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PDF-fromthejointdensity:ZNIG(;V;a;b)d2=ba PDF document

2p2jVj12aZ1 2a1exp1 2b1 2 TV1 d2ba 2p2jVj12aZexp1 2b1 2 TV1 d2baap 2 2p2jVj12ab1 2 TV1 ap 2ap 2 p2j2ab aVj1

(2)p=2jVj1=2(a)Z1 2a+1exp1 2b+1 2( )TV1( )d2=ba (2)p=2jVj1=2(a)Zexp1 2b+1 2( )TV1( )d2=baa+p 2 (2)p=2jVj1=2(a)b+1 2( )TV1( )(a+p 2)=a+p 2 p=2j(2a)b aVj1

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