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Multivariate affine generalized hyperbolic distributions: An empirical investigation

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  • Fajardo, José
  • Farias, Aquiles

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.

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File URL: http://www.sciencedirect.com/science/article/B6W4W-4WP9MCB-1/2/631f50896f47f14f81e5402be73c8d48
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Bibliographic Info

Article provided by Elsevier in its journal International Review of Financial Analysis.

Volume (Year): 18 (2009)
Issue (Month): 4 (September)
Pages: 174-184

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Handle: RePEc:eee:finana:v:18:y:2009:i:4:p:174-184

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Web page: http://www.elsevier.com/locate/inca/620166

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Keywords: Generalized hyperbolic distributions Multivariate distributions Affine transformation Fat tails;

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  1. 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.
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Cited by:
  1. Fajardo, José & Mordecki, Ernesto, 2010. "Market symmetry in time-changed Brownian models," Finance Research Letters, Elsevier, vol. 7(1), pages 53-59, March.
  2. 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.
  3. 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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