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.
Dateien zu dieser Publikation
Referenzen
Is Part Of Series: Sonderforschungsbereich 373: Quantification and Simulation of Economic Processes - 85, SFB 373 Papers, ISSN:1436-1086
Keine Lizenzangabe