Article ID Journal Published Year Pages File Type
5129338 Journal of Multivariate Analysis 2017 10 Pages PDF
Abstract

The aim of this study is to unify and extend hyperbolic distributions when scalars are generated from the GGC family. Such distributions play an important role for modeling asset prices. Explicit expressions of multivariate densities are presented in terms of either the Laplace transform or the density of the scalar. When scalars are members of the GGC family, then the representations are articulated with respect to the Thorin measure. Several examples are provided.

Related Topics
Physical Sciences and Engineering Mathematics Numerical Analysis
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