Detailed functionality for working with the univariate and multivariate Generalized Hyperbolic distribution and its special cases (Hyperbolic (hyp), Normal Inverse Gaussian (NIG), Variance Gamma (VG), skewed Studentt and Gaussian distribution). Especially, it contains fitting procedures, an AICbased model selection routine, and functions for the computation of density, quantile, probability, random variates, expected shortfall and some portfolio optimization and plotting routines as well as the likelihood ratio test. In addition, it contains the Generalized Inverse Gaussian distribution. See Chapter 3 of A. J. McNeil, R. Frey, and P. Embrechts. Quantitative risk management: Concepts, techniques and tools. Princeton University Press, Princeton (2005).
Package details 


Author  Marc Weibel, David Luethi, Wolfgang Breymann 
Maintainer  Marc Weibel <marc.weibel@quantsulting.ch> 
License  GPL (>= 2) 
Version  1.6.1 
Package repository  View on CRAN 
Installation 
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