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06/14/2023
The generalized hyperbolic family and automatic model selection through the multiple-choice LASSO
We revisit the generalized hyperbolic (GH) distribution and its nested m...
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09/26/2022
Asymmetric Laplace scale mixtures for the distribution of cryptocurrency returns
Recent studies about cryptocurrency returns show that its distribution c...
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06/22/2020
The multivariate tail-inflated normal distribution and its application in finance
This paper introduces the multivariate tail-inflated normal (MTIN) distr...
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06/03/2019