Deep variance gamma processes

DOI10.1002/STA4.580MaRDI QIDQ6548827FDO

Authors Caitlin M. Berry, William Kleiber

Publication date 3 June 2024

Published in Stat (Search for Journal in Brave)

zbMATH Keywords

subordinationcryptocurrencyBitcoinEthereumLévy process

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

• scientific article; zbMATH DE number 1639846 (Why is no real title available?)
• scientific article; zbMATH DE number 3770749 (Why is no real title available?)
• scientific article; zbMATH DE number 1402217 (Why is no real title available?)
• Empirical Characteristic Function Estimation and Its Applications
• Financial Modelling with Jump Processes
• Impact of jumps on returns and realised variances: econometric analysis of time-deformed Lévy processes
• Multiple subordinated modeling of asset returns: implications for option pricing
• Nonparametric estimation for Lévy models based on discrete-sampling
• Sieve-based confidence intervals and bands for Lévy densities
• The Variance Gamma Process and Option Pricing

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