Skip to main content

Questions tagged [normal-inverse-gaussian]

The tag has no usage guidance.

Filter by
Sorted by
Tagged with
0 votes
1 answer

Asset Management (Inverse Matrix, MVP,TP etc) [closed]

i just found this website and hope someone can help me. We have a midterm and we got 1 old exam but the Prof didnt want to provide the solutions and he is terrible anyway - so it kinda sucks, and i ...
user70385's user avatar
11 votes
1 answer

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 ...
Lisa Ann's user avatar
  • 2,133
2 votes
1 answer

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
meteoeliot's user avatar
1 vote
1 answer

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 ...
joesyc's user avatar
  • 415
3 votes
1 answer

What is the tail index for NIG and/or VG? 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 ...
Quartz's user avatar
  • 1,553