Calibration of Multivariate Generalized Hyperbolic Distributions Using the EM Algorithm, with Applications in Risk Management, Portfolio Optimization and Portfolio Credit Risk
The distributions of many financial quantities are well-known to have heavy tails, exhibit skewness, and have other non-Gaussian characteristics. In this dissertation we study an especially promising family: the multivariate generalized hyperbolic distributions (GH). This family includes and general...
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| Format: | Others |
| Language: | English English |
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Florida State University
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| Online Access: | http://purl.flvc.org/fsu/fd/FSU_migr_etd-3694 |