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

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

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

• scientific article; zbMATH DE number 3814037 (Why is no real title available?)
• scientific article; zbMATH DE number 1528193 (Why is no real title available?)
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• Bilateral gamma distributions and processes in financial mathematics
• Hyperbolic distributions in finance
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• On higher derivatives of distribution functions of class L
• Purely discontinuous asset price processes

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(18)

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• 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
• Tempered stable distributions and processes
• Generalized normal-Laplace AR process
• The bilateral Gamma motion: calibration and option pricing
• Calibration for weak variance-alpha-gamma processes
• Density approximations for multivariate affine jump-diffusion processes

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