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Tail dependence coefficient of generalized hyperbolic distribution [PDF]
Journal of Statistical Theory and Applications (JSTA), 2017 The tail dependence describes the limiting proportion of exceeding one margin over a certain threshold given that the other margin has already exceeded that threshold.
Mohalilou Aleiyouka +2 more
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A mixture of generalized hyperbolic distributions [PDF]
Canadian Journal of Statistics, 2015 AbstractWe introduce a mixture of generalized hyperbolic distributions as an alternative to the ubiquitous mixture of Gaussian distributions as well as their near relatives within which the mixture of multivariatet‐distributions and the mixture of skew‐tdistributions predominate.
Paul Mcnicholas, Ryan Browne
exaly +4 more sources
A Comparison of Generalized Hyperbolic Distribution Models for Equity Returns [PDF]
Journal of Applied Mathematics, 2014 We discuss the calibration of the univariate and multivariate generalized hyperbolic distributions, as well as their hyperbolic, variance gamma, normal inverse Gaussian, and skew Student’s t-distribution subclasses for the daily log-returns of seven of ...
Virginie Konlack Socgnia, Diane Wilcox
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A Mixture of Coalesced Generalized Hyperbolic Distributions [PDF]
Journal of Classification, 2019 A mixture of multiple scaled generalized hyperbolic distributions (MMSGHDs) is introduced. Then, a coalesced generalized hyperbolic distribution (CGHD) is developed by joining a generalized hyperbolic distribution with a multiple scaled generalized hyperbolic distribution.
Cristina Tortora +2 more
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Moments of the generalized hyperbolic distribution [PDF]
Computational Statistics, 2010 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Scott, David J +3 more
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Value at Risk long memory volatility models with heavy-tailed distributions for cryptocurrencies. [PDF]
Front Appl Math StatThis paper investigates the volatility dynamics and underlying long memory features of four major cryptocurrencies—Bitcoin, Ethereum, Litecoin, and Ripple—which were selected due to their high liquidity, large trading volumes, and historical significance
Subramoney SD, Chinhamu K, Chifurira R.
europepmc +2 more sources
Analyzing the use of generalized hyperbolic distributions to value at risk calculations
Economia Aplicada, 2005 The goal of this paper is to analyze the use of the Generalized Hyperbolic (GH) Distributions to model the US Dollar/Brazilian Real exchange rate in a way to produce more accurate VaR (Value at Risk) measurements.
José Santiago Fajardo Barbadian +2 more
doaj +3 more sources
Generalized Hyperbolic Distributions [PDF]
Brazilian Review of Econometrics, 2012 The aim of this paper is to discuss the use of the Generalized Hyperbolic Distributions to fit Brazilian assets returns. Selected subclasses are compared regarding goodness of fit statistics and distances. Empirical results show that these distributions fit data well.
José Fajardo, Aquiles Farias
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The Semi-Hyperbolic Distribution and Its Applications
Stats, 2023 This paper studies a subclass of the class of generalized hyperbolic distribution called the semi-hyperbolic distribution. We obtain analytical expressions for the cumulative distribution function and, specifically, their first and second lower partial ...
Roman V. Ivanov
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ν-Generalized Hyperbolic Distributions
Journal of Risk and Financial Management, 2023 A new class of probability distributions closely connected to generalized hyperbolic distributions is introduced. It is better adapted for studying the distributions of sums of a random number of random variables. The properties of these distributions are studied. It seems that this class may be useful for modeling asset returns.
Lev Klebanov, Svetlozar T. Rachev
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