The normal inverse Gaussian distribution is defined as a variance-mean mixture of a normal distribution with the inverse Gaussian as the mixing distribution. The distribution determines an homogeneous ...

Journal of the Royal Statistical Society. Series C (Applied Statistics), Vol. 27, No. 1 (1978), pp. 76-77 (2 pages) This note proposes an approximation to the cumulative normal distribution and its ...

It may be misleading to estimate value-at-risk (VAR) or other risk measures assuming normally distributed innovations in a model for a heteroscedastic financial return series. Using the t-distribution ...

With the current interest in copula methods, and fat-tailed or other non-normal distributions, it is appropriate to investigate technologies for managing marginal distributions of interest. We explore ...