Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling
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Publication:4221800
DOI10.1111/1467-9469.T01-1-00045zbMath0934.62109OpenAlexW4240889859MaRDI QIDQ4221800
Publication date: 27 April 2000
Published in: Scandinavian Journal of Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/1467-9469.t01-1-00045
subordinationstate space modelingturbulenceLévy processfinanceconditional heteroscedasticitygeneralized hyperbolic distributionobservation-drivengeneralized inverse Gaussian distributions
Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Markov processes (60J99)
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