Aquiles Farias

Government of the Federative Republic of Brazil - Central Bank of Brazil

P.O. Box 08670

SBS Quadra 3 Bloco B - Edificio-Sede

Brasilia DF 70074-900, Distr. Federal 70074-900

Brazil

SCHOLARLY PAPERS

7

DOWNLOADS
Rank 34,978

SSRN RANKINGS

Top 34,978

in Total Papers Downloads

1,277

SSRN CITATIONS

2

CROSSREF CITATIONS

5

Scholarly Papers (7)

1.

Analyzing the Use of Generalized Hyperbolic Distributions to Value at Risk Calculations

Brazilian Journal of Applied Economics, Vol. 9, No. 1, p. 25-38, 2005
Number of pages: 14 Posted: 19 Mar 2008
Getulio Vargas Foundation, Government of the Federative Republic of Brazil - Central Bank of Brazil and Banco Central do Brasil
Downloads 267 (115,181)

Abstract:

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Generalized Hyperbolic, Value at Risk

2.

Accounting for Skewness in Performance Evaluation of Brazilian Mutual Funds

Banking and Finance Review, Vol. 1, pp. 119-132, 2009
Number of pages: 14 Posted: 13 May 2009 Last Revised: 20 Jun 2011
Government of the Federative Republic of Brazil - Central Bank of Brazil, Banco Central do Brasil and Federal University of Bahia - UFBA
Downloads 233 (132,428)

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Sharpe Ratio, Skewness, Performance Evaluation

3.

Manipulation-Proof Performance Evaluation of Brazilian Fixed Income and Multimarket Funds

Number of pages: 14 Posted: 23 Jul 2008
Banco Central do Brasil, Government of the Federative Republic of Brazil - Central Bank of Brazil and Federal University of Bahia - UFBA
Downloads 200 (153,169)

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Perfornance Evaluation, Hedge Funds, Mutual Funds

4.

Generalized Hyperbolic Distributions and Brazilian Data

Banco Central do Brasil Working Paper No. 52
Number of pages: 38 Posted: 02 Mar 2003
José Fajardo and Aquiles Farias
Getulio Vargas Foundation and Government of the Federative Republic of Brazil - Central Bank of Brazil
Downloads 194 (157,641)
Citation 4

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Generalized Hyperbolic Distributions, Derivatives Pricing, Fat Tails, Fast Fourier Transformation

5.

A Goodness-of-Fit Test with Focus on Conditional Value at Risk

Brazilian Finance Review, Vol. 6, No. 2, pp. 139-155, 2008
Number of pages: 17 Posted: 04 May 2007 Last Revised: 04 Dec 2008
Getulio Vargas Foundation, Government of the Federative Republic of Brazil - Central Bank of Brazil and Banco Central do Brasil
Downloads 169 (178,314)

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Goodness-of-Fit, Conditional Value at Risk, Risk Management

6.

Goodness-of-Fit Tests Focus on Value-at-Risk Estimation

Brazilian Review of Econometrics, Vol. 26, No. 2, pp. 309-326, November 2006
Number of pages: 18 Posted: 19 Mar 2008
Getulio Vargas Foundation, Government of the Federative Republic of Brazil - Central Bank of Brazil and Banco Central do Brasil
Downloads 151 (196,119)

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Value-at-Risk, Distance, Goodness-of-fit

7.

Estimating Relative Risk Aversion, Risk-Neutral and Real-World Densities Using Brazilian Real Currency Options

Number of pages: 12 Posted: 21 Sep 2011
Banco Central do Brasil, Getulio Vargas Foundation and Government of the Federative Republic of Brazil - Central Bank of Brazil
Downloads 63 (351,141)
Citation 1

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Risk-Neutral Densities, Relative Risk Aversion, Currency Options