Show simple item record

dc.contributor.authorLillestøl, Jostein
dc.date.accessioned2006-07-18T09:27:44Z
dc.date.available2006-07-18T09:27:44Z
dc.date.issued1998-03
dc.identifier.issn1500-4066
dc.identifier.urihttp://hdl.handle.net/11250/163823
dc.descriptionRevised June 15, 1998en
dc.description.abstractThis 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.extent216621 bytes
dc.format.mimetypeapplication/pdf
dc.language.isoengen
dc.publisherNorwegian School of Economics and Business Administration. Department of Finance and Management Scienceen
dc.relation.ispartofseriesDiscussion paperen
dc.relation.ispartofseries1998:11en
dc.titleFat and skew : can NIG cure? : on the prospects of using the normal inverse Gaussian distribution in financeen
dc.typeWorking paperen


Files in this item

Thumbnail

This item appears in the following Collection(s)

Show simple item record