Some crude approximation, calibration and estimation procedures for NIG-variates
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- Discussion papers (FOR) 
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.
First draft November 8, 2001 Revised November 8, 2002
UtgiverNorwegian School of Economics and Business Administration. Department of Finance and Management Science