Processes of Normal Inverse Gaussian Type

Finance And Stochastics, Vol 2 No 1, 1998

Posted: 12 Feb 1998

See all articles by Ole E. Barndorff-Nielsen

Ole E. Barndorff-Nielsen

University of Aarhus - Thiele Centre, Department of Mathematical Sciences

Abstract

With the aim of modelling key stylized features of observational series from finance and turbulence a number of stochastic processes with normal inverse Gaussian marginals and various types of dependence structures are discussed. Ornstein - Uhlenbeck type processes, superpositions of such processes and stochastic volatility models in one and more dimensions are considered in particular, and some discussion is given of the feasibility of making likelihood inference for these models.

JEL Classification: C10, C51

Suggested Citation

Barndorff-Nielsen, Ole E., Processes of Normal Inverse Gaussian Type. Finance And Stochastics, Vol 2 No 1, 1998, Available at SSRN: https://ssrn.com/abstract=57888

Ole E. Barndorff-Nielsen (Contact Author)

University of Aarhus - Thiele Centre, Department of Mathematical Sciences ( email )

Ny Munkegade
Aarhus, DK 8000
Denmark

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