JENSEN, MORTEN B.; LUNDE, ASGER - In: Econometrics Journal 4 (2001) 2, pp. 10-10
This paper examines the capabilities of the Normal Inverse Gaussian distribu-tion as a model for stock returns. We extend the model of Barndorff-Nielsen (1997) to allow for a richer volatility structure and compare with the existing GARCH-type models. We conclude that the proposed model...