Author:
Fajardo José,Farias Aquiles
Abstract
The aim of this paper is to discuss the use of the Generalized
Hyperbolic Distributions to fit Brazilian assets returns. Selected
subclasses are compared regarding goodness of fit statistics and distances.
Empirical results show that these distributions fit data well. Then we show
how to use these distributions in value at risk estimation and derivative
price computation.
Subject
General Earth and Planetary Sciences,General Environmental Science
Cited by
17 articles.
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