Multivariate generalized hyperbolic laws for modeling financial log-returns: empirical and theoretical considerations

DOI10.1002/ASMB.2525MaRDI QIDQ6578138zbMATH OpenFDO

Authors Stergios Fotopoulos, Alex Paparas, Venkata Jandhyala

Publication date 25 July 2024

Published in Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/ASMB.2525

zbMATH Keywords

conditional lawskurtosisMCECM algorithmmultivariate generalized hyperbolic distributionnon-Gaussiannormal subordination

Mathematics Subject Classification ID

Statistics (62-XX)

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