized Hyperbolic Distributions and Brazilian Data," Working Papers Series 52, Central Bank of Brazil, Research Department.
  2. 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.).
  3. 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.
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Cited by:

  1. 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.
  2. José Renato Haas Ornelas, 2014. "Assessing the Forecast Ability of Risk-Neutral Densities and Real-World Densities from Emerging Markets Currencies," Working Papers Series 370, Central Bank of Brazil, Research Department.
  3. José Santiago Fajardo Barbachan & Aquiles Rocha de Farias & José Renato Haas Ornelas, 2008. "A Goodness-of-Fit Test with Focus on Conditional Value at Risk," Brazilian Review of Finance, Brazilian Society of Finance, vol. 6(2), pages 139-155.
  4. 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.

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