The Generalized Hyperbolic Model: Estimation, Financial Derivatives, and Risk Measures

By K. Prause. 1999

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Citations in the corpus

Characteristic Kernels and Infinitely Divisible Distributions (2014, background): “, NIGs, hyperbolic distributions, VG distributions, Laplace distributions, Cauchy distributions, and Student’s t distributions, as special cases and limiting cases (Barndorff-Nielsen and Halgreen, 1977; Prause, 1999; v. Hammerstein, 2010).”
Which Copula is the Right One (2000, methodology): “The IFM method could not be apply to the distribution (21).”
Lévy Processes in Finance: Theory, Numerics, and Empirical Facts (2000, background): “Eberlein and Prause (1998) and Prause (1999) finally study the whole family of generalized hyperbolic Lévy processes.”
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.”
ghyp: A package on generalized hyperbolic distributions (2009, unknown): “In case of the (λ, α, μ,∆, δ,β) parametrization one can define α = αδ and β = βδ (see the appendix of Prause (1999)) to get the invariant density”
Oil price dynamics (2002-2006) (2008, unknown): “The latter is defined as a normal mean-variance distribution mixed by a generalized inverse Gaussian distribution (see Prause, 1999).”
Generalized Hyperbolic Distributions and Brazilian Data (2004, unknown): “We refer to Barndorff-Nielsen (1978) and Prause (1999) for a detailed description.”
Volatility and Quantile Forecasts by Realized Stochastic Volatility Models with Generalized Hyperbolic Distribution (2016, methodology): “The GH distribution has a wider class of distribution but the parameters of the GH distribution are difficult to estimate as pointed out by Prause (1999) and Aas and Haff (2006).”
Maximum likelihood estimation in processes of Ornstein-Uhlenbeck type (2009, background): “Jiang and Pedersen (2003) and Prause (1999) have also addressed this problem in the context of the Barndorff-Nielsen and Shepard model with a superposition of inverse Gaussian-OU processes for the volatility coefficient.”