Results 241 to 250 of about 69,262 (283)

A stein type lemma for the multivariate generalized hyperbolic distribution

European Journal of Operational Research, 2017
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Steven Vanduffel, Jing Yao
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Cumulative Prospect Theory with Generalized Hyperbolic Skewed $t$ Distribution

SIAM Journal on Financial Mathematics, 2018
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Kwak, Minsuk, Pirvu, Traian A.
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Generalized Hyperbolic Secant Distributions

Journal of the American Statistical Association, 1968
The two-parameter family of distributions having characteristic functions given by φ(t) = (sech αt)ρ, α > 0 ρ > 0, is introducted and their basic structural properties are derived. Examples of some random variables having this distribution are given and, as an application, the distribution of the geometric mean of the absolute values of Cauchy ...
W. L. Harkness, M. L. Harkness
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$��$-Generalized Hyperbolic Distributions

2015
5 ...
Klebanov, Lev B., Rachev, Svetlozar T.
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Flexible mixture regression with the generalized hyperbolic distribution

Advances in Data Analysis and Classification, 2023
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Nam-Hwui Kim, Ryan P. Browne
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Convolution-invariant subclasses of generalized hyperbolic distributions

Communications in Statistics - Theory and Methods, 2015
AbstractIt is rigorously shown that the generalized Laplace distributions and the normal inverse Gaussian distributions are the only subclasses of the generalized hyperbolic distributions that are closed under convolution. The result is obtained by showing that the corresponding two classes of variance mixing distributions—gamma and inverse Gaussian ...
Krzysztof Podgórski, Jonas Wallin
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Derivative pricing using multivariate affine generalized hyperbolic distributions

Journal of Banking & Finance, 2010
Abstract In this paper we use multivariate affine generalized hyperbolic (MAGH) distributions, introduced by Schmidt et al. (2006) , to show how to price multidimensional derivatives when the underlying asset follows a MAGH distribution. We also illustrate the approach using market data from the BOVESPA (Sao Paulo Stock Exchange) and the exchange ...
Fajardo, José, Farias, Aquiles
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The Generalized Hyperbolic Skew Student's t-Distribution

Journal of Financial Econometrics, 2006
In this article we argue for a special case of the generalized hyperbolic (GH) family that we denote as the GH skew Student’s t-distribution. This distribution has the important property that one tail has polynomial and the other exponential behavior. Further, it is the only subclass of the GH family of distributions having this property.
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Classes of skew generalized hyperbolic secant distributions [PDF]

, 2002
A generalization of the hyperbolic secant distribution which allows both for skewness and for leptokurtosis was given by Morris (1982). Recently, Vaughan (2002) proposed another flexible generalization of the hyperbolic secant distribution which has a lot of nice properties but is not able to allow for skewness.
Fischer, Matthias J., Vaughan, David
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On random variate generation for the generalized hyperbolic secant distributions

Statistics and Computing, 1993
We give random variate generators for the generalized hyperbolic secant distribution and related families such as Morris's skewed generalized hyperbolic secant family and a family introduced by Laha and Lukacs. The rejection method generators are uniformly fast over the parameter space and are based upon a complex function representation of the ...
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