Symmetric Gaussian mixture distributions with GGC scales

Stergios Fotopoulos ()

Journal of Multivariate Analysis, 2017, vol. 160, issue C, 185-194

Abstract: The aim of this study is to unify and extend hyperbolic distributions when scalars are generated from the GGC family. Such distributions play an important role for modeling asset prices. Explicit expressions of multivariate densities are presented in terms of either the Laplace transform or the density of the scalar. When scalars are members of the GGC family, then the representations are articulated with respect to the Thorin measure. Several examples are provided.

Keywords: Conditional densities; Dirichlet distributions; Generalized inverse Gaussian variables; Laplace transform; Spherical vectors; Subordinators (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jmvana:v:160:y:2017:i:c:p:185-194

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DOI: 10.1016/j.jmva.2017.06.007

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