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CALIBRATION OF MULTIVARIATE GENERALIZED HYPERBOLIC DISTRIBUTIONS USING THE EM ALGORITHM, WITH APPLIC
Company: Florida State University
Company Url: Click here to open
Year Of Publication: 2005
Month Of Publication: November
Pages: 115
Download Count: 6
View Count: 2113
Comment Num: 0
Language: English
Who Can Read: Free
Date: 3-22-2010
Publisher: Administrator
Summary
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 generalizes the familiar Gaussian and Student t distributions, and the
so-called skewed t distributions, among many others.
The primary obstacle to the applications of such distributions is the numerical difficulty
of calibrating the distributional parameters to the data. In this dissertation we describe a
way to stably calibrate GH distributions for a wider range of parameters than has previously
been reported. In particular, we develop a version of the EM algorithm for calibrating GH
distributions. This is a modification of methods proposed in McNeil, Frey, and Embrechts
(2005), and generalizes the algorithm of Protassov (2004). Our algorithm extends the
stability of the calibration pr
Author(s)
Hu, Wenbo Sign in to follow this author
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