Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling (Q4221800): Difference between revisions
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| Property / author: Ole Eiler Barndorff-Nielsen / rank | |||
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Latest revision as of 22:02, 19 March 2024
scientific article; zbMATH DE number 1228665
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling |
scientific article; zbMATH DE number 1228665 |
Statements
Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling (English)
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27 April 2000
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conditional heteroscedasticity
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generalized hyperbolic distribution
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generalized inverse Gaussian distributions
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observation-driven
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state space modeling
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subordination
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Lévy process
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turbulence
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finance
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