A normal inverse Gaussian model for a risky asset with dependence

DOI10.1016/j.spl.2011.09.007zbMath1236.91135OpenAlexW2006255803MaRDI QIDQ654485

S. Petherick, Alla Sikorskii, Nikolai N. Leonenko

Publication date: 28 December 2011

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2011.09.007

zbMATH Keywords

inverse Gaussian distributionnormal inverse Gaussian distributionsuperpositionsdiffusion type processes

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stationary stochastic processes (60G10) Derivative securities (option pricing, hedging, etc.) (91G20) Self-similar stochastic processes (60G18)

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