CRAN/E | ghyp

ghyp

Generalized Hyperbolic Distribution and Its Special Cases

Installation

About

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).

Key Metrics

Version 1.6.4
R ≥ 2.7
Published 2023-08-21 221 days ago
Needs compilation? yes
License GPL-2
License GPL-3
CRAN checks ghyp results

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Maintainer

Maintainer

Marc Weibel

marc.weibel@quantsulting.ch

Authors

Marc Weibel
David Luethi
Wolfgang Breymann

Material

README
ChangeLog
Reference manual
Package source

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Generalized Hyperbolic Distribution

macOS

r-release

arm64

r-oldrel

arm64

r-release

x86_64

r-oldrel

x86_64

Windows

r-devel

x86_64

r-release

x86_64

r-oldrel

x86_64

Old Sources

ghyp archive

Depends

R ≥ 2.7
methods
numDeriv
graphics
stats
MASS

Reverse Depends

sharpeRratio

Reverse Imports

fitHeavyTail
MixGHD
StockDistFit
yuimaGUI

Reverse Suggests

ffp