Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling
From MaRDI portal
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)
Related Items
Exotic options under Lévy models: an overview, An EM type algorithm for maximum likelihood estimation of the normal-inverse Gaussian distribution, A Gaussian-generalized inverse Gaussian finite-dimensional filter., Whittle estimation for continuous-time stationary state space models with finite second moments, Explicit form of the first-passage-time density for accelerating subdiffusion, Volatility smile as relativistic effect, TVICA -- time varying independent component analysis and its application to financial data, On Asian option pricing for NIG Lévy processes, Optimal portfolio selection based on expected shortfall under generalized hyperbolic distribution, Modeling spatial extremes using normal mean-variance mixtures, Impact of volatility clustering on equity indexed annuities, Scenario aggregation method for portfolio expectile optimization, Saddlepoint approximation for the generalized inverse Gaussian Lévy process, Calibration for multivariate Lévy-driven Ornstein-Uhlenbeck processes with applications to weak subordination, Market-reaction-adjusted optimal central bank intervention policy in a forex market with jumps, Pricing early-exercise and discrete barrier options by Fourier-cosine series expansions, Stable Lévy motion with inverse Gaussian subordinator, An investigation of model risk in a market with jumps and stochastic volatility, Characterization of the inverse stable subordinator, Hausdorff-Besicovitch dimension of graphs and \(p\)-variation, Multivariate normal \(\alpha\)-stable exponential families, Measuring herd behavior: properties and pitfalls, On exact pricing of FX options in multivariate time-changed Lévy models, Linking Tukey's legacy to financial risk measurement, Financial modelling applying multivariate Lévy processes: new insights into estimation and simulation, Location and scale mixtures of Gaussians with flexible tail behaviour: properties, inference and application to multivariate clustering, Geometric step options and Lévy models: duality, pides, and semi-analytical pricing, A general control variate method for Lévy models in finance, Generalized bounds for active subspaces, Bayesian estimation of generalized hyperbolic skewed student GARCH models, Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew Student's \(t\)-distribution, Internal vs. External risk measures: how capital requirements differ in practice, Multivariate measurement error models using finite mixtures of skew-Student \(t\) distributions, An efficient algorithm for Bermudan barrier option pricing, Fractional normal inverse Gaussian diffusion, An asset return model capturing stylized facts, First jump time in simulation of sampling trajectories of affine jump-diffusions driven by \(\alpha\)-stable white noise, Heteroscedastic replicated measurement error models under asymmetric heavy-tailed distributions, A hybrid data cloning maximum likelihood estimator for stochastic volatility models, Stochastic models and statistical inference for plant pollen dispersal, Quasi maximum likelihood estimation for strongly mixing state space models and multivariate Lévy-driven CARMA processes, Semiparametric Gaussian variance-mean mixtures for heavy-tailed and skewed data, Modeling high-frequency financial data by pure jump processes, Wiener-Hopf factorization and distribution of extrema for a family of Lévy processes, Bessel inequalities with applications to conditional log returns under GIG scale mixtures of normal vectors., Rate-optimal estimation of the Blumenthal-Getoor index of a Lévy process, Relative variation indexes for multivariate continuous distributions on \([0,\infty)^k\) and extensions, Rough functions: \(p\)-variation, calculus, and index estimation, Efficient pricing of commodity options with early-exercise under the Ornstein-Uhlenbeck process, First steps towards an equilibrium theory for Lévy financial markets, Inverse Gaussian quadrature and finite normal-mixture approximation of the generalized hyperbolic distribution, Sparse-group independent component analysis with application to yield curves prediction, Esscher transforms and consumption-based models, Conditional VaR estimation using Pearson's type IV distribution, Fair valuation of insurance contracts under Lévy