Stationary-increment variance-gamma and t models: simulation and parameter estimation

DOI10.1111/J.1751-5823.2008.00044.XMaRDI QIDQ6574223zbMATH OpenFDO

Authors Richard Finlay, Eugene Seneta

Publication date 18 July 2024

Published in International Statistical Review (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/J.1751-5823.2008.00044.X

zbMATH Keywords

\(t\) modelempirical characteristic function estimationkurtosislong range dependencemethod of momentsminimum \(\chi^2\) estimationproduct-density maximum likelihood estimationsimulationskewnessvariance-gamma model

Mathematics Subject Classification ID

Stochastic processes (60Gxx) Applications of statistics (62Pxx) Mathematical economics (91Bxx)

Cites work

• A Gamma Activity Time Process with Noninteger Parameter and Self-Similar Limit
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• Skewed Normal Variance‐Mean Models for Asset Pricing and the Method of Moments
• Stationary-increment Student and variance-gamma processes
• Student processes
• Subordinated market index models: A comparison
• Tailweight, quantiles and kurtosis: A study of competing distributions
• The Variance Gamma Process and Option Pricing

Cited in

(3)

• Modelling and estimation for bivariate financial returns
• Modified method of moments for generalized Laplace distributions
• The variance-gamma distribution: a review

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