Search Results - subject:"Normal Inverse Gaussian"

An asset protection scheme for banks exposed to troubled loan portfolios

Grosen, Anders; Jessen, Pernille; Kokholm, Thomas - In: Journal of economics and finance 38 (2014) 4, pp. 568-588

Persistent link: https://www.econbiz.de/10011333830

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

Guegan, Dominique; Zhang, Jing - HAL - 2007

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/10010750828

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

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

VarGamma stresstests

Osband, Kent - In: Journal of investment management : JOIM 11 (2013) 2, pp. 92-107

Persistent link: https://www.econbiz.de/10009763897

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

22, C51, C52, C53 Keywords: Finance, Realized Volatility, Realized Quarticity, GARCH, Normal Inverse Gaussian … Gaussian with the more flexible normal inverse Gaussian (NIG) distribution to allow for fat–tailedness and skewness. In … to better point and interval forecasts. Moreover, the additional specification of the normal inverse Gaussian …

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

A normal inverse Gaussian model for a risky asset with dependence

Leonenko, N.N.; Petherick, S.; Sikorskii, A. - In: Statistics & Probability Letters 82 (2012) 1, pp. 109-115

We present a new construction of the normal inverse Gaussian (NIG) fractal activity time model for a risky asset. The …

Persistent link: https://www.econbiz.de/10010582233