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

Teneng, Dean (2013): A note on NIG-Levy process in asset price modeling: case of Estonian companies.

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Abstract

The purpose of this note is twofold. First, to correct mistakes relating to terminology and analysis of results in Teneng [7]. Second, to 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

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