Calibration for weak variance-alpha-gamma processes

DOI10.1007/s11009-018-9655-yzbMath1447.60075arXiv1801.08852OpenAlexW2799176022WikidataQ129338524 ScholiaQ129338524MaRDI QIDQ2176361

Kevin W. Lu, Dilip B. Madan, Boris Buchmann

Publication date: 4 May 2020

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1801.08852

zbMATH Keywords

subordinationmaximum likelihood estimationBrownian motionLévy processmethod of momentsself-decomposabilitygamma processvariance-gammavariance-alpha-gammalog-returndigital moment estimation

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Point estimation (62F10) Characteristic functions; other transforms (60E10)

Related Items (4)

Calibration for multivariate Lévy-driven Ornstein-Uhlenbeck processes with applications to weak subordination ⋮ Correlating Lévy processes with self-decomposability: applications to energy markets ⋮ WEAK SUBORDINATION OF MULTIVARIATE LÉVY PROCESSES ⋮ Necessity of weak subordination for some strongly subordinated Lévy processes

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