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

Dean Teneng

MPRA Paper from University Library of Munich, Germany

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.

Keywords: NIG; Levy process; Jumps; forecasting; goodness of fits. (search for similar items in EconPapers)
JEL-codes: C10 C16 C52 (search for similar items in EconPapers)
Date: 2013-06-27
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https://mpra.ub.uni-muenchen.de/49398/9/MPRA_paper_49398.pdf revised version (application/pdf)

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:47862

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