Nonparametric Risk Management With Generalized Hyperbolic Distributions

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Frontiers in VaR forecasting and backtesting (2016, methodology): “Chen et al. (2008) propose estimating the local volatility adaptively and to model the standardized returns using the Generalyzed Hyperbolic distribution.”
Distributional Tests in Multivariate Dynamic Models with Normal and Student-t Innovations (2009, background): “In addition, it includes other well-known and empirically relevant special cases, such as symmetric and asymmetric versions of the hyperbolic (Chen et al., 2008), normal gamma (Madan & Milne, 1991), normal inverse Gaussian (Aas et al., 2005), and Laplace distributions (Cajigas & Urga, 2007).1 We…”
Multivariate Location-Scale Mixtures of Normals and Mean-Variance-Skewness Portfolio Allocation (2009, background): “…distribution in turn includes other well known and empirically relevant special cases, such as symmetric and asymmetric versions of the Hyperbolic (Chen, Härdle, and Jeong, 2008), Normal Gamma (Madan 1 AC C EP TE D M AN U SC R IP T and Milne, 1991), Normal Inverse Gaussian (Aas, Dimakos, and…”