Questions tagged [normal-inverse-gaussian]
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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 ...
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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 ...
- 1,553
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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-...
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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 ...
- 415
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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 ...
