ν-Generalized Hyperbolic Distributions

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.

Description

© 2023 by the authors. cc-by

Keywords

asset returns modeling, hyperbolic distributions, random number of summands, sums of random variables

Citation

Klebanov, L., & Rachev, S.T.. 2023. ν-Generalized Hyperbolic Distributions. Journal of Risk and Financial Management, 16(4). https://doi.org/10.3390/jrfm16040251

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