Search Results - subject:"Inverse Gaussian distribution"

Some new bivariate IG and NIG-distributions for modelling covariate nancial returns

Lillestøl, Jostein - Institutt for foretaksøkonomi, Norges Handelshøyskole … - 2007

The univariate Normal Inverse Gaussian (NIG) distribution is found useful for modelling financial return data exhibiting skewness and fat tails. Multivariate versions exists, but may be impractical to implement in finance. This work explores some possibilities with links to the mixing...

Persistent link: https://www.econbiz.de/10005190565

Prospect Theory and Higher Moments

Ågren, Martin - Nationalekonomiska Institutionen, Uppsala Universitet - 2006

, assuming returns are normal inverse Gaussian distributed. The normal inverse Gaussian distribution parametrizes the first- to … normal inverse Gaussian distribution. …

Persistent link: https://www.econbiz.de/10005771029

Prospect Theory and Higher Moments

Ågren, Martin - 2006

, assuming returns are normal inverse Gaussian distributed. The normal inverse Gaussian distribution parametrizes the first- to … normal inverse Gaussian distribution. …

Persistent link: https://www.econbiz.de/10010321576

Comparison of Lower Bounds for the Variance of Unbiased Estimators for some Well-known Families of Distributions

Nayeban S.; Rezaei Roknabadi A. H.; Mohtashami … - In: Economic Quality Control 28 (2013) 2, pp. 7-7

One of the most fundamental issues in estimation theory about accuracy of an unbiased estimator is computing or approximating its variance. Very often, the variance has a complicated form or cannot be computed explicitly. In this paper, we consider two well-known lower bounds for the variance of...

Persistent link: https://www.econbiz.de/10011015840

The volatility of realized volatility

Corsi, Fulvio; Kretschmer, Uta; Mittnik, Stefan; … - 2005

Using unobservable conditional variance as measure, latent-variable approaches, such as GARCH and stochastic-volatility models, have traditionally been dominating the empirical finance literature. In recent years, with the availability of high-frequency financial market data modeling realized...

Persistent link: https://www.econbiz.de/10010298315

The volatility of realized volatility

Corsi, Fulvio; Kretschmer, Uta; Mittnik, Stefan; … - Center for Financial Studies - 2005

Using unobservable conditional variance as measure, latentvariable approaches, such as GARCH and stochasticvolatility models, have traditionally been dominating the empirical finance literature. In recent years, with the availability of highfrequency financial market data modeling realized...

Persistent link: https://www.econbiz.de/10010986437

The Volatility of Realized Volatility

Corsi, Fulvio; Kretschmer, Uta; Mittnik, Stefan; … - Center for Financial Studies - 2005

for non–Gaussian innovations and, instead, suggest the use of the more flexible normal inverse Gaussian distribution …22, C51, C52, C53 Keywords: Finance, Realized Volatility, Realized Quarticity, GARCH, Normal Inverse Gaussian … to better point and interval forecasts. Moreover, the additional specification of the normal inverse Gaussian …

Persistent link: https://www.econbiz.de/10005138845

Variable selection for joint mean and dispersion models of the inverse Gaussian distribution

Wu, Liucang; Li, Huiqiong - In: Metrika 75 (2012) 6, pp. 795-808

inverse Gaussian distribution is one of the basic models for describing positively skewed data which arise in a variety of … and dispersion models of the inverse Gaussian distribution. We propose a unified procedure which can simultaneously select …

Persistent link: https://www.econbiz.de/10010896499

Winding planar probabilities

Misiewicz, Jolanta; Wesołowski, Jacek - In: Metrika 75 (2012) 4, pp. 507-519

Persistent link: https://www.econbiz.de/10010995140

Relationships between distributions with certain symmetries

Jones, M.C. - In: Statistics & Probability Letters 82 (2012) 9, pp. 1737-1744

The genesis of two-way links between the inverse Gaussian and Birnbaum–Saunders distributions is explored and extended. The most general results apply to pairs of distributions with a general ‘S-symmetry’ structure involving a self-inverse function closely related to a transformation...

Persistent link: https://www.econbiz.de/10010597148