Some crude approximation, calibration and estimation procedures for NIG-variates
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.
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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.
- Winfried Stute & Wenceslao Manteiga & Manuel Quindimil, 1993. "Bootstrap based goodness-of-fit-tests," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 40(1), pages 243-256, December.
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