Multivariate Affine Generalized Hyperbolic Distributions: An Empirical Investigation

José Fajardo () and Aquiles de Farias ()

No 2008-01, IBMEC RJ Economics Discussion Papers from Economics Research Group, IBMEC Business School - Rio de Janeiro

Abstract: The aim of this paper is to estimate the Multivariate Affine Generalized distributions (MAGH) using market data. We use Ibovespa, CAC, DAX, FTSE, NIKKEI and S&P500 indexes. We estimate the univariate distributions, the bi-variate distributions and the 6-dimensional distribution. Then, we asses their goodness of fit using Kolmogorov distances.

Keywords: Generalized Hyperbolic Distributions; Multivariate distributions; Affine transformation; Fat tails (search for similar items in EconPapers)
Date: 2008-03-06
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Journal Article: Multivariate affine generalized hyperbolic distributions: An empirical investigation (2009)
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