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...