Generalized hyperbolic distributions and Brazilian data

von Barbachan, José Santiago Fajardo
Veröffentlicht in Brazilian review of econometrics (2004)

Derivative pricing using multivariate affine generalized hyperbolic distributions

von Barbachan, José Santiago Fajardo
Veröffentlicht in Journal of banking & finance (2010)

Multivariate affine generalized hyperbolic distributions: an empirical investigation

von Barbachan, José Santiago Fajardo
Veröffentlicht in International review of financial analysis (2009)

Accounting for skewness in performance evaluation of Brazilian mutual funds

von Ornelas, José Renato Haas
Veröffentlicht in Banking and finance review (2009)

Analyzing the use of generalized hyperbolic distributions to value at risk calculations

von Barbachan, José Santiago Fajardo
Veröffentlicht in Economia aplicada (2005)

Estimating risk aversion, risk-neutral and real-world densities using Brazilian real currency options

von Barbachan, José Santiago Fajardo
Veröffentlicht in Economia aplicada (-2012)

Goodness-of-fit tests focus on value-at-risk estimation

von Barbachan, José Santiago Fajardo
Veröffentlicht in Brazilian review of econometrics (2006)