Multivariate generalized hyperbolic distributions represent an attractive family of distributions (with exponentially decreasing tails) for multivariate data modelling. However, in a limited data environment, robust and fast estimation procedures are rare. In this paper we propose an alternative class of multivariate distributions (with exponentially decreasing tails) belonging to affine-linear...

While extensive research has been devoted to univariate quantile regression, this is considerably less the case for multivariate (longitudinal) version, even though there are many potential applications, such as joint examination of growth curves two or more characteristics, body weight and length in infants. Quantile functions easier interpret a population than mean functions. connection betwe...

Financial returns exhibit stylized facts such as leptokurtosis, skewness and heavy-tailness. Regarding this behavior, in this paper, we apply multivariate generalized hyperbolic (mGH) distribution for portfolio modeling and performance evaluation, using conditional value at risk (CVaR) as a risk measure and allocating best weights for portfolio selection. Moreover, a robust portfolio optimizati...

Multivariate generalized hyperbolic distributions represent an attractive family of distributions (with exponentially decreasing tails) for multivariate data modelling. However, in a limited data environment, robust and fast estimation procedures are rare. In this paper we propose an alternative class of multivariate distributions (with exponentially decreasing tails) belonging to affine-linear...

We introduce a mixture of generalized hyperbolic distributions as an alternative to the ubiquitous mixture of Gaussian distributions as well as their near relatives of which the mixture of multivariate t and skew-t distributions are predominant. The mathematical development of our mixture of generalized hyperbolic distributions model relies on its relationship with the generalized inverse Gauss...

this paper examines whether combining generalized hyperbolic skew-t distribution, recently introduced in the field of insurance, and extreme value theory (evt) could result in a modeling of loss function that could model central value as well as extreme value in appropriate manner. the data used in this study are the amount of property damage and bodily injury covered under automobile liability...

Preface The aim of this dissertation is to describe more realistic models for financial assets based on generalized hyperbolic (GH) distributions and their subclasses. Generalized hyperbolic distributions were introduced by Barndorff-Nielsen (1977), and stochastic processes based on these distributions were first applied by Eberlein and Keller (1995) in Finance. Being a normal variance-mean mix...