Sayantee Jana, Narayanaswamy Balakrishnan, Jemila S. Hamid, Inference in the Growth Curve Model under Multivariate Skew Normal Distribution, Sankhyā: The Indian Journal of Statistics, Series B (2008-) ...

A new model for financial returns with time varying variance, skewness and kurtosis based on the Normal Inverse Gaussian (NIG) distribution is proposed. The new model and two previously suggested NIG ...