Multivariate generalized hyperbolic laws for modeling financial log‐returns: Empirical and theoretical considerations-Reference-Cited by-同舟云学术

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Multivariate generalized hyperbolic laws for modeling financial log‐returns: Empirical and theoretical considerations

Published:2020-03-24 Issue:5 Volume:36 Page:757-775
ISSN:1524-1904
Container-title:Applied Stochastic Models in Business and Industry
language:en
Short-container-title:Appl Stochastic Models Bus Ind

Author:

Fotopoulos Stergios B.¹^ORCID,Paparas Alex¹,Jandhyala Venkata K.²

Affiliation:

1. Department of Finance and Management Science Washington State University Pullman Washington

2. Department of Mathematics and Statistics Washington State University Pullman Washington

Publisher

Wiley

Subject

Management Science and Operations Research,General Business, Management and Accounting,Modelling and Simulation

Link

https://onlinelibrary.wiley.com/doi/pdf/10.1002/asmb.2525

Reference46 articles.

1. New Insights into Smile, Mispricing, and Value at Risk: The Hyperbolic Model

2. Exponentially decreasing distributions for the logarithm of particle size

3. Hyperbolic distributions and distributions of hyperbolae;Barndorff‐Nielsen OE;Scand J Stat,1978

4. Hyperbolic Distributions and Ramifications: Contributions to Theory and Application

5. On mergers of distributions and distributions with exponential tails

Cited by 1 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Density and Risk Prediction with Non-Gaussian COMFORT Models;Annals of Financial Economics;2023-02-09

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