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A note on NIG-Levy process in asset price modeling: case of Estonian companies

Author

Listed:
  • Teneng, Dean

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.

Suggested Citation

  • Teneng, Dean, 2013. "A note on NIG-Levy process in asset price modeling: case of Estonian companies," MPRA Paper 47862, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:47862
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    More about this item

    Keywords

    NIG; Levy process; Jumps; forecasting; goodness of fits.;
    All these keywords.

    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • C16 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Econometric and Statistical Methods; Specific Distributions
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection

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