Multivariate affine generalized hyperbolic distributions: An empirical investigation

José Fajardo () and Aquiles de Farias ()

International Review of Financial Analysis, 2009, vol. 18, issue 4, 174-184

Abstract: 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.

Keywords: Generalized; hyperbolic; distributions; Multivariate; distributions; Affine; transformation; Fat; tails (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (5)

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Working Paper: Multivariate Affine Generalized Hyperbolic Distributions: An Empirical Investigation (2008)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finana:v:18:y:2009:i:4:p:174-184

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