Bessel inequalities with applications to conditional log returns under GIG scale mixtures of normal vectors.

DOI10.1016/J.SPL.2003.08.011zbMath1103.33003OpenAlexW2026214622MaRDI QIDQ1423024

Venkata K. Jandhyala, Stergios B. Fotopoulos

Publication date: 14 February 2004

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2003.08.011

zbMATH Keywords

Bessel functionFinancial marketHeteroskedasticityScale mixture

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Bessel and Airy functions, cylinder functions, ({}_0F_1) (33C10)

Related Items (5)

Bounds for ratios of modified Bessel functions and associated Turán-type inequalities ⋮ Bounds for functions involving ratios of modified Bessel functions ⋮ Transition law-based simulation of generalized inverse Gaussian Ornstein-Uhlenbeck processes ⋮ On a sum of modified Bessel functions ⋮ Regression Properties for Asymmetric Generalized Scale Mixtures of Multivariate Gaussian Variables

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• On the theory of elliptically contoured distributions
• Multiple regression on stable vectors
• Exponential families of stochastic processes
• Processes of normal inverse Gaussian type
• On the conditional variance for scale mixtures of normal distributions
• Simulating bessel random variables
• On the linearity of regression
• The Infinite Divisibility of the Von Mises-Fisher Distribution for All Values of the Parameter in all Dimensions
• Rational Bounds for Ratios of Modified Bessel Functions
• Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling
• Computation of Modified Bessel Functions and Their Ratios
• The conditional variance for gamma mixtures of normal distributions
• Bounds for modified Bessel functions

This page was built for publication: Bessel inequalities with applications to conditional log returns under GIG scale mixtures of normal vectors.