Calibration for weak variance-alpha-gamma processes (Q2176361)
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scientific article; zbMATH DE number 7196057
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|---|---|---|---|
| default for all languages | No label defined |
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| English | Calibration for weak variance-alpha-gamma processes |
scientific article; zbMATH DE number 7196057 |
Statements
Calibration for weak variance-alpha-gamma processes (English)
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4 May 2020
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Brownian motion
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gamma process
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Lévy process
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subordination
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variance-gamma
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variance-alpha-gamma
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self-decomposability
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log-return
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method of moments
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maximum likelihood estimation
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digital moment estimation
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0.8056312799453735
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0.7681724429130554
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0.7572547793388367
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0.7469283938407898
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0.7437940835952759
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