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On the Normal Inverse Gaussian Distribution

in Modeling Volatility in the Financial Markets

Studia Statistica Upsaliensia, No. 5

By Lars Forsberg

July 2002

Uppsala University Press

ISBN: 91-554-5298-1

168 pages, Illustrated, 6 ½ x 9 ½"

$44.00 paper original

Partial contents of this doctoral dissertation: Review of Volatility Models.
A New Parameterization of the NIG. Test of the Mixing Distribution Hypothesis.
Motivating the GARCH (p,q)-NIG. Temporal Aggregation of RV & IG. The General
ARCH-NIG Model. Simulation Study. References.

Mathematics; Finance