Convolution-invariant subclasses of generalized hyperbolic distributions

DOI10.1080/03610926.2013.821489MaRDI QIDQ2807659zbMATH OpenOpenAlexWikidataFDO

Authors Krzysztof Podgórski, Jonas Wallin

Publication date 25 May 2016

Published in Communications in Statistics. Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610926.2013.821489

zbMATH Keywords

variance-mean normal mixturegeneralized inverse Gaussian distributioninverse gamma distributionBessel function distributiongeneralized asymmetric Laplace distributiongamma variance normal mixture

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Characteristic functions; other transforms (60E10)

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Cites work

• scientific article; zbMATH DE number 1614382 (Why is no real title available?)
• scientific article; zbMATH DE number 3680911 (Why is no real title available?)
• Generalized hyperbolic distributions: Theory and applications to CDO pricing.
• Hyperbolic distributions in finance

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(3)

• scientific article; zbMATH DE number 1457596 (Why is no real title available?)
• Geostatistical modelling using non-Gaussian Matérn fields
• scientific article; zbMATH DE number 524366 (Why is no real title available?)

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