Risk estimation using the multivariate Normal Inverse Gaussian distribution

Aas, Kjersti; Dimakos, Xeni Kristine; Hobæk Haff, Ingrid

December 01, 2003

SAMBA

• Areas: Finance, insurance and power market
• Keywords: Expected shortfall, heavy tails, multivariate GARCH, skewness, VaR
• Page(s): 27
• Name and number of project:
• Title: Risk estimation using the multivariate Normal Inverse Gaussian distribution
• Author(s): Aas, Kjersti; Dimakos, Xeni Kristine; Hobæk Haff, Ingrid
• Report number: SAMBA/27/03
• Published date: December 01, 2003