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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 x 9 "
$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