EconPapers    
Economics at your fingertips  
 

Moments of the generalized hyperbolic distribution

David J Scott, Diethelm Würtz, Christine Dong and Thanh Tam Tran
Authors registered in the RePEc Author Service: Diethelm Wuertz

MPRA Paper from University Library of Munich, Germany

Abstract: In this paper we demonstrate a recursive method for obtaining the moments of the generalized hyperbolic distribution. The method is readily programmable for numerical evaluation of moments. For low order moments we also give an alternative derivation of the moments of the generalized hyperbolic distribution. The expressions given for these moments may be used to obtain moments for special cases such as the hyperbolic and normal inverse Gaussian distributions. Moments for limiting cases such as the skew hyperbolic t and variance gamma distributions can be found using the same approach.

Keywords: Generalized hyperbolic distribution; hyperbolic distribution; kurtosis; moments; normal inverse Gaussian distribution; skewed-t distribution; skewness; Student-t distribution. (search for similar items in EconPapers)
JEL-codes: C16 (search for similar items in EconPapers)
Date: 2009-12-09
New Economics Papers: this item is included in nep-ecm
References: View complete reference list from CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed

Downloads: (external link)
https://mpra.ub.uni-muenchen.de/19081/1/MPRA_paper_19081.pdf original version (application/pdf)

Related works:
Journal Article: Moments of the generalized hyperbolic distribution (2011) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:19081

Access Statistics for this paper

More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().

 
Page updated 2021-09-23
Handle: RePEc:pra:mprapa:19081