Bayesian estimation of NIG-parameters by Markov chain Monte Carlo methods
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The Normal Inverse Gaussian (NIG) distribution recently introduced by Barndorff-Nielsen (1997) is a promising alternative for modelling financial data exhibiting skewness and fat tails. In this paper we explore the Bayesian estimation of NIG-parameters by Markov Chain Monte Carlo Methods.
First draft September 16, 1998. Revision of January 15, 2001
UtgiverNorwegian School of Economics and Business Administration. Department of Finance and Management Science