Generalized Hyperbolic Distributions and Brazilian Data

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.

Multivariate Affine Generalized Hyperbolic Distributions: An Empirical Investigation

The aim of this paper is to estimate the Multivariate Affine Generalized distributions (MAGH) using market data. We use Ibovespa, CAC, DAX, FTSE, NIKKEI and S&P500 indexes. We estimate the univariate distributions, the bi-variate distributions and the 6-dimensional distribution. Then, we asses their goodness of fit using Kolmogorov distances.Generalized Hyperbolic Distributions, Multivariate distributions, Affine transformation, Fat tails

O turismo e a economia brasileira: uma discussão da matriz de insumo-produto

The World Tourism Organization define tourists as being those who travel and stay away from their homes for a less than one-year period. In economic terms, tourism is seem as an activity that implies outlays from those far from home between at least a twenty-four-hour period and, at most, one year; involving different economic activities in transport, food, lodging and leisure sectors. These aspects implies, therefore, a major interaction between many economic sectors, being important analyzing the articulation between them both in a complementary way and regarding the economic impacts their development involve. The input-output matrix is an excellent analitical tool in this case, making it possible to visualize the articulations between tourism and the rest of the economy, as well as to estimate the impacts of tourism as and demander and offerer of inputs for the Brazilian economy. It can also verify the effects of the sector growth on the income and labour generated. These aspects are studied in this work by estimating the input-output matrix for tourism in Brazil in the year of 2004

Derivative pricing using multivariate affine generalized hyperbolic distributions

In this paper we use multivariate affine generalized hyperbolic (MAGH) distributions, introduced by Schmidt et al. (2006), to show how to price multidimensional derivatives when the underlying asset follows a MAGH distribution. We also illustrate the approach using market data from the BOVESPA (São Paulo Stock Exchange) and the exchange rate of the Brazilian Real vs. US Dollar to price some multidimensional derivatives.Generalized hyperbolic distributions Multivariate distributions Derivative pricing Levy processes

Multivariate affine generalized hyperbolic distributions: An empirical investigation

The aim of this paper is to estimate multivariate affine generalized distributions (MAGH) using market data. We use the Ibovespa, CAC, DAX, FTSE, NIKKEI and S&P500 indexes. We estimate the univariate distributions, bi-variate distributions and six-dimensional distribution. Then we assess their goodness of fit using Kolmogorov distances. As an application we study the efficient frontier.Generalized hyperbolic distributions Multivariate distributions Affine transformation Fat tails

Eatimating risk aversion, Risk-Neutral and Real-World Densities using Brasilian Real currency options

This paper uses the Liu et al. (2007) approach to estimate the optionimplied Risk-Neutral Densities (RND), real-world density (RWD), and relative risk aversion from the Brazilian Real/US Dollar exchange rate distribution. Our empirical application uses a sample of exchange-traded Brazilian Real currency options from 1999 to 2011. Our estimated value of the relative risk aversion is around 2.7, which is in line with other articles for the Brazilian Economy. Our out-of-sample results showed that the RND has some ability to forecast the Brazilian Real exchange rate, but when we incorporate the risk aversion, the out-of-sample performance improves substantially.Este artigo usa a abordagem de Liu et al. (2007) para estimar a densidade neutra ao risco, densidade do mundo real e a aversão relativa ao risco da distribuição da taxa de câmbio Dólar/Real. Na estimação foi utilizada uma amostra de opções Dólar/Real negociadas embolsa entre 1999 e 2011. O valor estimado para a aversão relativa ao risco foi de 2,7, em linha com outros artigos que também estimaram este parâmetro para a economia brasileira. A avaliação fora da amostra mostrou que a densidade neutra ao risco possui alguma habilidade para prever a taxa de câmbio Dólar/Real, mas quando o parâmetro de aversão ao risco é incorporado, a performance fora da amostra melhora substancialmente