Browsing Norges Handelshøyskole by Subject "Bayesian analysis"
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Bayesian estimation of NIG-parameters by Markov chain Monte Carlo methods
(Discussion paper, Working paper, 2001-01)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 ...