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Derivative pricing using multivariate affine generalized hyperbolic distributions
Barbachan, José Santiago Fajardo; Farias, Aquiles Rocha de - In: Journal of banking & finance 34 (2010) 7, pp. 1607-1617
Persistent link: https://www.econbiz.de/10008649442
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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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Multivariate affine generalized hyperbolic distributions: an empirical investigation
Barbachan, José Santiago Fajardo; Farias, Aquiles Rocha de - In: International review of financial analysis 18 (2009) 4, pp. 174-184
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...
Persistent link: https://www.econbiz.de/10003921092
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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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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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Generalized hyperbolic distributions and Brazilian data
Barbachan, José Santiago Fajardo; Farias, Aquiles Rocha de - In: Brazilian review of econometrics : the review of the … 24 (2004) 2, pp. 249-271
Persistent link: https://www.econbiz.de/10003119676
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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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Equivalent martingale measures and Lévy processes
Barbachan, José Santiago Fajardo - In: Revista brasileira de economia : RBE ; revista da … 60 (2006) 4, pp. 353-361
Persistent link: https://www.econbiz.de/10003423429
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Optimal consumption and investment with Lévy processes
Barbachan, José Santiago Fajardo - In: Revista brasileira de economia : RBE ; revista da … 57 (2003) 4,2, pp. 825-848
Persistent link: https://www.econbiz.de/10002093492
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Optimal consumption and investment with hyperbolic Lévy motion
Barbachan, José Santiago Fajardo - In: Revista de econometria 20 (2000) 1, pp. 27-54
Persistent link: https://www.econbiz.de/10001804037