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dc.contributor.authorLillestøl, Jostein
dc.date.accessioned2006-07-13T18:37:40Z
dc.date.available2006-07-13T18:37:40Z
dc.date.issued2001-01
dc.identifier.issn1500-4066
dc.identifier.urihttp://hdl.handle.net/11250/163637
dc.descriptionFirst draft September 16, 1998. Revision of January 15, 2001en
dc.description.abstractThe 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.en
dc.format.extent232403 bytes
dc.format.mimetypeapplication/pdf
dc.language.isoengen
dc.publisherNorwegian School of Economics and Business Administration. Department of Finance and Management Scienceen
dc.relation.ispartofseriesDiscussion paperen
dc.relation.ispartofseries2001:3en
dc.subjectnormal inverseen
dc.subjectGaussian distributionen
dc.subjectBayesian analysisen
dc.subjectMarkov Chain Monte Carloen
dc.titleBayesian estimation of NIG-parameters by Markov chain Monte Carlo methodsen
dc.typeWorking paperen


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