Normal inverse gaussian distributions and stochastic volatility modelling

Scandinavian Journal of Statistics

Volumn 24, Issue 1, 1997, Pages 1-13

  Barndorff Nielsen, Ole E ^a  

^a AARHUS UNIVERSITY   (Denmark)

Author keywords

Conditional heteroscedasticity; Finance; Generalized hyperbolic distributions; Generalized inverse gaussian distributions; L vy process; Observation driven; State space modelling; Subordination; Turbulence

Indexed keywords

EID: 0031524138     PISSN: 03036898     EISSN: None     Source Type: Journal    
DOI: 10.1111/1467-9469.t01-1-00045     Document Type: Article

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