process specifications, Efficient wavelets-based valuation of synthetic CDO tranches, Additive logistic processes in option pricing, Modelling and forecasting the kurtosis and returns distributions of financial markets: irrational fractional Brownian motion model approach, Hypotheses tests on the skewness parameter in a multivariate generalized hyperbolic distribution, Extracting market information from equity options with exponential Lévy processes, Quadratic hedging schemes for non-Gaussian GARCH models, A Stein type lemma for the multivariate generalized hyperbolic distribution, Robust PCA for skewed data and its outlier map, Simulation of Lévy-driven Ornstein-Uhlenbeck processes with given marginal distribution, Numerical methods for Lévy processes, Tests of fit for normal inverse Gaussian distributions, Stock returns and hyperbolic distributions, Variational Bayes approximations for clustering via mixtures of normal inverse Gaussian distributions, Parametric and nonparametric models and methods in financial econometrics, Fractional normal inverse Gaussian process, Ergodic properties of anomalous diffusion processes, Fourier inference for stochastic volatility models with heavy-tailed innovations, Quantitative portfolio selection: using density forecasting to find consistent portfolios, On the stationary version of the generalized hyperbolic ARCH model, Quasi-maximum likelihood estimation for cointegrated continuous-time linear state space models observed at low frequencies, Generalized variance functions for infinitely divisible mixture distributions, A pentatonic classification of extreme events, \(L^{1}\) semigroup generation for Fokker-Planck operators associated to general Lévy driven sdes, Default prediction with the Merton-type structural model based on the NIG Lévy process, On the asymptotic behaviour of Lévy processes. I: Subexponential and exponential processes, Fourth order pseudo maximum likelihood methods, Tempered fractional diffusion equations for pricing multi-asset options under CGMYe process, Convergence and inference for mixed Poisson random sums, Sharp conditions for certain ruin in a risk process with stochastic return on investments, Finite dimensional filters for nonlinear stochastic difference equations with multiplicative noises, Maximum likelihood inference for mixtures of skew Student-\(t\)-normal distributions through practical EM-type algorithms, On fractional Lévy processes: tempering, sample path properties and stochastic integration, An actuarial approach to option pricing under the physical measure and without market assumptions, Non-linear properties of conditional returns under scale mixtures, Testing the martingale restriction for option implied densities, Consistency of general bootstrap methods for degenerate \(U\)-type and \(V\)-type statistics, Processes of Meixner type, Option pricing in time-changed Lévy models with compound Poisson jumps, Lévy CARMA models for shocks in mortality, Modelling skewed and heavy-tailed data using a normal weighted inverse Gaussian distribution, Exact simulation of continuous max-id processes with applications to exchangeable max-id sequences, Testing for pure-jump processes for high-frequency data, Empirical spectral processes for stationary state space models, Stochastic calculus for assets with non-Gaussian price fluctuations, Option pricing from path integral for non-Gaussian fluctuations. Natural martingale and application to truncated Lèvy distributions, Parametrizing the Kepler exoplanet period-radius distribution with the bivariate normal inverse Gaussian distribution, The α-Dependence of Stochastic Differential Equations Driven by Variants of α-Stable Processes, Shewhart Control Charts in New Perspective, Characterization of multivariate stable processes, Model-based clustering, MODELING NONSTATIONARY AND LEPTOKURTIC FINANCIAL TIME SERIES, On normal variance-mean mixtures, Activity signature functions for high-frequency data analysis, Joint Modelling of Gas and Electricity Spot Prices, ON BOUNCING GEOMETRIC BROWNIAN MOTIONS, CGMM LASSO-type estimator for the process of Ornstein-Uhlenbeck type, A Bivariate Normal Inverse Gaussian Process with Stochastic Delay: Efficient Simulations and Applications to Energy Markets, Bayesian analysis of the inverse generalized gamma distribution using objective priors, Valuation of American options