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

Lillestøl, Jostein
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URI
http://hdl.handle.net/11250/163681
Date
2002-11
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Abstract
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.
Description
First draft November 8, 2001 Revised November 8, 2002
Publisher
Norwegian School of Economics and Business Administration. Department of Finance and Management Science
Series
Discussion paper
2002:16