A Review of Generalized Hyperbolic Distributions

Xiao Jiang (), Saralees Nadarajah () and Thomas Hitchen ()
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Xiao Jiang: University of Manchester
Saralees Nadarajah: University of Manchester
Thomas Hitchen: University of Manchester

Computational Economics, 2024, vol. 64, issue 1, No 22, 595-624

Abstract: Abstract The generalized hyperbolic distributions are fast becoming the most popular models for financial returns. In recent years, many variants of generalized hyperbolic distributions have been proposed in the literature. This paper provides a review of generalized hyperbolic and related distributions, including software available for them. A simulation study and real data applications are presented to compare some of the reviewed distributions.

Keywords: Cumulative distribution function; Moments; Probability density function; Software (search for similar items in EconPapers)
Date: 2024
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DOI: 10.1007/s10614-023-10457-5

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