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Overview

ghyp is a package on the Generalized Hyperbolic Distribution and Its Special Cases

Installation

# The easiest way to get ghyp is to install it via the development version from GitHub:
# install.packages("devtools")
devtools::install_github("quantsulting/ghyp", build_vignettes = TRUE)

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Version

Install

install.packages('ghyp')

Monthly Downloads

580

Version

1.6.4

License

GPL (>= 2)

Maintainer

Marc Weibel

Last Published

August 21st, 2023

Functions in ghyp (1.6.4)

ghyp.moment

Compute moments of generalized hyperbolic distributions
gig-distribution

The Generalized Inverse Gaussian Distribution
scale-methods

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
summary-method

mle.ghyp summary
plot-lines-methods

Plot univariate generalized hyperbolic densities
stepAIC.ghyp

Perform a model selection based on the AIC
indices

Monthly returns of five indices
hist-methods

Histogram for univariate generalized hyperbolic distributions
ghyp.attribution-class

Class ghyp.attribution
logLik-AIC-methods

Extract Log-Likelihood and Akaike's Information Criterion
ghyp-risk-performance

Risk and Performance Measures
smi.stocks

Daily returns of five swiss blue chips and the SMI
portfolio.optimize

Portfolio optimization with respect to alternative risk measures
pairs-methods

Pairs plot for multivariate generalized hyperbolic distributions
qq-ghyp

Quantile-Quantile Plot
lik.ratio.test

Likelihood-ratio test
plot.ghyp.attrib

Plot ES contribution
ghyp-constructors

Create generalized hyperbolic distribution objects
ghyp-get

Get methods for objects inheriting from class ghyp
ghyp-mle.ghyp-classes

Classes ghyp and mle.ghyp
ghyp-distribution

The Generalized Hyperbolic Distribution
ESghyp.attribution

Risk attribution.
fit.ghypmv

Fitting generalized hyperbolic distributions to multivariate data
ghyp-package

A package on the generalized hyperbolic distribution and its special cases
ghyp-internal

Internal ghyp functions
coef-method

Extract parameters of generalized hyperbolic distribution objects
fit.ghypuv

Fitting generalized hyperbolic distributions to univariate data