On the shapes of bilateral gamma densities

DOI10.1016/J.SPL.2008.02.039MaRDI QIDQ951204zbMATH OpenOpenAlexFDO

Authors Uwe Küchler, Stefan Tappe

Publication date 30 October 2008

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

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

Mathematics Subject Classification ID

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

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.

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Cites work

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Cited in

(25)

• On lower partial moments for the investment portfolio with variance-gamma distributed returns
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• Density approximations for multivariate affine jump-diffusion processes
• Exponential stock models driven by tempered stable processes
• On the consistency of the MLE for Ornstein-Uhlenbeck and other selfdecomposable processes
• Generalized Laplacian distributions and autoregressive processes
• Option pricing in a conditional bilateral Gamma model
• Mixed tempered stable distribution
• Markovian short rates in multidimensional term structure Lévy models
• A generalized quantile regression model
• Nonparametric estimation for Lévy processes from low-frequency observations
• Tempered stable distributions and processes
• The bilateral Gamma motion: calibration and option pricing
• From characteristic functions to multivariate distribution functions and European option prices by the (damped) COS method
• W-shaped implied volatility curves in a variance-gamma mixture model
• A large class of bilateral distributions for financial applications
• Realized probability
• Failure of Fourier pricing techniques to approximate the Greeks
• Covariance identities and variance bounds for infinitely divisible random variables and their applications
• Statistical inference for highly correlated stationary point processes and noisy bivariate Neyman-Scott processes
• Nonparametric adaptive estimation for grouped data
• Generalized normal-Laplace AR process

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