Generalized Hyperbolic Distributions and Brazilian Data

José Fajardo () and Aquiles Farias

Brazilian Review of Econometrics, 2004, vol. 24, issue 2

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.

Date: 2004
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Related works:
Working Paper: Generalized Hyperbolic Distributions and Brazilian Data (2003)
Working Paper: Generalized Hyperbolic Distributions and Brazilian Data (2002)
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Persistent link: https://EconPapers.repec.org/RePEc:sbe:breart:v:24:y:2004:i:2:a:2712

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