Add to ORKGIn this Demonstration we visualize the probability density function of the hyperbolic distribution, which has parameters μ (location), α (tail), β (asymmetry), and δ (scale). These are all real-valued, with the additional constraint that α>|β|. This distribution has "semi-heavy" tails and has appeared in a diverse range of applications, including models of asset returns in financial markets and sand pile formation. The word "hyperbolic" is used because the log of its probability density function is a hyperbola; this can be seen by clicking the "log scale" checkbox.Componente Curricular::Educação Superior::Ciências Exatas e da Terra::Matemátic
An important empirical fact in financial market is that return distributions are often skewed and he...
An important empirical fact in financial market is that return distributions are often skewed and he...
Orientador: Filidor Edilfonso Vilca LabraDissertação (mestrado) - Universidade Estadual de Campinas,...
This Demonstration shows the probability density function of the generalized hyperbolic distribution...
This Demonstration shows the probability density function of the generalized hyperbolic distribution...
Distributions that have tails heavier than the normal distribution are ubiquitous in finance. For pu...
In this Demonstration we visualize the probability density function of the variance-gamma distributi...
Risk management and asset pricing benefit from simple functional descriptions of the distribution of...
Distributional assumptions for the returns on the underlying assets play a key role in valuation the...
An important empirical fact in financial market is that return distributions are often skewed and he...
In this article we argue for a special case of the generalized hyperbolic (GH) family that we denote...
This Demonstration allows you to estimate the area under the tails of the normal distribution curve....
This Demonstration allows you to estimate the area under the tails of the normal distribution curve....
An important empirical fact in financial market is that return distributions are often skewed and he...
We analyse the Generalised Hyperbolic distribution as a model for fat tails and asymmetries in multi...
An important empirical fact in financial market is that return distributions are often skewed and he...
An important empirical fact in financial market is that return distributions are often skewed and he...
Orientador: Filidor Edilfonso Vilca LabraDissertação (mestrado) - Universidade Estadual de Campinas,...
This Demonstration shows the probability density function of the generalized hyperbolic distribution...
This Demonstration shows the probability density function of the generalized hyperbolic distribution...
Distributions that have tails heavier than the normal distribution are ubiquitous in finance. For pu...
In this Demonstration we visualize the probability density function of the variance-gamma distributi...
Risk management and asset pricing benefit from simple functional descriptions of the distribution of...
Distributional assumptions for the returns on the underlying assets play a key role in valuation the...
An important empirical fact in financial market is that return distributions are often skewed and he...
In this article we argue for a special case of the generalized hyperbolic (GH) family that we denote...
This Demonstration allows you to estimate the area under the tails of the normal distribution curve....
This Demonstration allows you to estimate the area under the tails of the normal distribution curve....
An important empirical fact in financial market is that return distributions are often skewed and he...
We analyse the Generalised Hyperbolic distribution as a model for fat tails and asymmetries in multi...
An important empirical fact in financial market is that return distributions are often skewed and he...
An important empirical fact in financial market is that return distributions are often skewed and he...
Orientador: Filidor Edilfonso Vilca LabraDissertação (mestrado) - Universidade Estadual de Campinas,...