On the normal inverse Gaussian stochastic volatility model

Journal of Business and Economic Statistics

Volumn 19, Issue 1, 2001, Pages 44-54

  Andersson, Jonas ^a  

^a UPPSALA UNIVERSITY   (Sweden)

Author keywords

Conditional heteroscedasticity; Normal inverse Gaussian distribution

Indexed keywords

EID: 0035583279     PISSN: 07350015     EISSN: None     Source Type: Journal    
DOI: 10.1198/07350010152472607     Document Type: Article

References (19)

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