Search Results - subject:"normal inverse Gaussian"

Modeling sustainable development of cryptocurrencies by a fractional pure-jump process in DEA framework

Modarresi, Navideh; Darvishi, Moshtagh; Banihashemi, … - 2025

Persistent link: https://www.econbiz.de/10015407067

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

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

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

On skewed, leptokurtic returns and pentanomial lattice option valuation via minimal entropy martingale measure

Mwaniki, Ivivi J. - In: Cogent Economics & Finance 5 (2017) 1, pp. 1-16

underlying asset dynamics are modelled by generalized hyperbolic distribution and normal inverse Gaussian distribution. The … distribution and normal inverse Gaussian distribution are utilized to compute probabilities and jump parameters under historical …

Persistent link: https://www.econbiz.de/10011988781

On skewed, leptokurtic returns and pentanomial lattice option valuation via minimal entropy martingale measure

Mwaniki, Ivivi Joseph - In: Cogent economics & finance 5 (2017) 1, pp. 1-16

Persistent link: https://www.econbiz.de/10011883226

Quantification of VaR: A Note on VaR Valuation in the South African Equity Market

Mabitsela, Lesedi; Maré, Eben; Kufakunesu, Rodwell - In: Journal of Risk and Financial Management 8 (2015) 1, pp. 103-126

-distribution. We then estimate Value-at-Risk under the assumption that financial returns follow the Normal Inverse Gaussian, Normal … Inverse Gaussian and is compared to the financial returns modelled using the Normal, Skew t-distribution and Student t …/JSE TOP40 index and the S & P 500 index. The statistical distribution of the financial returns is modelled using the Normal …

Persistent link: https://www.econbiz.de/10011167305