Generalized Hyperbolic Distributions and Brazilian Data

José Fajardo () and Aquiles de Farias ()

No 52, Working Papers Series from Central Bank of Brazil, Research Department

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: 2002-09
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Citations: View citations in EconPapers (39)

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Related works:
Journal Article: Generalized Hyperbolic Distributions and Brazilian Data (2004)
Working Paper: Generalized Hyperbolic Distributions and Brazilian Data (2003)
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