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  • Search: subject:"bivariate simulation"
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Financial returns 1 NIG distribution 1 bivariate distribution 1 bivariate simulation 1 inverse Gaussian distribution 1 mixture representation 1
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Book / Working Paper 1
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Lillestøl, Jostein 1
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Institutt for foretaksøkonomi, Norges Handelshøyskole (NHH) 1
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Discussion Papers / Institutt for foretaksøkonomi, Norges Handelshøyskole (NHH) 1
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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...
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