Pages that link to "Item:Q4822460"
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The following pages link to Fitting the variance-gamma model to financial data (Q4822460):
Displayed 44 items.
- Numerical approximations of optimal portfolios in mispriced asymmetric Lévy markets (Q322955) (← links)
- A framework for analyzing the robustness of movement models to variable step discretization (Q329358) (← links)
- Approximation of the variance gamma model with a finite mixture of normals (Q419211) (← links)
- Sieve-based confidence intervals and bands for Lévy densities (Q453294) (← links)
- Approximations for the distributions of bounded variation Lévy processes (Q613155) (← links)
- Simulation of Lévy-driven Ornstein-Uhlenbeck processes with given marginal distribution (Q961440) (← links)
- Optimal hedging via large deviation (Q1673025) (← links)
- Quantile function expansion using regularly varying functions (Q1739326) (← links)
- Likelihood-based risk estimation for variance-gamma models (Q1742843) (← links)
- Fourier inference for stochastic volatility models with heavy-tailed innovations (Q1785815) (← links)
- Cyber risk ordering with rank-based statistical models (Q2058552) (← links)
- Financial modelling applying multivariate Lévy processes: new insights into estimation and simulation (Q2163888) (← links)
- On bounds for the mode and median of the generalized hyperbolic and related distributions (Q2208273) (← links)
- ECM algorithm for auto-regressive multivariate skewed variance gamma model with unbounded density (Q2218841) (← links)
- Characteristic function estimation of non-Gaussian Ornstein-Uhlenbeck processes (Q2390465) (← links)
- Estimation of a noisy subordinated Brownian motion via two-scales power variations (Q2408746) (← links)
- Affordable and adequate annuities with stable payouts: fantasy or reality? (Q2415961) (← links)
- Testing for the generalized normal-Laplace distribution with applications (Q2445771) (← links)
- Tailweight, quantiles and kurtosis: A study of competing distributions (Q2457260) (← links)
- Duality between matrix variate \(t\) and matrix variate V.G. distributions (Q2507766) (← links)
- Moments of the generalized hyperbolic distribution (Q2513365) (← links)
- A cumulant approach for the first-passage-time problem of the Feller square-root process (Q2661059) (← links)
- Multivariate tempered stable additive subordination for financial models (Q2675366) (← links)
- Estimation of Parameters of the Ornstein-Uhlenbeck Type Processes with Continuum of Moment Conditions (Q2807637) (← links)
- Fractal Activity Time Models for Risky Asset with Dependence and Generalized Hyperbolic Distributions (Q2893289) (← links)
- SOME PRICING TOOLS FOR THE VARIANCE GAMMA MODEL (Q3304214) (← links)
- Convergence of integrated superpositions of Ornstein-Uhlenbeck processes to fractional Brownian motion (Q3368564) (← links)
- Stationary-increment Student and variance-gamma processes (Q3410925) (← links)
- SCALE MIXTURES DISTRIBUTIONS IN STATISTICAL MODELLING (Q3530175) (← links)
- Nonparametric estimation of the shape function in a Gamma process for degradation data (Q3636243) (← links)
- Almost Sure and Moment Exponential Stability of Regime-Switching Jump Diffusions (Q4591239) (← links)
- Marginal consistent dependence modelling using weak subordination for Brownian motions (Q4619532) (← links)
- Inference procedures for the variance gamma model and applications (Q4922652) (← links)
- Dependence calibration and portfolio fit with factor-based subordinators (Q5001188) (← links)
- Multinomial method for option pricing under Variance Gamma (Q5031847) (← links)
- A Scale Mixture Approach to t-Distributed Mixture Regression (Q5050421) (← links)
- Minimal relative entropy for equivalent martingale measures by low-discrepancy sequence in Lévy process (Q5086497) (← links)
- Semi-parametric estimation of the autoregressive parameter in non-Gaussian Ornstein–Uhlenbeck processes (Q5087552) (← links)
- A note on gamma difference distributions (Q5220935) (← links)
- Student processes (Q5694148) (← links)
- The variance-gamma ratio distribution (Q6081754) (← links)
- Generalizing the Inequality Process’ gamma model of particle wealth statistics (Q6134393) (← links)
- Ornstein-Uhlenbeck process driven by \(\alpha\)-stable process and its gamma subordination (Q6164836) (← links)
- On the moments of the variance-gamma distribution (Q6178685) (← links)