| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5085378 | International Review of Financial Analysis | 2009 | 11 Pages |
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.
Keywords
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
José Fajardo, Aquiles Farias,