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

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