Multivariate Affine Generalized Hyperbolic Distributions: An Empirical Investigation

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.

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Year of publication:	2008-03-06
Authors:	Fajardo, José ; Farias, Aquiles
Institutions:	IBMEC Business School - Rio de Janeiro
Subject:	Generalized Hyperbolic Distributions \| Multivariate distributions \| Affine transformation \| Fat tails

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Extent:	application/pdf
Series:	IBMEC RJ Economics Discussion Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number 2008-01
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005551031