A normal inverse Gaussian model for a risky asset with dependence

DOI10.1016/J.SPL.2011.09.007MaRDI QIDQ654485zbMATH OpenOpenAlexFDO

Authors S. Petherick, Nikolai N. Leonenko, Alla Sikorskii

Publication date 28 December 2011

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2011.09.007

zbMATH Keywords

normal inverse Gaussian distributioninverse Gaussian distributionsuperpositionsdiffusion type processes

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Derivative securities (option pricing, hedging, etc.) (91G20) Stationary stochastic processes (60G10) Self-similar stochastic processes (60G18)

Recommendations

• Fractal Activity Time Models for Risky Asset with Dependence and Generalized Hyperbolic Distributions
• Processes of normal inverse Gaussian type
• Student-like models for risky asset with dependence
• A risky asset model with strong dependence through fractal activity time
• Risky asset models with tempered stable fractal activity time

Cites work

• A Gamma Activity Time Process with Noninteger Parameter and Self-Similar Limit
• A risky asset model with strong dependence through fractal activity time
• Basic properties of strong mixing conditions. A survey and some open questions
• Convergence of Distributions Generated by Stationary Stochastic Processes
• Diffusion-type models with given marginal distribution and autocorrelation function
• Generalized hyperbolic diffusion processes with applications in finance
• Integrating Volatility Clustering Into Exponential Lévy Models
• Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
• OPTION PRICING WITH VG–LIKE MODELS
• Option Pricing in Stochastic Volatility Models of the Ornstein‐Uhlenbeck type
• Processes of normal inverse Gaussian type
• Scaling issues for risky asset modelling
• Some stationary processes in discrete and continuous time
• Spectral properties of superpositions of Ornstein-Uhlenbeck type processes
• Stationary-increment Student and variance-gamma processes
• Stochastic volatility models as hidden Markov models and statistical applications
• Student processes
• The Student subordinator model with dependence for risky asset returns
• The Variance Gamma Process and Option Pricing
• The past and future of empirical finance: some personal comments
• Trading volume in models of financial derivatives

Cited in

(15)

• Multivariate skew-normal generalized hyperbolic distribution and its properties
• An optimal stopping problem in a diffusion-type model with delay
• scientific article; zbMATH DE number 1995731 (Why is no real title available?)
• Risky asset models with tempered stable fractal activity time
• Fractional normal inverse Gaussian process
• A generalized hyperbolic model for a risky asset with dependence
• On the exact distribution of the likelihood ratio test statistic for testing the homogeneity of the scale parameters of several inverse Gaussian distributions
• Feller processes of normal inverse Gaussian type
• Learning-based EM algorithm for normal-inverse Gaussian mixture model with application to extrasolar planets
• Option pricing and stochastic optimization
• Parametrizing the Kepler exoplanet period-radius distribution with the bivariate normal inverse Gaussian distribution
• Hypotheses tests on the skewness parameter in a multivariate generalized hyperbolic distribution
• Student-like models for risky asset with dependence
• Intermittency of superpositions of Ornstein-Uhlenbeck type processes
• Testing the equality of several inverse Gaussian means under heterogeneity

This page was built for publication: A normal inverse Gaussian model for a risky asset with dependence

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q654485)