Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/62266
Authors: 
Lillestøl, Jostein
Year of Publication: 
2000
Series/Report no.: 
Discussion Papers, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes 2000,112
Abstract: 
The Normal Inverse Gaussian (NIG) distribution recently introduced by Barndorff-Nielsen (1997) is a promising alternative for modelling financial data exhibiting skewness and fat tails. In this paper we explore the Bayesian estimation of NIG-parameters by Markov Chain Monte Carlo Methods.
Subjects: 
Normal Inverse Gaussian distribution
Bayesian Analysis
Markov Chain Monte Carlo
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

Files in This Item:
File
Size
202.47 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.