Apparent scaling

DOI10.1007/S007800000020MaRDI QIDQ5942935zbMATH OpenOpenAlexFDO

Authors Ole E. Barndorff-Nielsen, Karsten Prause

Publication date 16 September 2001

Published in Finance and Stochastics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s007800000020

zbMATH Keywords

high-frequency data in financeLévy processnormal inverse Gaussian distributionscaling power lawsshape triangle

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51)

Review text

A review of properties of normal inverse Gaussian law is given. The process \(z(t)\) with stationary independent increments for which \(z(1)\) has normal inverse Gaussian distribution is considered. The absolute first moment, the second order cumulant and skewness for such a process are studied. The application of the process \(z(t)\) as a model for a financial asset is discussed.

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• Modelling exchange rate returns: which flexible distribution to use?
• Bayesian estimation of NIG models via Markov chain Monte Carlo methods
• Option Pricing in Stochastic Volatility Models of the Ornstein‐Uhlenbeck type
• Parametrizing the Kepler exoplanet period-radius distribution with the bivariate normal inverse Gaussian distribution
• Normal-\(\text{GIG}\left(\frac{3}{2},\delta,\gamma \right)\) mixture with application to financial data
• Learning-based EM algorithm for normal-inverse Gaussian mixture model with application to extrasolar planets
• Tests of fit for normal inverse Gaussian distributions
• Absolute Moments of Generalized Hyperbolic Distributions and Approximate Scaling of Normal Inverse Gaussian Lévy Processes
• Testing Symmetry of a NIG Distribution
• Ole Eiler Barndorff-Nielsen and financial econometrics
• Noising the GARCH volatility: a random coefficient GARCH model

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