A comparison of generalized hyperbolic distribution models for equity returns

DOI10.1155/2014/263465zbMath1437.62380OpenAlexW2012966833WikidataQ59050561 ScholiaQ59050561MaRDI QIDQ2336270

Virginie Konlack Socgnia, Diane L. Wilcox

Publication date: 19 November 2019

Published in: Journal of Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2014/263465

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (1)

Evaluating Risk Measures Using the Normal Mean-Variance Birnbaum-Saunders Distribution

Uses Software

• QRM

Cites Work

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• The Pricing of Options and Corporate Liabilities
• Hyperbolic distributions in finance
• SERIAL CORRELATION, PERIODICITY AND SCALING OF EIGENMODES IN AN EMERGING MARKET
• The Two-Dimensional Hyperbolic Distribution and Related Distributions, with an Application to Johannsen's Bean Data
• Autoregressive Conditional Density Estimation
• Option Pricing With V. G. Martingale Components¹
• The Distribution of Stock Returns When the Market Is Up
• Efficient and robust portfolio optimization in the multivariate Generalized Hyperbolic framework
• The Variance Gamma Process and Option Pricing
• Skewed Normal Variance‐Mean Models for Asset Pricing and the Method of Moments

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