Generalized Hyperbolic Distribution and Its Special Cases
Portfolio optimization with respect to alternative risk measures
Extract parameters of generalized hyperbolic distribution objects
Risk attribution.
Fitting generalized hyperbolic distributions to multivariate data
Fitting generalized hyperbolic distributions to univariate data
Create generalized hyperbolic distribution objects
The Generalized Hyperbolic Distribution
Get methods for objects inheriting from class ghyp
Internal ghyp functions
Classes ghyp and mle.ghyp
A package on the generalized hyperbolic distribution and its special c...
Risk and Performance Measures
Class ghyp.attribution
Compute moments of generalized hyperbolic distributions
The Generalized Inverse Gaussian Distribution
Histogram for univariate generalized hyperbolic distributions
Likelihood-ratio test
Extract Log-Likelihood and Akaike's Information Criterion
Expected value, variance-covariance, skewness and kurtosis of generali...
Pairs plot for multivariate generalized hyperbolic distributions
Plot ES contribution
Plot univariate generalized hyperbolic densities
Quantile-Quantile Plot
Scaling and Centering of ghyp Objects
Perform a model selection based on the AIC
mle.ghyp summary
Linear transformation and extraction of generalized hyperbolic distrib...
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).