Multivariate generalized hyperbolic laws for modeling financial log-returns: empirical and theoretical considerations
type: Item
instance of: scholarly article
title: Multivariate generalized hyperbolic laws for modeling financial log-returns: empirical and theoretical considerations
author: Stergios Fotopoulos
author: Alex Paparas
author: Venkata Jandhyala
published in: Applied Stochastic Models in Business and Industry
publication date: 2024-07-25T00:00:00Z
Mathematics Subject Classification ID: 62-XX
zbMATH DE Number: 7886537
zbMATH Keywords: conditional laws
zbMATH Keywords: kurtosis
zbMATH Keywords: MCECM algorithm
zbMATH Keywords: multivariate generalized hyperbolic distribution
zbMATH Keywords: non-Gaussian
zbMATH Keywords: normal subordination
MaRDI profile type: MaRDI publication profile
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DOI: 10.1002/ASMB.2525
description: scientific article; zbMATH DE number 7886537