Multivariate affine generalized hyperbolic distributions: An empirical investigation |
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| Authors: | Jos Fajardo Aquiles Farias |
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| Institution: | aIBMEC Business School, Av. Presidente Wilson 118, 1108, 20030020. Rio de Janeiro, RJ., Brazil;bBanco Central do Brasil |
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| 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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| Keywords: | Generalized hyperbolic distributions Multivariate distributions Affine transformation Fat tails |
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