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A Comparison of Generalized Hyperbolic Distribution Models for Equity Returns
14 references·1 citing·38 second hop
A Comparison of Generalized Hyperbolic Distribution Models for Equity Returns (2014)A Comparison of Generalized Hyperbolic Di…Quantitative Risk Management (2011)Quantitative Risk ManagementRisk estimation using the multivariate normal inverse Gaussian distribution (2006)Risk estimation using the mul…An analysis of cross-correlations in an emerging market (2006)An analysis of cross-correlat…Generalized Hyperbolic Distributions and Brazilian Data (2004)Generalized Hyperbolic Distri…The Distribution of Stock Returns When the Market Is Up (2003)The Distribution of Stock Ret…Lévy processes in finance pricing financial derivatives (2003)Lévy processes in finance pri…The Variance Gamma Process and Option Pricing (1998)The Variance Gamma Process an…The variation of certain speculative prices (1997)The variation of certain spec…Hyperbolic Distributions in Finance (1995)Hyperbolic Distributions in F…Autoregressive Conditional Density Estimation (1994)Autoregressive Conditional De…Option Pricing With V. G. Martingale Components1 (1991)Option Pricing With V. G. Mar…The Variance Gamma (V.G.) Model for Share Market Returns (1990)The Variance Gamma (V.G.) Mod…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…The Variation of Certain Speculative Prices (1963)The Variation of Certain Spec…Heavy-Tailed Distributions and Risk Management of Equity Market Tail Events (2017)Heavy-Tailed Distributions an…Martingales and stochastic integrals in the theory of continuous trading (1981)Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling (1997)New Insights into Smile, Mispricing, and Value at Risk: The Hyperbolic Model (1998)Copulas for Finance - A Reading Guide and Some Applications (2007)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model (1987)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Modeling and pricing long memory in stock market volatility (1996)The econometrics of financial markets (1996)GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS (2012)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Theory of rational option pricing (2005)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Continuous Martingales and Brownian Motion (1999)Option valuation using the fast Fourier transform (1999)A Jump-Diffusion Model for Option Pricing (2002)Power and Bipower Variation with Stochastic Volatility and Jumps (2004)The Behavior of Stock-Market Prices (1965)Option pricing when underlying stock returns are discontinuous (1976)Lévy Processes in Finance: Theory, Numerics, and Empirical Facts (2000)The cumulant process and Esscher's change of measure (2002)Specification Analysis of Option Pricing Models Based on Time‐Changed Lévy Processes (2004)Modelling Extremal Events (1997)Coherent Measures of Risk (1999)An Introduction to Statistical Modeling of Extreme Values (2001)Is the Potential for International Diversification Disappearing? A Dynamic Copula Approach (2012)Dynamic Conditional Correlation: On Properties and Estimation (2013)The Fine Structure of Asset Returns: An Empirical Investigation (2002)Stochastic Volatility for Lévy Processes (2003)Time-changed Lévy processes and option pricing (2003)A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models (2005)The application of continuous-time random walks in finance and economics (2005)Pricing early-exercise and discrete barrier options by fourier-cosine series expansions (2009)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)
this work references cited by second hop

References

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  • 2006Risk estimation using the multivariate normal inverse Gaussian distribution55 cited
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  • 2003The Distribution of Stock Returns When the Market Is Up35 cited

Cited by

  • 2017Heavy-Tailed Distributions and Risk Management of Equity Market Tail Events23 cited

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