ν-Generalized Hyperbolic Distributions-Reference-Cited by-同舟云学术

ν-Generalized Hyperbolic Distributions

Published:2023-04-20 Issue:4 Volume:16 Page:251
ISSN:1911-8074
Container-title:Journal of Risk and Financial Management
language:en
Short-container-title:JRFM

Author:

Klebanov Lev¹²,Rachev Svetlozar T.³^ORCID

Affiliation:

1. Department of Probability and Statistics, MFF, Charles University, 18675 Prague, Czech Republic

2. Massaryk Institute ČVUT, Prague 18690, Czech Republic 3 Department of Mathematics and Statistics, Texas Tech University, Lubbock, TX 79409, USA

3. Department of Mathematics and Statistics, Texas Tech University, Lubbock, TX 79409, USA

Abstract

A new class of probability distributions closely connected to generalized hyperbolic distributions is introduced. It is better adapted for studying the distributions of sums of a random number of random variables. The properties of these distributions are studied. It seems that this class may be useful for modeling asset returns.

Publisher

MDPI AG

Subject

Finance,Economics and Econometrics,Accounting,Business, Management and Accounting (miscellaneous)

Link

https://www.mdpi.com/1911-8074/16/4/251/pdf

Reference9 articles.

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4. Gentle, James E., Härdle, Wolfgang Karl, and Mori, Yuichi (2012). Handbook of Computational Statistics, Springer. Concepts and Methods. Second Revised and Updated Edition.

5. Sums of a random number of random variables an their approximations with ν-accompanying infinitely divisible laws;Klebanov;Serdica Mathematical Journal,1996

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