Extract parameters of generalized hyperbolic distribution objects
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 cases
Risk and Performance Measures
Compute moments of generalized hyperbolic distributions
The Generalized Inverse Gaussian Distribution
Histogram for univariate generalized hyperbolic distributions
Monthly returns of five indices
Likelihood-ratio test
Extract Log-Likelihood and Akaike's Information Criterion
Expected value, variance-covariance, skewness and kurtosis of generalized hyperbolic distributions
Pairs plot for multivariate generalized hyperbolic distributions
Plot univariate generalized hyperbolic densities
Portfolio optimization with respect to alternative risk measures
Quantile-Quantile Plot
Scaling and Centering of ghyp Objects
Daily returns of five swiss blue chips and the SMI
Perform a model selection based on the AIC
mle.ghyp summary
Linear transformation and extraction of generalized hyperbolic distributions