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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 Stein characterisation of the generalized hyperbolic distribution [PDF]
ESAIM: Probability and Statistics, 2017 The generalized hyperbolic (GH) distributions form a five parameter family of probability distributions that includes many standard distributions as special or limiting cases, such as the generalized inverse Gaussian distribution, Student's $t ...
Barbour +27 more
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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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Value at Risk long memory volatility models with heavy-tailed distributions for cryptocurrencies [PDF]
Frontiers in Applied Mathematics and StatisticsThis 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
Stephanie Danielle Subramoney +2 more
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Multivariate Affine Generalized Hyperbolic Distributions: An Empirical Investigation [PDF]
International Review of Financial Analysis, 2009 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.
Aquiles Farias, José Fajardo
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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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Scientific African, 2023 This study introduces a new conditional innovation density called the generalized odd generalized exponentiated skew-t (GOGEST) distribution for the generalized autoregressive conditional heteroscedasticity (GARCH) volatility models.
O.D. Adubisi, A. Abdulkadir, D.J. Adashu
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Analysis of a Hyperbolic Heat Transfer Model in Blood-perfused Biological Tissues with Laser Heating [PDF]
Journal of Applied and Computational Mechanics, 2022 This paper proposes a hyperbolic heat transport model for a homogeneously perfused biological tissue irradiated by a laser beam. In particular, involving two local energy equations, one for the blood vessel and the other for the tissue, a non-Fourier ...
C.F. Munafo, P. Rogolino
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