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Multivariate Affine Generalized Hyperbolic Distributions: An Empirical Investigation

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Author Info
José Fajardo (IBMEC Business School - Rio de Janeiro)
Aquiles Farias (Central Bank of Brazil)

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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.

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File URL: http://professores.ibmecrj.br/erg/dp/papers/dp200801.pdf
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Publisher Info
Paper provided by Economics Research Group, IBMEC Business School - Rio de Janeiro in its series IBMEC RJ Economics Discussion Papers with number 2008-01.

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Date of creation: 06 Mar 2008
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Handle: RePEc:ibr:dpaper:2008-01

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Related research
Keywords: Generalized Hyperbolic Distributions; Multivariate distributions; Affine transformation; Fat tails;

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