A normal inverse Gaussian model for risky asset returns

Leonenko, Nikolai N., Petherick, Stuart Gary and Sikorskii, A. 2012. A normal inverse Gaussian model for risky asset returns. Statistics & Probability Letters 82 (1) , pp. 109-115. 10.1016/j.spi2011.09.007

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Abstract

We present a new construction of the normal inverse Gaussian (NIG) fractal activity time model for a risky asset. The construction uses superpositions of diffusion processes and allows for specified exact NIG marginal distributions of the returns and flexible and tractable dependence structure including short or long range dependence. In the case of finite superposition, the fractal activity time is asymptotically self-similar, which is a desired feature seen in practice. The support for the distributional and dependence features of the risky asset model is provided by the data of currency exchange rates. © 2011 Elsevier B.V. All rights reserved.

Item Type:	Article
Date Type:	Publication
Status:	Published
Schools:	Mathematics
Subjects:	Q Science > QA Mathematics
Uncontrolled Keywords:	Diffusion-type processes; Inverse Gaussian distribution; Normal inverse Gaussian distribution; Superpositions
Publisher:	Elsevier
ISSN:	0167-7152
Last Modified:	20 Oct 2017 17:22
URI:	https://orca.cardiff.ac.uk/id/eprint/18700

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