Absolute Moments of Generalized Hyperbolic Distributions and Approximate Scaling of Normal Inverse Gaussian Lévy Processes

DOI10.1111/j.1467-9469.2005.00466.xzbMath1088.60005OpenAlexW2141233703MaRDI QIDQ5467712

Robert Stelzer, Ole Eiler Barndorff-Nielsen

Publication date: 24 May 2006

Published in: Scandinavian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9469.2005.00466.x

zbMATH Keywords

normal inverse Gaussian distributionmodified Bessel functionexchange rate modellingasymptotic scaling property

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Stable stochastic processes (60G52)

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