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Multivariate Affine Generalized Hyperbolic Distributions: An Empirical Investigation

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  • José Fajardo

    (IBMEC Business School - Rio de Janeiro)

  • Aquiles Farias

    (Central Bank of Brazil)

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.

Suggested Citation

  • 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.
    • Handle: RePEc:ibr:dpaper:2008-01
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    File URL: http://professores.ibmecrj.br/erg/dp/papers/dp200801.pdf
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    References listed on IDEAS

    as
    1. Fajardo, José & Farias, Aquiles, 2004. "Generalized Hyperbolic Distributions and Brazilian Data," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 24(2), November.
    2. Fajardo, J. & Farias, A. R. & Ornelas, J. R. H., 2003. "Analyzing the Use of Generalized Hyperbolic Distributions to Value at Risk Calculations," Finance Lab Working Papers flwp_58, Finance Lab, Insper Instituto de Ensino e Pesquisa.
    3. Barbachan, José Fajardo & Schuschny, Andrés Ricardo & Silva, André de Castro, 2001. "Lévy processes and the Brazilian market," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 21(2), November.
    4. 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. BenSaïda, Ahmed & Slim, Skander, 2016. "Highly flexible distributions to fit multiple frequency financial returns," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 442(C), pages 203-213.
    2. Wang, Chou-Wen & Liu, Kai & Li, Bin & Tan, Ken Seng, 2022. "Portfolio optimization under multivariate affine generalized hyperbolic distributions," International Review of Economics & Finance, Elsevier, vol. 80(C), pages 49-66.
    3. 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.
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    5. Fajardo, José & Mordecki, Ernesto, 2010. "Market symmetry in time-changed Brownian models," Finance Research Letters, Elsevier, vol. 7(1), pages 53-59, March.

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