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

dc.contributor.author	Lillestøl, Jostein
dc.date.accessioned	2006-07-18T09:27:44Z
dc.date.available	2006-07-18T09:27:44Z
dc.date.issued	1998-03
dc.identifier.issn	1500-4066
dc.identifier.uri	http://hdl.handle.net/11250/163823
dc.description	Revised June 15, 1998	en
dc.description.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.	en
dc.format.extent	216621 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	1998:11	en
dc.title	Fat and skew : can NIG cure? : on the prospects of using the normal inverse Gaussian distribution in finance	en
dc.type	Working paper	en