Analyzing the use of generalized hyperbolic distributions to value at risk calculations
The goal of this paper is to analyze the use of the Generalized Hyperbolic (GH) Distributions to model the US Dollar/Brazilian Real exchange rate in a way to produce more accurate VaR (Value at Risk) measurements. After the GH parameters estimation, several distances were calculated to verify the f...
| Main Authors: | , , |
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| Format: | Article |
| Language: | Portuguese |
| Published: |
Universidade de São Paulo
2005-02-01
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| Series: | Economia Aplicada |
| Subjects: | |
| Online Access: | https://www.revistas.usp.br/ecoa/article/view/221386 |