Moments of the generalized hyperbolic distribution
AbstractIn this paper we demonstrate a recursive method for obtaining the moments of the generalized hyperbolic distribution. The method is readily programmable for numerical evaluation of moments. For low order moments we also give an alternative derivation of the moments of the generalized hyperbolic distribution. The expressions given for these moments may be used to obtain moments for special cases such as the hyperbolic and normal inverse Gaussian distributions. Moments for limiting cases such as the skew hyperbolic t and variance gamma distributions can be found using the same approach.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 19081.
Date of creation: 09 Dec 2009
Date of revision:
Generalized hyperbolic distribution; hyperbolic distribution; kurtosis; moments; normal inverse Gaussian distribution; skewed-t distribution; skewness; Student-t distribution.;
Find related papers by JEL classification:
- C16 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Econometric and Statistical Methods; Specific Distributions
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