under the CGMY model, A joint model for temperature and natural gas with an application to the US market, Fourier Cosine Expansions and Put–Call Relations for Bermudan Options, DRAWDOWN MEASURES AND RETURN MOMENTS, NORMAL- MIXTURE WITH APPLICATION TO FINANCIAL DATA, Parameter Estimation for Exponentially Tempered Power Law Distributions, Characteristic function estimation of non-Gaussian Ornstein-Uhlenbeck processes, Approximate Bayesian Inference for Latent Gaussian models by using Integrated Nested Laplace Approximations, Additive normal tempered stable processes for equity derivatives and power-law scaling, Investment Rankings via an Objective Measure of Riskiness: A Case Study, On the property of multivariate generalized hyperbolic distribution and the Stein-type inequality, Multivariate elliptical truncated moments, A detection algorithm for the first jump time in sample trajectories of jump-diffusions driven byα-stable white noise, Semiparametric estimation in the normal variance-mean mixture model, Realistic Statistical Modelling of Financial Data, Autoregressive processes with generalized hyperbolic innovations, The normal tempered stable regression model, First-exit times of an inverse Gaussian process, Stochastic modeling of stratospheric temperature, Optimising portfolio diversification and dimensionality, Infinite mixtures of multivariate normal-inverse Gaussian distributions for clustering of skewed data, Bayesian inference in a heteroscedastic replicated measurement error model using heavy-tailed distributions, A Markov-switching regression model with non-Gaussian innovations: estimation and testing, Foreign exchange options on Heston-CIR model under Lévy process framework, Pricing of early-exercise Asian options under Lévy processes based on Fourier cosine expansions, Performance of advanced stock price models when it becomes exotic: an empirical study, Constant proportion portfolio insurance under a regime switching exponential Lévy process, The Volatility of Realized Volatility, Estimation and application of semiparametric stochastic volatility models based on kernel density estimation and hidden Markov models, Learning-based EM algorithm for normal-inverse Gaussian mixture model with application to extrasolar planets, An SFP–FCC method for pricing and hedging early-exercise options under Lévy processes, An Analytical Valuation Framework for Financial Assets with Trading Suspensions, Pricing of basket options using univariate normal inverse Gaussian approximations, Anomalous Diffusions in Option Prices: Connecting Trade Duration and the Volatility Term Structure, A robust multivariate Birnbaum–Saunders distribution: EM estimation, Isotropic random fields with infinitely divisible marginal distributions, Normal scale mixtures and dual probability densities, Nonlinear state-space system identification with robust laplace model, Semi-parametric modelling in finance: theoretical foundations, Value-at-Risk-efficient portfolios for a class of super- and sub-exponentially decaying assets return distributions, Valuing Bermudan options when asset returns are Lévy processes, Value at Risk with time varying variance, skewness and kurtosis-the NIG-ACD model, Efficient and robust portfolio optimization in the multivariate Generalized Hyperbolic framework, Error Bounds for Small Jumps of Lévy Processes, A Structural Approach to Default Modelling with Pure Jump Processes, Inference procedures for the variance gamma model and applications, Bayesian analysis of stochastic volatility models with flexible tails, Bayesian estimation of NIG models via Markov chain Monte Carlo methods, Pricing of Spread Options on a Bivariate Jump Market and Stability to Model Risk, Do financial returns have finite or infinite variance? A paradox and an explanation, A High Order Finite Difference Method for Tempered Fractional Diffusion Equations with Applications to the CGMY Model, Wiener-Hopf Factorization for a Family of Lévy Processes Related to Theta Functions, Efficient simulation of Lévy-driven point processes, Misspecification Testing for the Conditional Distribution Model in GARCH-Type Processes, On normal stable Tweedie models and power-generalized variance functions of only one component, MOMENT EXPLOSIONS AND LONG-TERM BEHAVIOR OF AFFINE STOCHASTIC VOLATILITY MODELS, Simulation and Estimation of the Meixner Distribution, Fitting