Fat and skew : can NIG cure? : on the prospects of using the normal inverse Gaussian distribution in finance
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- Discussion papers (FOR) 
This paper explores the possibility of using the Normal Inverse Gaussian (NIG) distribution introduced by Barndorff-Nielsen (1997) in various problem areas in finance where distributions often are found to be non-normal due to skewness and fat tails. More specificly we discuss problems of risk analysis and portfolio choice in a NIG context. We also briefly look into some aspects of NIG-modeling and estimation, but numerics and empirics will be pursued elsewhere.
Revised June 15, 1998
UtgiverNorwegian School of Economics and Business Administration. Department of Finance and Management Science