. The GARCH in Mean model with a Normal Inverse Gaussian distribution seems to be very efficient to fit the log-returns of …

conditional skewness and leptokurtosis using GARCH processes and the Normal Inverse Gaussian distribution. We show how the risk …

inverse Gaussian model. We also verify the confidence interval for the option price. We did not find any improvements of … vanilla call. We consider three distinct underlying processes: geometric Brownian motion, variance gamma model and normal …

. The GARCH in Mean model with a Normal Inverse Gaussian distribution seems to be very efficient to fit the log-returns of …

Parameter estimation for model-based clustering using a finite mixture of normal inverse Gaussian (NIG) distributions …

risk models: the classical Gaussian Merton model and a model based on Normal Inverse Gaussian processes. Using a data set …

the normal inverse Gaussian, Student-t and Laplace distributions. In this paper, we use the GIG distribution in the … generalizes the symmetric normal inverse Gaussian and symmetric generalized hyperbolic distributions. …