Search Results - subject:"Normal-Inverse Gaussian"

Stochastic modeling of wind derivatives with application to the Alberta energy market

Warunasinghe, Sudeesha; Sviščuk, Anatolij - In: Risks : open access journal 12 (2024) 2, pp. 1-26

) and normal inverse Gaussian (NIG) processes, while wind speed and power series will be modeled with an Ornstein …

Persistent link: https://www.econbiz.de/10014497409

Value-at-Risk effectiveness : a high-frequency data approach with semi-heavy tails

Contreras-Valdez, Mario Ivan; Sahu, Sonal; … - In: Risks : open access journal 12 (2024) 3, pp. 1-23

-at-Risk (VaR) for a uniformly weighted portfolio of cryptocurrencies, employing the bivariate Normal Inverse Gaussian distribution … endorsement of the Normal Inverse Gaussian distribution as a potent model for risk measurement, particularly in the domain of high …

Persistent link: https://www.econbiz.de/10014497426

Closed-form option pricing for exponential Lévy models : a residue approach

Aguilar, Jean-Philippe; Kirkby, Justin Lars - In: Quantitative finance 23 (2023) 2, pp. 251-278

Persistent link: https://www.econbiz.de/10014232627

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

Modelling the volatility of Bitcoin returns using GARCH models

Gyamerah, Samuel Asante - In: Quantitative finance and economics 3 (2019) 4, pp. 739-753

Persistent link: https://www.econbiz.de/10012176663

Gram-Charlier methods, regime-switching and stochastic volatility in exponential Lévy models

Asmussen, Søren; Bladt, Mogens - In: Quantitative finance 22 (2022) 4, pp. 675-689

Persistent link: https://www.econbiz.de/10013367850

Predicting VaR for China's stock market : a score-driven model based on normal inverse Gaussian distribution

Song, Shijia; Li, Handong - In: International review of financial analysis 82 (2022), pp. 1-20

Persistent link: https://www.econbiz.de/10013426497

Stochastic modeling of wind derivatives in energy markets

Benth, Fred Espen; Di Persio, Luca; Lavagnini, Silvia - In: Risks 6 (2018) 2, pp. 1-21

We model the logarithm of the spot price of electricity with a normal inverse Gaussian (NIG) process and the wind speed …

Persistent link: https://www.econbiz.de/10011996614

Stochastic modeling of wind derivatives in energy markets

Benth, Fred Espen; Di Persio, Luca; Lavagnini, Silvia - In: Risks : open access journal 6 (2018) 2, pp. 1-21

We model the logarithm of the spot price of electricity with a normal inverse Gaussian (NIG) process and the wind speed …

Persistent link: https://www.econbiz.de/10011867386

Explicit option valuation in the exponential NIG model

Aguilar, Jean-Philippe - In: Quantitative finance 21 (2021) 8, pp. 1281-1299

Persistent link: https://www.econbiz.de/10012608646

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