ghyp: Generalized Hyperbolic Distribution and Its Special Cases

Detailed functionality for working with the univariate and multivariate Generalized Hyperbolic distribution and its special cases (Hyperbolic (hyp), Normal Inverse Gaussian (NIG), Variance Gamma (VG), skewed Student-t and Gaussian distribution). Especially, it contains fitting procedures, an AIC-based model selection routine, and functions for the computation of density, quantile, probability, random variates, expected shortfall and some portfolio optimization and plotting routines as well as the likelihood ratio test. In addition, it contains the Generalized Inverse Gaussian distribution. See Chapter 3 of A. J. McNeil, R. Frey, and P. Embrechts. Quantitative risk management: Concepts, techniques and tools. Princeton University Press, Princeton (2005).

Version: 1.6.1
Depends: R (≥ 2.7), methods, numDeriv, graphics, stats, MASS
Published: 2020-05-05
Author: Marc Weibel, David Luethi, Wolfgang Breymann
Maintainer: Marc Weibel <marc.weibel at quantsulting.ch>
License: GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
NeedsCompilation: yes
Materials: README ChangeLog
In views: Distributions, Finance
CRAN checks: ghyp results

Downloads:

Reference manual: ghyp.pdf
Vignettes: Generalized Hyperbolic Distribution
Package source: ghyp_1.6.1.tar.gz
Windows binaries: r-devel: ghyp_1.6.1.zip, r-devel-UCRT: ghyp_1.6.1.zip, r-release: ghyp_1.6.1.zip, r-oldrel: ghyp_1.6.1.zip
macOS binaries: r-release (arm64): ghyp_1.6.1.tgz, r-release (x86_64): ghyp_1.6.1.tgz, r-oldrel: ghyp_1.6.1.tgz
Old sources: ghyp archive

Reverse dependencies:

Reverse depends: sharpeRratio
Reverse imports: BayesLN, MixGHD, ntwk, yuimaGUI
Reverse suggests: ecd

Linking:

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