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- W3150078291 abstract "The purpose of this note is three folds. First, we review Levy processes and analyse jumps. Second, we correct mistakes relating to terminology and analysis of results in Teneng [7]. Third, we extend results by showing returns of companies trading on Tallinn Stock Exchange between 01 January 2008 and 01 January 2012 cannot be modeled by NIG distribution; both in cases where closing prices can and cannot be modeled by NIG distribution. Thus, the NIG-Levy process cannot be used to forecast the future prices of these assets." @default.
- W3150078291 created "2021-04-13" @default.
- W3150078291 creator A5080790589 @default.
- W3150078291 date "2013-01-01" @default.
- W3150078291 modified "2023-09-26" @default.
- W3150078291 title "A note on NIG-Levy process in asset price modeling: case of Estonian companies" @default.
- W3150078291 hasPublicationYear "2013" @default.
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