Extending the multivariate generalised \(t\) and generalised \(VG\) distributions

DOI10.1016/j.jmva.2009.06.006zbMath1182.62121OpenAlexW2082202280MaRDI QIDQ1041071

Thomas Fung, Eugene Seneta

Publication date: 27 November 2009

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2009.06.006

zbMATH Keywords

dualityvariance-gamma distributionsgeneralized hyperbolic distributionsexponential power distributionsgeneralized t distributions

Mathematics Subject Classification ID

Characterization and structure theory for multivariate probability distributions; copulas (62H05) Probability distributions: general theory (60E05) Applications of hypergeometric functions (33C90)

Related Items

Multivariate subordination using generalised gamma convolutions with applications to variance gamma processes and option pricing ⋮ The generalized T Birnbaum–Saunders family ⋮ Matérn class tensor-valued random fields and beyond ⋮ Multivariate skew-normal generalized hyperbolic distribution and its properties ⋮ A generalized hyperbolic model for a risky asset with dependence ⋮ Hypotheses tests on the skewness parameter in a multivariate generalized hyperbolic distribution ⋮ Inference procedures for the variance gamma model and applications ⋮ Tail Behaviour and Tail Dependence of Generalized Hyperbolic Distributions

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