Search Results - subject:"NIG distribution"

Generalized hyperbolic distribution and portfolio efficiency in energy and stock markets of BRIC countries

Núñez-Mora, José Antonio; Sánchez-Ruenes, Eduardo - In: International Journal of Financial Studies 8 (2020) 4, pp. 1-14

the BRIC countries modeled under a Normal Inverse Gaussian (NIG) distribution, which is a notable member of the …

Persistent link: https://www.econbiz.de/10013200313

Generalized hyperbolic distribution and portfolio efficiency in energy and stock markets of BRIC countries

Núñez-Mora, José Antonio; Sánchez-Ruenes, Eduardo - In: International Journal of Financial Studies : open … 8 (2020) 4/66, pp. 1-14

the BRIC countries modeled under a Normal Inverse Gaussian (NIG) distribution, which is a notable member of the …

Persistent link: https://www.econbiz.de/10012321133

VaR and CVaR estimates in BRIC's oil sector : a normal inverse Gaussian distribution approach

Ruenes, Sánchez; Núñez Mora, José Antonio; Mota … - In: Economía teoría y práctica 28 (2020) 52, pp. 207-236

Persistent link: https://www.econbiz.de/10012617869

Idiosyncratic Risk and Higher-Order Cumulants

Lundtofte, Frederik; Wilhelmsson, Anders - 2011

We show that, when allowing for general distributions of dividend growth in a Lucas economy with multiple "trees," idiosyncratic volatility will affect expected returns in ways that are not captured by the log linear approximation. We derive an exact expression for the risk premia for general...

Persistent link: https://www.econbiz.de/10013208593

Pricing bivariate option under GARCH-GH model with dynamic copula: application for Chinese market

Guegan, Dominique; Zhang, Jing - HAL - 2009

This paper develops the method for pricing bivariate contingent claims under General Autoregressive Conditionally Heteroskedastic (GARCH) process. In order to provide a general framework being able to accommodate skewness, leptokurtosis, fat tails as well as the time varying volatility that are...

Persistent link: https://www.econbiz.de/10010738494

Pricing bivariate option under GARCH-GH model with dynamic copula : application for Chinese market

Guegan, Dominique; Zhang, Jing - HAL - 2007

Persistent link: https://www.econbiz.de/10010750828

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 … explores some possibilities with links to the mixing representation of the NIG distribution by the IG-distribution. We present … two approaches for constructing bivariate NIG distribution that take advantage of the correlation between the univariate …

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

Pricing bivariate option under GARCH-GH model with dynamic copula : application for Chinese market.

Guégan, Dominique; Zhang, Jing - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2007

Persistent link: https://www.econbiz.de/10005670883

Hedging tranches index products : illustration of model dependency

Guegan, Dominique; Houdain, Julien - HAL - 2006

In this paper, index tranches'properties and several hedging strategies are discussed. Model risk and correlation risk are analysed through the study of the efficiency of several factor based copula models, like the Gaussian, the double-t and the double NIG using implied correlation and a...

Persistent link: https://www.econbiz.de/10010750784