Moments of the generalized hyperbolic distribution
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Volume (Year): 26 (2011)
Issue (Month): 3 (September)
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- Mencía, Javier & Sentana, Enrique, 2005.
"Estimation and Testing of Dynamic Models with Generalized Hyperbolic Innovations,"
CEPR Discussion Papers
5177, C.E.P.R. Discussion Papers.
- Javier F. Mencia & Enrique Sentana, 2004. "Estimation and testing of dynamic models with generalised hyperbolic innovations," LSE Research Online Documents on Economics 24742, London School of Economics and Political Science, LSE Library.
- Enrique Sentana, 2004. "Estimation and Testing of Dynamic Models with Generalised Hyperbolic Innovations," FMG Discussion Papers dp502, Financial Markets Group.
- Francisco Javier Mencía & Enrique Sentana, 2004. "Estimation And Testing Of Dynamic Models With Generalised Hyperbolic Innovations," Working Papers wp2004_0411, CEMFI.
- Ole E. Barndorff-Nielsen & Karsten Prause, 2001. "Apparent scaling," Finance and Stochastics, Springer, vol. 5(1), pages 103-113.
- 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.
- O. Barndorff-Nielsen & P. Blæsild & J. Schmiegel, 2004. "A parsimonious and universal description of turbulent velocity increments," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 41(3), pages 345-363, October.
- Ole E. Barndorff-Nielsen & Neil Shephard, 2001. "Normal modified stable processes," Economics Papers 2001-W6, Economics Group, Nuffield College, University of Oxford.
- 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.
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