Joint modeling for generalized hyperbolic distributions

zbMATH Open1438.62016MaRDI QIDQ4625575FDOQ4625575

Authors: Er'qian Li, Yanke Wu, Maozai Tian 

Publication date: 22 February 2019

Recommendations

• scientific article; zbMATH DE number 1724296
• Some properties of the multivariate generalized hyperbolic laws
• Nonparametric Risk Management With Generalized Hyperbolic Distributions
• Publication:4935943
• A comparison of generalized hyperbolic distribution models for equity returns

zbMATH Keywords

EM algorithmgeneralized hyperbolic distributionsaddle-point approximationjoint modelingparametric quantile regression

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Characterization and structure theory of statistical distributions (62E10)

Cited In (2)

• Fitting Generalized Hyperbolic processes - New insights for generating initial values
• Title not available (Why is that?)

This page was built for publication: Joint modeling for generalized hyperbolic distributions

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4625575)