Bayesian estimation of NIG-parameters by Markov chain Monte Carlo methods

Lillestøl, Jostein
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URI
http://hdl.handle.net/11250/163637
Date
2001-01
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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.
Description
First draft September 16, 1998. Revision of January 15, 2001
Publisher
Norwegian School of Economics and Business Administration. Department of Finance and Management Science
Series
Discussion paper
2001:3