Some crude approximation, calibration and estimation procedures for NIG-variates
Working paper
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http://hdl.handle.net/11250/163681Utgivelsesdato
2002-11Metadata
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Sammendrag
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.
Beskrivelse
First draft November 8, 2001
Revised November 8, 2002
Utgiver
Norwegian School of Economics and Business Administration. Department of Finance and Management ScienceSerie
Discussion paper2002:16