Multivariate NIG fit

Version 1.0.0.0 (1.58 KB) by Panagiotis Braimakis
It fits a multivariate normal inverse gaussian distribution to your data
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Updated 26 Sep 2006

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Well, i made this function some time ago and its purpose was to fit the Universe of the Greek stock market. After having grabbed my information to some matrices, vectors, god knows what, i decided to use it to price interest rate derivatives! I wont tell how, but you might as well try it as well.

Acknowledgements goes to Dr. Dimitris Karlis with whom I had some mathematical journeys from time to time

Cite As

Panagiotis Braimakis (2024). Multivariate NIG fit (https://www.mathworks.com/matlabcentral/fileexchange/12400-multivariate-nig-fit), MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R14
Compatible with any release
Platform Compatibility
Windows macOS Linux
Categories
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Version Published Release Notes
1.0.0.0