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

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.

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Year of publication:	2002
Authors:	Lillestöl, Jostein
Publisher:	Berlin : Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
Subject:	risk management \| Normal Inverse Gaussian distribution

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Series:	SFB 373 Discussion Paper ; 2002,85
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	727089501 [GVK] hdl:10419/65292 [Handle] RePEc:zbw:sfb373:200285 [RePEc]
Source:	EconStor

Persistent link: https://www.econbiz.de/10010310514