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

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  • Farias, A. R.
  • Ornelas, J. R. H
  • Fajardo, J.

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  • 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.
  • Handle: RePEc:ibm:finlab:flwp_70
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    References listed on IDEAS

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    1. Jean-Michel Courtault & Yuri Kabanov & Bernard Bru & Pierre Crépel & Isabelle Lebon & Arnaud Le Marchand, 2000. "Louis Bachelier on the Centenary of "Théorie de la Spéculation"," Mathematical Finance, Wiley Blackwell, vol. 10(3), pages 339-353.
    2. Blattberg, Robert C & Gonedes, Nicholas J, 1974. "A Comparison of the Stable and Student Distributions as Statistical Models for Stock Prices," The Journal of Business, University of Chicago Press, vol. 47(2), pages 244-280, April.
    3. 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.
    4. Bauer, Christian, 2000. "Value at risk using hyperbolic distributions," Journal of Economics and Business, Elsevier, vol. 52(5), pages 455-467.
    5. Praetz, Peter D, 1972. "The Distribution of Share Price Changes," The Journal of Business, University of Chicago Press, vol. 45(1), pages 49-55, January.
    6. Basak, Suleyman & Shapiro, Alexander, 2001. "Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices," Review of Financial Studies, Society for Financial Studies, vol. 14(2), pages 371-405.
    7. Philippe Artzner & Freddy Delbaen & Jean-Marc Eber & David Heath, 1999. "Coherent Measures of Risk," Mathematical Finance, Wiley Blackwell, vol. 9(3), pages 203-228.
    8. Benoit Mandelbrot, 2015. "The Variation of Certain Speculative Prices," World Scientific Book Chapters,in: THE WORLD SCIENTIFIC HANDBOOK OF FUTURES MARKETS, chapter 3, pages 39-78 World Scientific Publishing Co. Pte. Ltd..
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