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)

2004

3. Goodness-of-Fit Test focuses on Conditional Value at Risk:An Empirical Analysis of Exchange Rates
   Finance Lab Working Papers, Finance Lab, Insper Instituto de Ensino e Pesquisa View citations (1)

2003

4. Analyzing the Use of Generalized Hyperbolic Distributions to Value at Risk Calculations
   Finance Lab Working Papers, Finance Lab, Insper Instituto de Ensino e Pesquisa View citations (5)
5. Generalized Hyperbolic Distributions and Brazilian Data
   Finance Lab Working Papers, Finance Lab, Insper Instituto de Ensino e Pesquisa View citations (37)
   Also in Working Papers Series, Central Bank of Brazil, Research Department (2002) View citations (39)
6. Goodness-of-fit Tests focus on VaR Estimation
   Finance Lab Working Papers, Finance Lab, Insper Instituto de Ensino e Pesquisa View citations (3)

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)