Inference procedures for the variance gamma model and applications

DOI10.1080/00949655.2011.624518MaRDI QIDQ4922652zbMATH OpenOpenAlexFDO

Authors Dimitris Karlis, Simos G. Meintanis, Konstantinos Fragiadakis

Publication date 3 June 2013

Published in Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00949655.2011.624518

zbMATH Keywords

characteristic functiongoodness-of-fit testmaximum-likelihood estimationvariance gamma distribution

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10)

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• Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling
• On the choice of the smoothing parameter for the BHEP goodness-of-fit test
• Optimization by simulated annealing
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• Stable Paretian models in finance
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• The Variance Gamma Process and Option Pricing
• The t Copula and Related Copulas

Cited in

(11)

• A GAMMA MOVING AVERAGE PROCESS FOR MODELLING DEPENDENCE ACROSS DEVELOPMENT YEARS IN RUN-OFF TRIANGLES
• scientific article; zbMATH DE number 5499190 (Why is no real title available?)
• Tests of fit for normal inverse Gaussian distributions
• Approximation of the variance gamma model with a finite mixture of normals
• Towards a \(\Delta\)-Gamma Sato multivariate model
• Contaminated variance-mean mixing model
• Likelihood-based risk estimation for variance-gamma models
• scientific article; zbMATH DE number 1959649 (Why is no real title available?)
• scientific article; zbMATH DE number 1395933 (Why is no real title available?)
• Additivity of variance gamma distribution and its application in financial analysis
• A note on gamma difference distributions

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