Results 251 to 260 of about 69,262 (283)

Optimal Portfolio Selection Based on Expected Shortfall Under Generalized Hyperbolic Distribution

Asia-Pacific Financial Markets, 2014
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Surya, Budhi Arta, Kurniawan, Ryan
openaire   +1 more source

Infinite divisibility of the hyperbolic and generalized inverse Gaussian distributions

Zeitschrift f�r Wahrscheinlichkeitstheorie und Verwandte Gebiete, 1977
(~'/z)~/2 x~-le --~':~-~+~ (x>0) , (1) 2 K ~ ( ] / ~ ) has the property of infinite divisibility. It follows simply from this that any mixture of the r-dimensional normal distributions Nr(~, X) determined by setting ~ = # + ~ 2 f i A and X=a2A (2) and letting o -2 follow the distribution (1) is infinitely divisible; here #, fl and A are new parameters,
Barndorff-Nielsen, O., Halgreen, Christian   +1 more
openaire   +2 more sources

THE GENERALIZED SECANT HYPERBOLIC DISTRIBUTION AND ITS PROPERTIES

Communications in Statistics - Theory and Methods, 2002
The properties of a family of distributions generalizing the secant hyperbolic are developed. This family consists of symmetric distributions, with kurtosis ranging from 1.8 to infinity, and includes the logistic as a special case, the uniform as a limiting case, and closely approximates the normal and Student's t-distributions with corresponding ...
openaire   +1 more source

Generalized Hyperbolic Laws as Limit Distributions for Random Sums

Theory of Probability & Its Applications, 2014
A general theorem is proved stating necessary and sufficient conditions for the convergence of the distributions of sums of a random number of independent identically distributed random variables to one-parameter variance-mean mixtures of normal laws. As a corollary, necessary and sufficient conditions for convergence of the distributions of sums of a ...
openaire   +1 more source

A Review of Generalized Hyperbolic Distributions

Computational Economics, 2023
Xiao Jiang, Saralees Nadarajah, Thomas Hitchen   +2 more
openaire   +1 more source

Generalized Hyperbolic Distributions: Empirical Evidence on Bucharest Stock Exchange [PDF]

The Review of Finance and Banking, 2015
Onfive of the most liquid and important equities of the Romanian stock market together with the market index is investigated the fit of the generalized hyperbolic distributions. The parameters of the hyperbolic distribution, Variance- Gamma, Normal Inverse Gaussian, skewed t Student and generalized hyperbolic are estimated using the maximum likelihood ...
openaire  

Portfolio optimization under multivariate affine generalized hyperbolic distributions

International Review of Economics & Finance, 2022
Chou-Wen Wang, Kai Liu, Bin Li, Ken Seng Tan   +3 more
openaire   +1 more source

Tail Behaviour and Tail Dependence of Generalized Hyperbolic Distributions

2016
Generalized hyperbolic distributions have been well established in finance during the last two decades. However, their application, in particular the computation of distribution functions and quantiles, is numerically demanding. Moreover, they are, in general, not stable under convolution which makes the computation of quantiles in factor models driven
openaire   +1 more source

Portfolio optimization under the generalized hyperbolic distribution: optimal allocation, performance and tail behavior

Quantitative Finance, 2021
John Roberts Birge
exaly  

Inverse Gaussian quadrature and finite normal-mixture approximation of the generalized hyperbolic distribution

Journal of Computational and Applied Mathematics, 2021
Jaehyuk Choi
exaly