Bayesian estimation of NIG-parameters by Markov Chain Monte Carlo Methods

The Normal Inverse Gaussian (NIG) distribution recently introduced by Barndorff-Nielsen (1997) is a promising alternative for modelling financial data exhibiting skewness and fat tails. In this paper we explore the Bayesian estimation of NIG-parameters by Markov Chain Monte Carlo Methods.

MoreLess

Year of publication:	2000
Authors:	Lillestøl, Jostein
Institutions:	Sonderforschungsbereich 373, Quantifikation und Simulation ökonomischer Prozesse, Wirtschaftswissenschaftliche Fakultät
Subject:	Normal Inverse Gaussian distribution \| Bayesian Analysis \| Markov Chain Monte Carlo

More details

Extent:	application/pdf
Series:	SFB 373 Discussion Papers.
Type of publication:	Book / Working Paper
Notes:	Number 2000,112
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010983473