A Comparison of Generalized Hyperbolic Distribution Models for Equity Returns
We discuss the calibration of the univariate and multivariate generalized hyperbolic distributions, as well as their hyperbolic, variance gamma, normal inverse Gaussian, and skew Student’s t-distribution subclasses for the daily log-returns of seven of the most liquid mining stocks listed on the Joh...
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| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Wiley
2014-01-01
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| Series: | Journal of Applied Mathematics |
| Online Access: | http://dx.doi.org/10.1155/2014/263465 |
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