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ν -Generalized Hyperbolic Distributions

Author

Listed:
  • Lev Klebanov

    (Department of Probability and Statistics, MFF, Charles University, 18675 Prague, Czech Republic
    Massaryk Institute ČVUT, 18690 Prague, Czech Republic
    These authors contributed equally to this work.)

  • Svetlozar T. Rachev

    (Department of Mathematics and Statistics, Texas Tech University, Lubbock, TX 79409, USA
    These authors contributed equally to this work.)

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.

Suggested Citation

  • Lev Klebanov & Svetlozar T. Rachev, 2023. "ν -Generalized Hyperbolic Distributions," JRFM, MDPI, vol. 16(4), pages 1-4, April.
    • Handle: RePEc:gam:jjrfmx:v:16:y:2023:i:4:p:251-:d:1128444
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