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Estimating risk aversion, risk-neutral and real-world densities using Brazilian real currency options
Barbachan, José Santiago Fajardo; Ornelas, José … - In: Economia aplicada : EA 16 (2012) 4, pp. 567-577
Persistent link: https://www.econbiz.de/10011447980
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Goodness-of-fit tests focus on value-at-risk estimation
Barbachan, José Santiago Fajardo; Ornelas, José … - In: Brazilian review of econometrics : the review of the … 26 (2006) 2, pp. 309-326
Persistent link: https://www.econbiz.de/10003590640
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Estimating relative risk aversion, risk-neutral and Real-world densities using Brazilian Real currency options
Ornelas, José Renato Haas; Barbachan, José Santiago … - 2012
Persistent link: https://www.econbiz.de/10009532137
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Accounting for skewness in performance evaluation of Brazilian mutual funds
Ornelas, José Renato Haas; Farias, Aquiles Rocha de; … - In: Banking and finance review 1 (2009) 1, pp. 119-131
Persistent link: https://www.econbiz.de/10008936744
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Analyzing the use of generalized hyperbolic distributions to value at risk calculations
Barbachan, José Santiago Fajardo; Farias, Aquiles Rocha de - In: Economia aplicada : EA 9 (2005) 1, pp. 25-38
Persistent link: https://www.econbiz.de/10002889308
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Estimating Relative Risk Aversion, Risk-Neutral and Real-World Densities using Brazilian Real Currency Options
Ornelas, José Renato Haas; Barbachan, José Santiago … - Central Bank of Brazil, Research Department - 2012
Building Risk-Neutral Densities (RND) from options data can provide market-implied expectations about the future behavior of a financial variable. This paper uses the Liu et all (2007) approach to estimate the option-implied risk-neutral densities from the Brazilian Real/US Dollar exchange rate...
Persistent link: https://www.econbiz.de/10010852121
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Estimating Risk Aversion, Risk-Neutral and Real-World Densities using Brazilian Real Currency Options
Fajardo, José; Ornelas, José Renato Haas; Farias, … - In: Economia aplicada : EA 16 (2012) 4, pp. 567-579
Persistent link: https://www.econbiz.de/10010167766
Cover Image
Goodness-of-fit tests focus on value-at-risk estimation
Barbachan, José Santiago Fajardo; Ornelas, José … - In: Brazilian review of econometrics : the review of the … 26 (2006) 2, pp. 309-326
Persistent link: https://www.econbiz.de/10009075479