ghyp
swMATH8162CRANghypMaRDI QIDQ20172FDOQ20172
Generalized Hyperbolic Distribution and Its Special Cases
Last update: 21 August 2023
Copyright license: GNU General Public License, version 3.0, GNU General Public License, version 2.0
Software version identifier: 1.6.3, 0.8.3, 0.9.0, 0.9.2, 0.9.3, 1.0.0, 1.1.0, 1.2.0, 1.3.0, 1.4.0, 1.5.0, 1.5.1, 1.5.2, 1.5.3, 1.5.4, 1.5.5, 1.5.6, 1.5.7, 1.5.8, 1.5.9, 1.6.0, 1.6.1, 1.6.2, 1.6.4
Source code repository: https://github.com/cran/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).
Cited In (35)
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- Efficient Numerical Inversion for Financial Simulations
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- MixGHD
- Efficient risk simulations for linear asset portfolios in the \(t\)-copula model
- On normal variance-mean mixtures
- An overview of skew distributions in model-based clustering
- Quantifying the impact of different copulas in a generalized CreditRisk+ framework An empirical study
- Evaluating Risk Measures Using the Normal Mean-Variance Birnbaum-Saunders Distribution
- fitHeavyTail
- Multiplying a Gaussian matrix by a Gaussian vector
- The multivariate tail-inflated normal distribution and its application in finance
- yuimaGUI
- sharpeRratio
- Nonlinear regression using order statistics from the multivariate generalized hyperbolic distributions
- Noise inference for ergodic Lévy driven SDE
- StockDistFit
- Likelihood-based risk estimation for variance-gamma models
- Bayesian conditional mean estimation in log-normal linear regression models with finite quadratic expected loss
- Regularizing portfolio risk analysis: a Bayesian approach
- Multivariate radial symmetry of copula functions: finite sample comparison in the i.i.d case
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