Multivariate affine generalized hyperbolic distributions: An empirical investigation
AbstractThe 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.
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Bibliographic InfoArticle provided by Elsevier in its journal International Review of Financial Analysis.
Volume (Year): 18 (2009)
Issue (Month): 4 (September)
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Web page: http://www.elsevier.com/locate/inca/620166
Generalized hyperbolic distributions Multivariate distributions Affine transformation Fat tails;
Other versions of this item:
- José Fajardo & Aquiles Farias, 2008. "Multivariate Affine Generalized Hyperbolic Distributions: An Empirical Investigation," IBMEC RJ Economics Discussion Papers 2008-01, Economics Research Group, IBMEC Business School - Rio de Janeiro.
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- Schmidt, Rafael & Hrycej, Tomas & Stutzle, Eric, 2006. "Multivariate distribution models with generalized hyperbolic margins," Computational Statistics & Data Analysis, Elsevier, vol. 50(8), pages 2065-2096, April.
- Fajardo, José & Mordecki, Ernesto, 2010. "Market symmetry in time-changed Brownian models," Finance Research Letters, Elsevier, vol. 7(1), pages 53-59, March.
- José Luis Barros Fernandes & José Renato Haas Ornelas & Oscar Augusto Martínez Cusicanqui, 2011.
"Combining equilibrium, resampling, and analysts' views in portfolio optimization,"
BIS Papers chapters,
in: Bank for International Settlements (ed.), Portfolio and risk management for central banks and sovereign wealth funds, volume 58, pages 75-84
Bank for International Settlements.
- Barros Fernandes, José Luiz & Haas Ornelas, José Renato & Martínez Cusicanqui, Oscar Augusto, 2012. "Combining equilibrium, resampling, and analyst’s views in portfolio optimization," Journal of Banking & Finance, Elsevier, vol. 36(5), pages 1354-1361.
- Fajardo, José & Farias, Aquiles, 2010. "Derivative pricing using multivariate affine generalized hyperbolic distributions," Journal of Banking & Finance, Elsevier, vol. 34(7), pages 1607-1617, July.
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