NIG and Skew Student's t: Two special cases of the Generalised Hyperbolic Distribution

Aas, Kjersti; Hobæk Haff, Ingrid

January 01, 2005

SAMBA

• Areas: Finance, insurance and power market
• Keywords: Probability distribution, Generalised Hyperbolic, NIG, Skew Student's t, EM-algorithm, Simulation
• Page(s): 14
• Name and number of project: 220195
• Title: NIG and Skew Student's t: Two special cases of the Generalised Hyperbolic Distribution
• Author(s): Aas, Kjersti; Hobæk Haff, Ingrid
• Report number: SAMBA/01/05
• Published date: January 01, 2005