Questions tagged [normal-inverse-gaussian]
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4
questions
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From VG and NIG processes to GBM
I would like to find out if it is possible to reduce:
the Madan-Seneta Variance Gamma (VG) model;
the Barndorff-Nielsen Normal Inverse Gaussian (NIG) model
to the standard Black-Scholes through a ...
- 2,111
2
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1
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Backtesting EGARCH-NIG CVaR in R
I fitted an EGARCH model with a NIG distribution to a series of returns.
Using the following link I tried got how I should calculate the CVaR of the model
http://r.789695.n4.nabble.com/CVaR-with-NIG-...
- 43
1
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1
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What is wrong in my non-linear estimation sample code?
I am trying to reproduce the code and plot you see here on pages 8,9 and 10
which was coded in MATLAB, but I'd like to convert it to R code.
I believe I converted the MATLAB code below to R syntax ...
- 405
3
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1
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What is the tail index for NIG and/or VG?
...as a function of NIG (Normal Inverse Gaussian) or VG (Variance Gamma) parameters, obviously. I've read that the NIG $\alpha$ is related to the $\alpha$-stable tail parameter, which conversely maps ...
- 1,543