Generalized Hyperbolic Distributions and Brazilian Data

By José Fajardo, A. Farias. 2004

63 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/9e224a7d916f11868a9b47f3f6515bec03e16c7b

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. José Santiago Fajardo
2. Ernesto Mordecki

In Finance

1. José Santiago Fajardo
2. Ernesto Mordecki
3. Andreas E. Kyprianou
4. Alexey Kuznetsov
5. Steve A. K. Metwally
6. Amir F. Atiya

Citations in the corpus

• Symmetry and duality in Lévy markets (2006, methodology): “Using daily returns from the Brazilian Index Ibovespa for the period 07/01/1994 to 12/13/2001, Fajardo and Farias (2004) estimate the parameter P ¼ 0:0035 for the NIG distribution and the estimate Q ¼ 80:65 for the risk neutral distribution, given by (32).”