Some crude approximation, calibration and estimation procedures for NIG-variates

Jostein Lillestöl

In this paper we explore some crude approximation, calibration and estimation procedures for Normal Inverse Gaussian (NIG) variates of potential use in risk management. Among others we treat in some detail the calibration of bivariate NIG consistent with marginal NIG. -- risk management ; Normal Inverse Gaussian distribution

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Year of publication:	2002 ; Rev.
Authors:	Lillestöl, Jostein
Institutions:	Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse (contributor)
Publisher:	Berlin : Humboldt-Universität
Subject:	Schätztheorie \| Estimation theory \| Risiko \| Risk \| Statistische Verteilung \| Statistical distribution \| Varianzanalyse \| Analysis of variance \| Finanzmarkt \| Financial market