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Fat and skew : can NIG cure? : on the prospects of using the normal inverse Gaussian distribution in finance

Lillestøl, Jostein
Working paper
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URI
http://hdl.handle.net/11250/163823
Date
1998-03
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  • Discussion papers (FOR) [556]
Abstract
This paper explores the possibility of using the Normal Inverse Gaussian (NIG) distribution introduced by Barndorff-Nielsen (1997) in various problem areas in finance where distributions often are found to be non-normal due to skewness and fat tails. More specificly we discuss problems of risk analysis and portfolio choice in a NIG context. We also briefly look into some aspects of NIG-modeling and estimation, but numerics and empirics will be pursued elsewhere.
Description
Revised June 15, 1998
Publisher
Norwegian School of Economics and Business Administration. Department of Finance and Management Science
Series
Discussion paper
1998:11

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