Moments of the generalized hyperbolic distribution
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Bibliographic InfoArticle provided by Springer in its journal Computational Statistics.
Volume (Year): 26 (2011)
Issue (Month): 3 (September)
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Web page: http://www.springerlink.com/link.asp?id=120306
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- Mencía, Javier & Sentana, Enrique, 2005.
"Estimation and Testing of Dynamic Models with Generalized Hyperbolic Innovations,"
CEPR Discussion Papers
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- M. C. Jones & M. J. Faddy, 2003. "A skew extension of the "t"-distribution, with applications," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 65(1), pages 159-174.
- Madan, Dilip B & Seneta, Eugene, 1990. "The Variance Gamma (V.G.) Model for Share Market Returns," The Journal of Business, University of Chicago Press, vol. 63(4), pages 511-24, October.
- Trojan, Sebastian, 2013. "Regime Switching Stochastic Volatility with Skew, Fat Tails and Leverage using Returns and Realized Volatility Contemporaneously," Economics Working Paper Series 1341, University of St. Gallen, School of Economics and Political Science.
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