ν -Generalized Hyperbolic Distributions

Lev Klebanov and Svetlozar T. Rachev ()
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Lev Klebanov: Department of Probability and Statistics, MFF, Charles University, 18675 Prague, Czech Republic
Svetlozar T. Rachev: Department of Mathematics and Statistics, Texas Tech University, Lubbock, TX 79409, USA

JRFM, 2023, vol. 16, issue 4, 1-4

Abstract: A new class of probability distributions closely connected to generalized hyperbolic distributions is introduced. It is better adapted for studying the distributions of sums of a random number of random variables. The properties of these distributions are studied. It seems that this class may be useful for modeling asset returns.

Keywords: asset returns modeling; hyperbolic distributions; sums of random variables; random number of summands (search for similar items in EconPapers)
JEL-codes: C E F2 F3 G (search for similar items in EconPapers)
Date: 2023
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