Bayesian estimation of NIG-parameters by Markov chain Monte Carlo methods
Working paper
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http://hdl.handle.net/11250/163637Utgivelsesdato
2001-01Metadata
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Sammendrag
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.
Beskrivelse
First draft September 16, 1998. Revision of January 15, 2001
Utgiver
Norwegian School of Economics and Business Administration. Department of Finance and Management ScienceSerie
Discussion paper2001:3