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Studia Statistica Upsaliensia
We discuss the Normal inverse Gaussian (NIG) distribution in modeling volatility in the financial markets. Refining the work of Barndorff-Nielsen (1997) and Andersson (2001), we introduce a new parameterization of the NIG distribution to build the GARCH(p,q)-NIG model. This new parameterization allows the model to be a strong GARCH in the sense of Drost and Nijman (1993). It also allows us to s…
Contributors
- Bauwens Luc Professor
- Uppsala universitet Humanistisk-samhällsvetenskapliga vetenskapsområdet Samhällsvetenskapliga fakulteten Institutionen för informationsvetenskap
Creator
- Forsberg Lars 1969- , Uppsala universitet, Institutionen för informationsvetenskap
Publisher
- Acta Universitatis Upsaliensis
Date
- 2002
- 2002-05-17
- 2002-04-25
- 2002-04-25
- 2002-05-17
- 2002
Contributors
- Bauwens Luc Professor
- Uppsala universitet Humanistisk-samhällsvetenskapliga vetenskapsområdet Samhällsvetenskapliga fakulteten Institutionen för informationsvetenskap
Creator
- Forsberg Lars 1969- , Uppsala universitet, Institutionen för informationsvetenskap
Publisher
- Acta Universitatis Upsaliensis
Date
- 2002
- 2002-05-17
- 2002-04-25
- 2002-04-25
- 2002-05-17
- 2002
Providing institution
Aggregator
Rights statement for the media in this item (unless otherwise specified)
- http://rightsstatements.org/vocab/InC/1.0/
- http://rightsstatements.org/vocab/InC/1.0/
Identifier
- oai:DiVA.org:uu-2000
Format
- electronic169
- electronic
- 169
Language
- sv
Is part of
- http://data.theeuropeanlibrary.org/Collection/a1041
Relations
- Studia Statistica Upsaliensia1104-15605
Year
- 2002
Providing country
- Sweden
Collection name
First time published on Europeana
- 2014-09-07T10:14:07.349Z
Last time updated from providing institution
- 2014-09-07T10:14:07.349Z