R package ghyp: A package on the generalized hyperbolic distribution and its special cases. This package provides 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.
Keywords for this software
References in zbMATH (referenced in 10 articles )
Showing results 1 to 10 of 10.
- Mattei, Pierre-Alexandre: Multiplying a Gaussian matrix by a Gaussian vector (2017)
- Yu, Yaming: On normal variance-mean mixtures (2017)
- Chan, Stephen; Nadarajah, Saralees; Afuecheta, Emmanuel: An R package for value at risk and expected shortfall (2016)
- Veraart, Almut E.D.: Modelling the impact of wind power production on electricity prices by regime-switching Lévy semistationary processes (2016)
- Arslan, Olcay: Variance-mean mixture of the multivariate skew normal distribution (2015)
- Devroye, Luc: Random variate generation for the generalized inverse Gaussian distribution (2014)
- Barndorff-Nielsen, Ole E.; Benth, Fred Espen; Veraart, Almut E.D.: Modelling energy spot prices by volatility modulated Lévy-driven Volterra processes (2013)
- Dingeç, Kemal Dinçer; Hörmann, Wolfgang: A general control variate method for option pricing under Lévy processes (2012)
- Sak, Halis; Hörmann, Wolfgang; Leydold, Josef: Efficient risk simulations for linear asset portfolios in the $t$-copula model (2010)
- Derflinger, Gerhard; Hörmann, Wolfgang; Leydold, Josef; Sak, Halis: Efficient numerical inversion for financial simulations (2009)