Discriminating between the normal inverse Gaussian and generalized hyperbolic skew-t distributions with a follow-up the stock exchange data
The statistical methods for the financial returns play a key role in measuring the goodness-of-fit of a given distribution to real data. As is well known, the normal inverse Gaussian (NIG) and generalized hyperbolic skew-t (GHST) distributions have been found to successfully describe the data of the...
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| Format: | Article |
| Language: | English |
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University of Belgrade
2018-01-01
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| Series: | Yugoslav Journal of Operations Research |
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| Online Access: | http://www.doiserbia.nb.rs/img/doi/0354-0243/2018/0354-02431800013P.pdf |