Benth, Fred Espen; Henriksen, Pål Nicolai - In: Journal of Forecasting 30 (2011) 3, pp. 355-376
In this paper we study the approximation of a sum of assets having marginal log-returns being multivariate normal inverse Gaussian distributed. We analyse the choice of a univariate exponential NIG distribution, where the approximation is based on matching of moments. Probability densities and...