Fajardo, José; Farias, Aquiles - In: International Review of Financial Analysis 18 (2009) 4, pp. 174-184
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...
