75733

Автор(ы): 

Автор(ов): 

1

Параметры публикации

Тип публикации: 

Статья в журнале/сборнике

Название: 

The Semi-Hyperbolic Distribution and Its Applications

ISBN/ISSN: 

2571-905X

Наименование источника: 

  • Stats

Обозначение и номер тома: 

Т. 6, вып. 4

Город: 

  • Basel, Switzerland

Издательство: 

  • MDPI

Год издания: 

2023

Страницы: 

1126-1146
Аннотация
This paper studies a subclass of the class of generalized hyperbolic distribution called the semi-hyperbolic distribution. We obtain analytical expressions for the cumulative distribution function and, specifically, their first and second lower partial moments. Using the received formulas, we compute the value at risk, the expected shortfall, and the semivariance in the semi-hyperbolic model of the financial market. The formulas depend on the values of generalized hypergeometric functions and modified Bessel functions of the second kind. The research illustrates the possibility of analysis of generalized hyperbolic models using the same methodology as is employed for the well-established variance-gamma model.

Библиографическая ссылка: 

Иванов Р.В. The Semi-Hyperbolic Distribution and Its Applications // Stats. 2023. Т. 6, вып. 4. С. 1126-1146.