ghyp: A package on generalized hyperbolic distributions

By Wolfgang Breymann, David Lüthi. 2009

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

1. Almut E. D. Veraart
2. Yu Nishiyama
3. Fred Espen Benth
4. Ole E. Barndorff-Nielsen
5. Kenji Fukumizu
6. Arthur Gretton
7. Krikamol Muandet
8. Le Song

Citations in the corpus

• Characteristic Kernels and Infinitely Divisible Distributions (2014, methodology): “For the GH distribution, there is an R package called ghyp (Breymann and Lüthi, 2013).”
• Modelling energy spot prices by volatility modulated Levy-driven Volterra processes (2013, methodology): “and λ, , γ remain the same, see Breymann and Lüthi [32] for more details.”
• The Variance-Gamma Distribution: A Review (2023, unknown): “In Bee, Dickson and Santi [14], the VarianceGamma package is compared to the ghyp R package of Breymann and Lüthi [16], which implements the more general GH distribution, and to the ECM algorithm that we describe in Section 3.3.”