Some crude approximation, calibration and estimation procedures for NIG-variates
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. --
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Bibliographic InfoPaper provided by Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes in its series SFB 373 Discussion Papers with number 2002,85.
Date of creation: 2002
Date of revision:
risk management; Normal Inverse Gaussian distribution;
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