Absolute Moments of Generalized Hyperbolic Distributions and Approximate Scaling of Normal Inverse Gaussian Lévy Processes

DOI10.1111/J.1467-9469.2005.00466.XzbMATH Open1088.60005OpenAlexW2141233703MaRDI QIDQ5467712FDOQ5467712

Authors Robert Stelzer, Ole E. Barndorff-Nielsen 

Publication date 24 May 2006

Published in Scandinavian Journal of Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9469.2005.00466.x

zbMATH Keywords

normal inverse Gaussian distributionmodified Bessel functionexchange rate modellingasymptotic scaling property

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Stable stochastic processes (60G52)

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• A hyperbolic diffusion model for stock prices
• Apparent scaling
• Financial Modelling with Jump Processes
• First hitting time models for the generalized inverse Gaussian distribution
• From the bird's eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange markets
• Generalized hyperbolic diffusion processes with applications in finance
• Integral Representations and Complete Monotonicity of Various Quotients of Bessel Functions
• Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
• Optimal portfolios when stock prices follow an exponential Lévy process
• Processes of normal inverse Gaussian type

Cited In (18)

• Multivariate generalized hyperbolic laws for modeling financial log-returns: empirical and theoretical considerations
• Finite mixtures of multivariate scale-shape mixtures of skew-normal distributions
• An asset return model capturing stylized facts
• Drawdown measures and return moments
• On bounds for the mode and median of the generalized hyperbolic and related distributions
• Formulas of absolute moments
• On the definition, stationary distribution and second order structure of positive semidefinite Ornstein-Uhlenbeck type processes
• Moments of the generalized hyperbolic distribution
• ECM algorithm for estimating vector ARMA model with variance gamma distribution and possible unbounded density
• Estimating the tails of loss severity via conditional risk measures for the family of symmetric generalised hyperbolic distributions
• Absolute moments of the variance-gamma distribution
• Title not available (Why is no real title available?)
• Small-Time Asymptotics of Option Prices and First Absolute Moments
• Truncated moment-generating functions of the \(NIG\) process and their applications
• Dependence modelling in insurance via copulas with skewed generalised hyperbolic marginals
• A general class of scale-shape mixtures of skew-normal distributions: properties and estimation
• Conditional tail risk measures for the skewed generalised hyperbolic family
• Modelling co-movements and tail dependency in the international stock market via copulae

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