On the shapes of bilateral gamma densities

DOI10.1016/J.SPL.2008.02.039zbMATH Open1146.62309arXiv1907.09856OpenAlexW2053401563MaRDI QIDQ951204FDOQ951204

Authors: Uwe Küchler, Stefan Tappe 

Publication date: 30 October 2008

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Abstract: We investigate the four parameter family of bilateral Gamma distributions. The goal of this paper is to provide a thorough treatment of the shapes of their densities, which is of importance for assessing their fitting properties to sets of real data. This includes appropriate representations of the densities, analyzing their smoothness, unimodality and asymptotic behaviour.

Full work available at URL: https://arxiv.org/abs/1907.09856

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Mathematics Subject Classification ID

Exact distribution theory in statistics (62E15) Asymptotic distribution theory in statistics (62E20) Characterization and structure theory of statistical distributions (62E10)

Cites Work

• Bilateral gamma distributions and processes in financial mathematics
• Purely discontinuous asset price processes
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• Hyperbolic distributions in finance
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• On higher derivatives of distribution functions of class L

Cited In (18)

• On the consistency of the MLE for Ornstein-Uhlenbeck and other selfdecomposable processes
• Infinitely divisible multivariate and matrix gamma distributions
• Multivariate subordination using generalised gamma convolutions with applications to variance gamma processes and option pricing
• Generalized Laplacian distributions and autoregressive processes
• Nonparametric estimation for Lévy processes from low-frequency observations
• On lower partial moments for the investment portfolio with variance-gamma distributed returns
• Option pricing in a conditional bilateral Gamma model
• Nonparametric adaptive estimation for grouped data
• The behavioral implications of the bilateral gamma process
• A generalized quantile regression model
• Mixed tempered stable distribution
• Exponential stock models driven by tempered stable processes
• Markovian short rates in multidimensional term structure Lévy models
• The bilateral Gamma motion: calibration and option pricing
• Tempered stable distributions and processes
• Generalized normal-Laplace AR process
• Calibration for weak variance-alpha-gamma processes
• Density approximations for multivariate affine jump-diffusion processes

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