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dc.contributor.authorLillestøl, Jostein
dc.date.accessioned2006-07-13T12:08:56Z
dc.date.available2006-07-13T12:08:56Z
dc.date.issued2002-11
dc.identifier.issn1500-4066
dc.identifier.urihttp://hdl.handle.net/11250/163681
dc.descriptionFirst draft November 8, 2001 Revised November 8, 2002en
dc.description.abstractIn 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.extent403851 bytes
dc.format.mimetypeapplication/pdf
dc.language.isoengen
dc.publisherNorwegian School of Economics and Business Administration. Department of Finance and Management Scienceen
dc.relation.ispartofseriesDiscussion paperen
dc.relation.ispartofseries2002:16en
dc.subjectnormal inverse Gaussian distributionen
dc.subjectrisk managementen
dc.titleSome crude approximation, calibration and estimation procedures for NIG-variatesen
dc.typeWorking paperen


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