$\nu$-Generalized Hyperbolic Distributions

TL;DR

This paper introduces a new class of probability distributions related to generalized hyperbolic distributions, designed to better model sums of random variables and potentially useful for financial asset return modeling.

Contribution

The paper presents a novel class of distributions that extend generalized hyperbolic distributions, with properties suited for sums of random variables and applications in finance.

Findings

New distribution class closely related to generalized hyperbolic distributions

Properties of the distributions are systematically studied

Potential application in modeling asset returns

Abstract

A new class of probability distributions closely connected to generalized hyperbolic distributions is introduced. It is more adapted to study the distributions of sums of random number of random variables. The properties of these distributions are studied. It seems, that this class may be useful for asset returns modeling.