Analyzing the Use of Generalized Hyperbolic Distributions to Value at Risk Calculations
No abstract is available for this item.
|Date of creation:||Oct 2003|
|Date of revision:|
|Contact details of provider:|| Postal: |
Web page: http://www.insper.edu.br/
More information through EDIRC
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.:
- 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.).
- 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.
- 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. 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.
When requesting a correction, please mention this item's handle: RePEc:ibm:finlab:flwp_58. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Naercio Menezes)
If references are entirely missing, you can add them using this form.