dc.contributor.author | Lillestøl, Jostein | |
dc.date.accessioned | 2006-07-13T12:08:56Z | |
dc.date.available | 2006-07-13T12:08:56Z | |
dc.date.issued | 2002-11 | |
dc.identifier.issn | 1500-4066 | |
dc.identifier.uri | http://hdl.handle.net/11250/163681 | |
dc.description | First draft November 8, 2001
Revised November 8, 2002 | en |
dc.description.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. | en |
dc.format.extent | 403851 bytes | |
dc.format.mimetype | application/pdf | |
dc.language.iso | eng | en |
dc.publisher | Norwegian School of Economics and Business Administration. Department of Finance and Management Science | en |
dc.relation.ispartofseries | Discussion paper | en |
dc.relation.ispartofseries | 2002:16 | en |
dc.subject | normal inverse Gaussian distribution | en |
dc.subject | risk management | en |
dc.title | Some crude approximation, calibration and estimation procedures for NIG-variates | en |
dc.type | Working paper | en |