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Document type:
Zeitschriftenaufsatz 
Author(s):
Kalemanova, A.; Werner, R. 
Non-TUM Co-author(s):
ja 
Cooperation:
Title:
A Short Note on the Efficient Implementation of the NIG Distribution 
Abstract:
The family of NIG distributions is a special case of the generalised hyperbolic distributions (Barndorff-Nielsen [1]). Due to their specific characteristics, NIG distributions are very interesting for applications in finance - they are a generally flexible four parameter distribution family that can produce fat tails and skewness, the class is convolution stable under certain conditions and the cumulative distribution function, density and inverse distribution functions can still be computed suf...    »
 
Intellectual Contribution:
Discipline-based Research 
Journal title:
working paper 
Year:
2006 
Pages contribution:
Reviewed:
ja 
Language:
en 
Status:
Erstveröffentlichung 
Format:
Text 
Key publication:
Nein 
Peer reviewed:
Nein 
International:
Ja 
Book review:
Nein 
Commissioned:
not commissioned 
Professional Journal:
Nein 
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