Apparent scaling

DOI10.1007/S007800000020zbMath0976.60047OpenAlexW4205767433MaRDI QIDQ5942935

Karsten Prause, Ole Eiler Barndorff-Nielsen

Publication date: 16 September 2001

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s007800000020

zbMATH Keywords

Lévy processnormal inverse Gaussian distributionhigh-frequency data in financescaling power lawsshape triangle

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51)

Related Items (17)

An EM type algorithm for maximum likelihood estimation of the normal-inverse Gaussian distribution ⋮ Parametrizing the Kepler exoplanet period-radius distribution with the bivariate normal inverse Gaussian distribution ⋮ The first passage time of a stable process conditioned to not overshoot ⋮ The stationary seasonal hyperbolic asymmetric power ARCH model ⋮ NORMAL- MIXTURE WITH APPLICATION TO FINANCIAL DATA ⋮ Option Pricing in Stochastic Volatility Models of the Ornstein‐Uhlenbeck type ⋮ Modelling exchange rate returns: which flexible distribution to use? ⋮ Learning-based EM algorithm for normal-inverse Gaussian mixture model with application to extrasolar planets ⋮ Modelling and forecasting the kurtosis and returns distributions of financial markets: irrational fractional Brownian motion model approach ⋮ Testing Symmetry of a NIG Distribution ⋮ Value at Risk with time varying variance, skewness and kurtosis-the NIG-ACD model ⋮ Tests of fit for normal inverse Gaussian distributions ⋮ Bayesian estimation of NIG models via Markov chain Monte Carlo methods ⋮ Forecasting volatility in bitcoin market ⋮ Moments of the generalized hyperbolic distribution ⋮ Absolute Moments of Generalized Hyperbolic Distributions and Approximate Scaling of Normal Inverse Gaussian Lévy Processes ⋮ Scaling properties of foreign exchange volatility

This page was built for publication: Apparent scaling