2 Art�culos

Recovering Risk-Neutral Densities from Brazilian Interest Rate Options

Acceso

en l�nea

Jos� Renato Haas Ornelas,Marcelo Yoshio Takami P�g. 9 - 26

Building Risk-Neutral Density (RND) from options data is one useful way for extracting market expectations about a financial variable. For a sample of IDI (Brazilian Interbank Deposit Rate Index) options from 1998 to 2009, this paper estimates the option... ver m�s

Revista: Revista Brasileira de Finan�as Formato: Electr�nico

Tabla de contenido: Vol: 9 Num: 1 Par: 0 A�o: 2011

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

Acceso

en l�nea

Jos� Santiago Fajardo Barbachan,Aquiles Rocha de Farias,Jos� Renato Haas Ornelas P�g. 139 - 155

To verify whether an empirical distribution has a speci?c theoretical distribution, several tests have been used like the Kolmogorov-Smirnov and the Kuiper tests. These tests try to analyze if all parts of the empirical distribution has a speci?c theoret... ver m�s

Revista: Revista Brasileira de Finan�as Formato: Electr�nico

Tabla de contenido: Vol: 6 Num: 2 Par: 0 A�o: 2008

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