Multivariate affine generalized hyperbolic distributions: An empirical investigation
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 goodness of fit using Kolmogorov distances. As an application we study the efficient frontier.
Year of publication: |
2009
|
---|---|
Authors: | Fajardo, José ; Farias, Aquiles |
Published in: |
International Review of Financial Analysis. - Elsevier, ISSN 1057-5219. - Vol. 18.2009, 4, p. 174-184
|
Publisher: |
Elsevier |
Keywords: | Generalized hyperbolic distributions Multivariate distributions Affine transformation Fat tails |
Saved in:
Online Resource
Saved in favorites
Similar items by person
-
Derivative pricing using multivariate affine generalized hyperbolic distributions
Fajardo, José, (2010)
-
Generalized Hyperbolic Distributions and Brazilian Data
Fajardo, José, (2002)
-
Multivariate Affine Generalized Hyperbolic Distributions: An Empirical Investigation
Fajardo, José, (2008)
- More ...