Some crude approximation, calibration and estimation procedures for NIG-variates

Jostein Lillestöl

No 2002,85, SFB 373 Discussion Papers from Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes

Abstract: 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.

Keywords: risk management; Normal Inverse Gaussian distribution (search for similar items in EconPapers)
Date: 2002
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:sfb373:200285

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