dc.contributor.author | Lillestøl, Jostein | |
dc.date.accessioned | 2006-07-13T18:37:40Z | |
dc.date.available | 2006-07-13T18:37:40Z | |
dc.date.issued | 2001-01 | |
dc.identifier.issn | 1500-4066 | |
dc.identifier.uri | http://hdl.handle.net/11250/163637 | |
dc.description | First draft September 16, 1998. Revision of January 15, 2001 | en |
dc.description.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. | en |
dc.format.extent | 232403 bytes | |
dc.format.mimetype | application/pdf | |
dc.language.iso | eng | en |
dc.publisher | Norwegian School of Economics and Business Administration. Department of Finance and Management Science | en |
dc.relation.ispartofseries | Discussion paper | en |
dc.relation.ispartofseries | 2001:3 | en |
dc.subject | normal inverse | en |
dc.subject | Gaussian distribution | en |
dc.subject | Bayesian analysis | en |
dc.subject | Markov Chain Monte Carlo | en |
dc.title | Bayesian estimation of NIG-parameters by Markov chain Monte Carlo methods | en |
dc.type | Working paper | en |