Hyperbolic Processes in Finance

By Bo Martin Bibby, Michael SØrensen. 2003

155 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/4abf5b6456aeb9e3bdf25bbf32b2bf8852c8dfd2

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Citations in the corpus

Diffusion-type models with given marginal distribution and autocorrelation function (2005, methodology): “For background material and detail about the variance-gamma distribution, the normal-inverse Gaussian distribution, and other generalized hyperbolic distributoins, see e.g. Bibby & Sørensen (2003b).”
Variance-Gamma approximation via Stein's method (2013, background): “j=1 EY 4 j S Tjf (ST [7] j ) ∣∣∣∣ ≤ ‖f ‖ 6n EY 4 ( 3 + EX m )3/4 ,”
Risk bounds for the non-parametric estimation of Lévy processes (2006, background): “For instance, analyzing generalized hyperbolic Lévy processes, the author of [24] notices that the likelihood function is highly flat for a wide range of parameters and good starting values as well as convergence are critical.”
Inference with normal-gamma prior distributions in regression problems (2010, background): “The distribution has proved a popular choice for modelling fat tails in finance (Bibby and Sorensen 2003), and is a member of the generalized hyperbolic The density has exponential tails, but the heaviness of the tail is controlled by λ, which can take any positive value.”
Financial Valuation and Risk Management Working Paper No . 454 CHICAGO : A Fast and Accurate Method for Portfolio Risk Calculation (2008, methodology): “Many different MGARCH models have been considered in the literature, with the common goal of reducing the dimensionality of the most general such model, the VEC(p,q) model of Bollerslev et al. (1988); an excellent overview is given in Bauwens et al.”
The Variance-Gamma Distribution: A Review (2023, unknown): “Alternative parametrisations are given in Bibby and Sørensen [15] and the book of Kotz, Kozubowski and Podgórski [60], in which they refer to the distribution as the generalized (asymmetric) Laplace distribution.”
Non-Gaussian Bayesian Geostatistical Modeling (2006, background): “Bibby and Sørensen (2003) provided a detailed discussion of this distribution (and its uses in financial modeling).”
Nonparametric Risk Management With Generalized Hyperbolic Distributions (2005, background): “(For more details of the parameters’ domains, see Bibby and Sørensen 2001.)”
The Pearson Diffusions: A Class of Statistically Tractable Diffusion Processes (2008, unknown): “Stochastic volatility models where the volatility process is a sum of independent CIR processes (Pearson diffusions with Gamma marginals) were considered by Bollerslev & Zhou (2002) and Bibby & Sørensen (2003).”