Generalized Hyperbolic Distribution and Its Special Cases

Detailed functionality for working with the univariate and multivariate Generalized Hyperbolic distribution and its special cases (Hyperbolic (hyp), Normal Inverse Gaussian (NIG), Variance Gamma (VG), skewed Student-t and Gaussian distribution). Especially, it contains fitting procedures, an AIC-based model selection routine, and functions for the computation of density, quantile, probability, random variates, expected shortfall and some portfolio optimization and plotting routines as well as the likelihood ratio test. In addition, it contains the Generalized Inverse Gaussian distribution. See Chapter 3 of A. J. McNeil, R. Frey, and P. Embrechts. Quantitative risk management: Concepts, techniques and tools. Princeton University Press, Princeton (2005).


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Reference manual

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install.packages("ghyp")

1.5.9 by Damien Challet, 2 months ago


Browse source code at https://github.com/cran/ghyp


Authors: David Luethi , Wolfgang Breymann


Documentation:   PDF Manual  


Task views: Probability Distributions, Empirical Finance


GPL (>= 2) license


Depends on methods, numDeriv, graphics, stats, MASS


Imported by BayesLN, MixGHD, yuimaGUI.

Depended on by sharpeRratio.

Suggested by ecd.


See at CRAN