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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- Bauer, Christian, 2000. "Value at risk using hyperbolic distributions," Journal of Economics and Business, Elsevier, vol. 52(5), pages 455-467.
- Ole E. Barndorff-Nielsen & Neil Shephard, 2001. "Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 63(2), pages 167-241.
- Winfried Stute & Wenceslao Manteiga & Manuel Quindimil, 1993. "Bootstrap based goodness-of-fit-tests," Metrika, Springer, vol. 40(1), pages 243-256, December.
- Dominique Guegan & Julien Houdain, 2006. "Hedging tranches index products : illustration of model dependency," Post-Print halshs-00179325, HAL.
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