Risk estimation using the normal inverse Gaussian distribution

By J. Venter, Pieter Juriaan de Jongh. 2001

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The Generalized Hyperbolic Skew Student’s t-Distribution (2006, methodology): “…applications, both as the conditional distribution of a GARCH-model (Andersson, 2001; Jensen and Lunde, 2001; Forsberg and Bollerslev, 2002; Venter and de Jongh, 2002) and as the unconditional †Address for correspondence: The Norwegian Computing Center, P.O. Box 114 Blindern, N-0314 Oslo,…”
Developing a stress testing framework based on market risk models (2008, background): “Venter and de Jongh (2002), for example, use the normal inverse Gaussian distribution.”
Models for construction of multivariate dependence – a comparison study (2009, methodology): “Hence, we follow Venter and de Jongh (2002) and use the normal inverse Gaussian (NIG) distribution (Barndorff-Nielsen 1997 ) as the conditional distribution.”