asset returns to skewed distributions: are the skew-normal and skew-Student good models?, Time-changed Poisson processes of order k, Convergence of integrated superpositions of Ornstein-Uhlenbeck processes to fractional Brownian motion, Tail asymptotics for the supremum of an infinitely divisible field with convolution equivalent Lévy measure, Static hedging under maturity mismatch, Optimal sequential testing for an inverse Gaussian process, On the First Passage time for Brownian Motion Subordinated by a Lévy Process, The $I$-Function Distribution and Its Extensions, Empirical distributions of stock returns: between the stretched exponential and the power law?, Semiparametric inference on a class of Wiener processes, The multivariate asymmetric slash Laplace distribution and its applications, Statistical Modeling of Temporal Dependence in Financial Data via a Copula Function, GLM-methods for volatility models, Multivariate normal mean–variance mixture distribution based on Birnbaum–Saunders distribution, Truncated moment-generating functions of the NIG process and their applications, Bayesian measurement error models using finite mixtures of scale mixtures of skew-normal distributions, CREDIT RISK MODELING USING TIME-CHANGED BROWNIAN MOTION, Generative Bayesian neural network model for risk-neutral pricing of American index options, Implied Lévy volatility, Discriminating between the normal inverse Gaussian and generalized hyperbolic skew-t distributions with a follow-up the stock exchange data, Approximation for the Normal Inverse Gaussian Process Using Random Sums, Conic quantization: stochastic volatility and market implied liquidity, Random matrix models for datasets with fixed time horizons, Variable annuities in a Lévy-based hybrid model with surrender risk, Rational multi-curve models with counterparty-risk valuation adjustments, Alternative modeling for long term risk, Asymptotic Analysis of Stock Price Densities and Implied Volatilities in Mixed Stochastic Models, FACTOR COPULA MODEL FOR PORTFOLIO CREDIT RISK, Data driven choice of control charts, A Novel Asymmetric Distribution with Power Tails, Pricing barrier options by a regime switching model, Fast deterministic pricing of options on Lévy driven assets, Intra‐Horizon expected shortfall and risk structure in models with jumps, Vector Stochastic Processes with Pólya‐Type Correlation Structure, Drug sensitivity prediction with normal inverse Gaussian shrinkage informed by external data, Robust willow tree method under Lévy processes, Stochastic orders and measures of skewness and dispersion based on expectiles, Student‐t stochastic volatility model with composite likelihood EM‐algorithm, Augmenting the realized-GARCH: the role of signed-jumps, attenuation-biases and long-memory effects, Product of bi-dimensional VAR(1) model components. An application to the cost of electricity load prediction errors, Modeling and simulation of financial returns under non-Gaussian distributions, Closed-form option pricing for exponential Lévy models: a residue approach, Hedging cryptos with Bitcoin futures, GTL regression: a linear model with skewed and thick-tailed disturbances, Using proxies to improve forecast evaluation, Point process simulation of generalised hyperbolic Lévy processes, Controlling the flexibility of non-Gaussian processes through shrinkage priors, Bayesian stable isotope mixing models, Pricing Surrender Risk in Ratchet Equity-Index Annuities under Regime-Switching Lévy Processes, SYMMETRIES IN JUMP-DIFFUSION MODELS WITH APPLICATIONS IN OPTION PRICING AND CREDIT RISK, THE PRICING OF EXOTIC OPTIONS BY MONTE–CARLO SIMULATIONS IN A LÉVY MARKET WITH STOCHASTIC VOLATILITY, Testing Symmetry of a NIG Distribution, A SPREAD-RETURN MEAN-REVERTING MODEL FOR CREDIT SPREAD DYNAMICS, Closed Form Pricing of European Options for a Family of Normal-Inverse Gaussian Processes, Modeling the distribution of day-ahead electricity returns: a comparison, The Tail Probability of Discounted Sums of Pareto-like Losses in Insurance, Variance-Mean Mixture of Kotz-Type Distributions, OPTIMAL LIQUIDATION TRAJECTORIES FOR THE ALMGREN–CHRISS MODEL, Bayesian Estimation and Prediction of Stochastic Volatility Models via INLA, Particle learning for Bayesian semi-parametric stochastic volatility model, Bayesian analysis of multivariate stochastic volatility with skew return distribution
