Abstract: The heavy-tailed Multivariate Normal Inverse Gaussian (MNIG) distribution is a recent variance-mean mixture of a multivariate Gaussian with a univariate inverse Gaussian distribution. Due to ...

Appropriate modeling of time-varying dependencies is very important for quantifying financial risk, such as the risk associated with a portfolio of financial assets. Most of the papers analyzing ...

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The scale parameter is 1 for Poisson and binomial distributions. SAS/INSIGHT software provides different scale parameter estimates for normal, inverse Gaussian, and gamma distributions: Note You can ...