Details about Aquiles Rocha de Farias

Access statistics for papers by Aquiles Rocha de Farias.

Last updated 2013-02-23. Update your information in the RePEc Author Service.

Short-id: pfa333

Working Papers

2012

1. Estimating Relative Risk Aversion, Risk-Neutral and Real-World Densities using Brazilian Real Currency Options
   Working Papers Series, Central Bank of Brazil, Research Department View citations (10)
   Also in EBAPE Working Papers, FGV EBAPE - Escola Brasileira de Administração Pública e de Empresas (Brazil) (2012) View citations (12)

2008

2. Multivariate Affine Generalized Hyperbolic Distributions: An Empirical Investigation
   IBMEC RJ Economics Discussion Papers, Economics Research Group, IBMEC Business School - Rio de Janeiro
   See also Journal Article Multivariate affine generalized hyperbolic distributions: An empirical investigation, International Review of Financial Analysis, Elsevier (2009) View citations (5) (2009)

2002

3. Generalized Hyperbolic Distributions and Brazilian Data
   Working Papers Series, Central Bank of Brazil, Research Department View citations (39)

Journal Articles

2010

1. Derivative pricing using multivariate affine generalized hyperbolic distributions
   Journal of Banking & Finance, 2010, 34, (7), 1607-1617 View citations (7)

2009

2. Multivariate affine generalized hyperbolic distributions: An empirical investigation
   International Review of Financial Analysis, 2009, 18, (4), 174-184 View citations (5)
   See also Working Paper Multivariate Affine Generalized Hyperbolic Distributions: An Empirical Investigation, IBMEC RJ Economics Discussion Papers (2008) (2008)