Compute moments of generalized hyperbolic distributions
The Generalized Inverse Gaussian Distribution
Scaling and Centering of ghyp Objects
mean-vcov-skew-kurt-methods
Expected value, variance-covariance, skewness and kurtosis
of generalized hyperbolic distributions
transform-extract-methods
Linear transformation and extraction of generalized hyperbolic
distributions
mle.ghyp summary
Plot univariate generalized hyperbolic densities
Perform a model selection based on the AIC
Monthly returns of five indices
Histogram for univariate generalized hyperbolic distributions
Class ghyp.attribution
Extract Log-Likelihood and Akaike's Information Criterion
Risk and Performance Measures
Daily returns of five swiss blue chips and the SMI
Portfolio optimization with respect to alternative risk measures
Pairs plot for multivariate generalized hyperbolic distributions
Quantile-Quantile Plot
Likelihood-ratio test
Plot ES contribution
Create generalized hyperbolic distribution objects
Get methods for objects inheriting from class ghyp
Classes ghyp and mle.ghyp
The Generalized Hyperbolic Distribution
Risk attribution.
Fitting generalized hyperbolic distributions to multivariate data
A package on the generalized hyperbolic distribution and its special cases
Internal ghyp functions
Extract parameters of generalized hyperbolic distribution objects
Fitting generalized hyperbolic distributions to univariate data