ghyp
Detailed functionality for working with the univariate and multivariate Generalized Hyperbolic distribution and its special cases (Hyperbolic (hyp), Normal Inverse Gaussian (NIG), Variance Gamma (VG), skewed Student-t and Gaussian distribution). Especially, it contains fitting procedures, an AIC-based model selection routine, and functions for the computation of density, quantile, probability, random variates, expected shortfall and some portfolio optimization and plotting routines as well as the likelihood ratio test. In addition, it contains the Generalized Inverse Gaussian distribution. See Chapter 3 of A. J. McNeil, R. Frey, and P. Embrechts. Quantitative risk management: Concepts, techniques and tools. Princeton University Press, Princeton (2005).
- yuimaGUI
- sharpeRratio
- Efficient risk simulations for linear asset portfolios in the t-copula model
- An \texttt{R} package for value at risk and expected shortfall
- A general control variate method for option pricing under Lévy processes
- torch
- ellipticalsymmetry
- StockDistFit
- Objective priors for the number of degrees of freedom of a multivariate t distribution and the t-copula
- Regularizing portfolio risk analysis: a Bayesian approach
- Likelihood-based risk estimation for variance-gamma models
- Some properties of the multivariate generalized hyperbolic laws
- VaR
- An overview of skew distributions in model-based clustering
- Runuran
- Noise inference for ergodic Lévy driven SDE
- Dimension-wise scaled normal mixtures with application to finance and biometry
- A general control variate method for Lévy models in finance
- ECM algorithm for auto-regressive multivariate skewed variance gamma model with unbounded density
- Multivariate radial symmetry of copula functions: finite sample comparison in the i.i.d case
- Optimal bidding of a virtual power plant on the Spanish day-ahead and intraday market for electricity
- FAwR
- Flury
- QRM
- Variance-mean mixture of the multivariate skew normal distribution
- Bessel
- GeneralizedHyperbolic
- VarianceGamma
- On normal variance-mean mixtures
- Multiplying a Gaussian matrix by a Gaussian vector
- Note of clarification on ``Hidden truncation hyperbolic distributions, finite mixtures thereof, and their application for clustering
- AS 287
- Convex bound approximations for sums of random variables under multivariate log-generalized hyperbolic distribution and asymptotic equivalences
- Modelling the impact of wind power production on electricity prices by regime-switching Lévy semistationary processes
- Bayesian conditional mean estimation in log-normal linear regression models with finite quadratic expected loss
- ManlyMix
- MixGHD
- EMMIXskew
- MVN
- ContaminatedMixt
- GUIDE
- Efficient numerical inversion for financial simulations
- VG_codes
- Modelling energy spot prices by volatility modulated Lévy-driven Volterra processes
- smatr
- CreditRisk+
- uskewFactors
- Maximum likelihood estimation of skew-t copulas with its applications to stock returns
- The multivariate tail-inflated normal distribution and its application in finance
- Evaluating Risk Measures Using the Normal Mean-Variance Birnbaum-Saunders Distribution
- Nonlinear regression using order statistics from the multivariate generalized hyperbolic distributions
- Gibbs sampling for mixture quantile regression based on asymmetric Laplace distribution
- Quantifying the impact of different copulas in a generalized CreditRisk\(^+\) framework. An empirical study
- FisherEM
- Random variate generation for the generalized inverse Gaussian distribution
- fitHeavyTail
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