Discriminating between the normal inverse Gaussian and generalized hyperbolic skew-t distributions with a follow-up the stock exchange data
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چکیده
منابع مشابه
Absolute Moments of Generalized Hyperbolic Distributions and Approximate Scaling of Normal Inverse Gaussian Lévy-Processes
Expressions for (absolute) moments of generalized hyperbolic and normal inverse Gaussian (NIG) laws are given in terms of moments of the corresponding symmetric laws. For the (absolute) moments centred at the location parameter l explicit expressions as series containing Bessel functions are provided. Furthermore, the derivatives of the logarithms of absolute l-centred moments with respect to t...
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ژورنال
عنوان ژورنال: YUJOR
سال: 2018
ISSN: 0354-0243,1820-743X
DOI: 10.2298/yjor170815013p