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.

Aquiles Farias

José Fajardo

English

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Generalized Hyperbolic Distributions and Brazilian Data

http://www.bcb.gov.br/pec/wps/ingl/wps52.pdf

Generalized Hyperbolic Distributions and Brazilian Data

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Research Papers in Economics