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Generalized Hyperbolic Distributions and Brazilian Data [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.
Aquiles Farias, José Fajardo
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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
openaire +4 more sources
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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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
core +2 more sources
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
doaj +2 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
doaj +4 more sources
Analytical wave solutions in thermoelastic media with temperature-dependent properties via IMETF method [PDF]
Scientific ReportsThis study delivers an in-depth analytical investigation of exact wave solutions derived within the context of the Three-Phase-Lag (3PHL) generalized thermoelasticity model, explicitly incorporating the temperature dependence of material properties.
Mohamed F. Ismail +5 more
doaj +2 more sources
Flexible Clustering with a Sparse Mixture of Generalized Hyperbolic Distributions
Journal of Classification, 2019 Robust clustering of high-dimensional data is an important topic because, in many practical situations, real data sets are heavy-tailed and/or asymmetric.
Gallaugher, Michael P. B. +2 more
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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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On the Kaniadakis Distributions Applied in Statistical Physics and Natural Sciences
Entropy, 2023 Constitutive relations are fundamental and essential to characterize physical systems. By utilizing the κ-deformed functions, some constitutive relations are generalized.
Tatsuaki Wada, Antonio Maria Scarfone
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