Package: ghyp 1.6.5
ghyp: Generalized Hyperbolic Distribution and Its Special Cases
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 Student-t and Gaussian distribution). Especially, it contains fitting procedures, an AIC-based 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).
Authors:
ghyp_1.6.5.tar.gz
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ghyp.pdf |ghyp.html✨
ghyp/json (API)
# Install 'ghyp' in R: |
install.packages('ghyp', repos = c('https://quantsulting.r-universe.dev', 'https://cloud.r-project.org')) |
- indices - Monthly returns of five indices
- smi.stocks - Daily returns of five swiss blue chips and the SMI
This package does not link to any Github/Gitlab/R-forge repository. No issue tracker or development information is available.
Last updated 3 months agofrom:449d65c62a. Checks:OK: 9. Indexed: yes.
Target | Result | Date |
---|---|---|
Doc / Vignettes | OK | Oct 26 2024 |
R-4.5-win-x86_64 | OK | Oct 26 2024 |
R-4.5-linux-x86_64 | OK | Oct 26 2024 |
R-4.4-win-x86_64 | OK | Oct 26 2024 |
R-4.4-mac-x86_64 | OK | Oct 26 2024 |
R-4.4-mac-aarch64 | OK | Oct 26 2024 |
R-4.3-win-x86_64 | OK | Oct 26 2024 |
R-4.3-mac-x86_64 | OK | Oct 26 2024 |
R-4.3-mac-aarch64 | OK | Oct 26 2024 |
Exports:AICcoefcoefficientscontributiondghypdgigEgigESghypESghyp.attributionESgigfit.gaussmvfit.gaussuvfit.ghypmvfit.ghypuvfit.hypmvfit.hypuvfit.NIGmvfit.NIGuvfit.tmvfit.tuvfit.VGmvfit.VGuvgaussghypghyp.adghyp.dataghyp.dimghyp.fit.infoghyp.kurtosisghyp.momentghyp.nameghyp.omegaghyp.skewnesshisthyphyp.adlik.ratio.testlineslogLikmeanNIGNIG.adpairspghyppgigplotportfolio.optimizeqghypqgigqqghyprghyprgigscalesensitivityshowstepAIC.ghypstudent.tstudent.t.adsummarytransformvcovVGVG.adweights