Inference procedures for the variance gamma model and applications

DOI10.1080/00949655.2011.624518zbMATH Open1348.62160OpenAlexW2085599950MaRDI QIDQ4922652FDOQ4922652

Simos G. Meintanis, Dimitris Karlis, 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

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zbMATH Keywords

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

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10)

Cites Work

• Pathwise coordinate optimization
• Optimization by Simulated Annealing
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• A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
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• On the choice of the smoothing parameter for the BHEP goodness-of-fit test
• The Variance Gamma Process and Option Pricing
• Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling
• Fitting the variance-gamma model to financial data
• Simulation of Estimates Using the Empirical Characteristic Function
• Limiting behavior of the ICF test for normality under Gram-Charlier alternatives
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• Brownian–Laplace Motion and Its Use in Financial Modelling
• A multivariate jump-driven financial asset model
• Subordinated market index models: A comparison
• BINARY REGRESSION WITH A CLASS OF SKEWEDtLINK MODELS
• Extending the multivariate generalised \(t\) and generalised \(VG\) distributions

Cited In (6)

• Towards a \(\Delta\)-Gamma Sato multivariate model
• A GAMMA MOVING AVERAGE PROCESS FOR MODELLING DEPENDENCE ACROSS DEVELOPMENT YEARS IN RUN-OFF TRIANGLES
• A note on gamma difference distributions
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)

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