Absolute Moments of Generalized Hyperbolic Distributions and Approximate Scaling of Normal Inverse Gaussian Lévy Processes

Ole Eiler Barndorff‐nielsen and Robert Stelzer
Authors registered in the RePEc Author Service: Ole E. Barndorff-Nielsen

Scandinavian Journal of Statistics, 2005, vol. 32, issue 4, 617-637

Abstract: Abstract. Expressions for (absolute) moments of generalized hyperbolic and normal inverse Gaussian (NIG) laws are given in terms of moments of the corresponding symmetric laws. For the (absolute) moments centred at the location parameter μ explicit expressions as series containing Bessel functions are provided. Furthermore, the derivatives of the logarithms of absolute μ‐centred moments with respect to the logarithm of time are calculated explicitly for NIG Lévy processes. Computer implementation of the formulae obtained is briefly discussed. Finally, some further insight into the apparent scaling behaviour of NIG Lévy processes is gained.

Date: 2005
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