Approximation of the variance gamma model with a finite mixture of normals
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Cites work
- scientific article; zbMATH DE number 3567782 (Why is no real title available?)
- scientific article; zbMATH DE number 3273551 (Why is no real title available?)
- An EM type algorithm for maximum likelihood estimation of the normal-inverse Gaussian distribution
- Finite mixture and Markov switching models.
- Finite mixture models
- Fitting the variance-gamma model to financial data
- Large Sample Properties of Generalized Method of Moments Estimators
- On the convergence properties of the EM algorithm
- Skewed Normal Variance‐Mean Models for Asset Pricing and the Method of Moments
- The Variance Gamma Process and Option Pricing
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- Wasserstein and Kolmogorov error bounds for variance-gamma approximation via Stein's method. I
- Mixed tempered stable distribution
- Additivity of variance gamma distribution and its application in financial analysis
- Finite mixtures of unimodal beta and gamma densities and the \(k\)-bumps algorithm
- Implementation of Lévy CARMA model in \texttt{yuima} package
- Consistency of the MLE under a two-parameter gamma mixture model with a structural shape parameter
- Finite mixture approximation of CARMA(p,q) models
- Risk parity for mixed tempered stable distributed sources of risk
- Lévy CARMA models for shocks in mortality
- Likelihood-based risk estimation for variance-gamma models
- An efficient unified approach for spread option pricing in a copula market model
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