Generalized Hyperbolic Distribution and Its Special Cases R package ghyp version 1.6.5 CRAN Task View: Distributions (https://CRAN.R-project.org/view=Distributions) CRAN Task View: Finance (https://CRAN.R-project.org/view=Finance) 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). Software Depends: R(>= 2.7), methods, numDeriv, graphics, stats, MASS Marc Weibel <marc.weibel@quantsulting.ch> Comprehensive R Archive Network (CRAN) Marc Weibel [aut, cre], David Luethi [aut], Henriette-Elise Breymann [aut] GPL (>= 2) 2024-08-26 application/tgz https://CRAN.R-project.org/package=ghyp doi:10.32614/CRAN.package.ghyp