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
Institutions:	Sonderforschungsbereich 373, Quantifikation und Simulation ökonomischer Prozesse, Wirtschaftswissenschaftliche Fakultät
Subject:	risk management \| Normal Inverse Gaussian distribution

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Extent:	application/pdf
Series:	SFB 373 Discussion Papers.
Type of publication:	Book / Working Paper
Notes:	Number 2002,85
Source:	RePEc - Research Papers in Economics

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