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A Review of Generalized Hyperbolic Distributions

Author

Listed:
  • Xiao Jiang

    (University of Manchester)

  • Saralees Nadarajah

    (University of Manchester)

  • Thomas Hitchen

    (University of Manchester)

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.

Suggested Citation

  • Xiao Jiang & Saralees Nadarajah & Thomas Hitchen, 2024. "A Review of Generalized Hyperbolic Distributions," Computational Economics, Springer;Society for Computational Economics, vol. 64(1), pages 595-624, July.
    • Handle: RePEc:kap:compec:v:64:y:2024:i:1:d:10.1007_s10614-023-10457-5
    DOI: 10.1007/s10614-023-10457-5
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