Simulation and Estimation of the Meixner Distribution

DOI10.1080/03610910802395679MaRDI QIDQ3616251zbMATH OpenOpenAlexFDO

Authors Matteo Grigoletto, Corrado Provasi

Publication date 24 March 2009

Published in Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610910802395679

zbMATH Keywords

APARCH modelbootstrapgoodness of fitJohnson translation systemmaximum likelihood estimationrejection method

Mathematics Subject Classification ID

Exact distribution theory in statistics (62E15) Point estimation (62F10) Bootstrap, jackknife and other resampling methods (62F40) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Recommendations

• Reviewing alternative characterizations of Meixner process
• Likelihood ratio gradient estimation for Meixner distribution and Lévy processes
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Cites work

• A Class of Nonlinear Arch Models
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• Analytical derivates of the APARCH model
• Augmented GARCH\((p,q)\) process and its diffusion limit
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• Bootstrap based goodness-of-fit-tests
• Bootstrap misspecification tests for ARCH based on the empirical process of squared residuals
• Contributions of empirical and quantile processes to the asymptotic theory of goodness-of-fit tests. (With comments)
• Empirical process of the squared residuals of an ARCH sequence
• Empirical processes with estimated parameters under auxiliary information
• Generalized \(z\)-distributions and related stochastic processes
• Generalized autoregressive conditional heteroscedasticity
• scientific article; zbMATH DE number 3954145 (Why is no real title available?)
• scientific article; zbMATH DE number 1220667 (Why is no real title available?)
• Limit results for the empirical process of squared residuals in GARCH models.
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• Parametric bootstrap tests for continuous and discrete distributions
• Resampling methods for dependent data
• SYSTEMS OF FREQUENCY CURVES GENERATED BY METHODS OF TRANSLATION
• The NIG-S&ARCH model: a fat-tailed, stochastic, and autoregressive conditional heteroskedastic volatility model
• Weighted empirical processes in dynamic nonlinear models.

Cited in

(7)

• A general control variate method for option pricing under Lévy processes
• GARCH option pricing models with Meixner innovations
• Likelihood ratio gradient estimation for Meixner distribution and Lévy processes
• Reviewing alternative characterizations of Meixner process
• Estimation and Simulation of the Riesz-Bessel Distribution
• On the local asymptotic behavior of the likelihood function for Meixner Lévy processes under high-frequency sampling
• Score-driven multi-regime Markov-switching EGARCH: empirical evidence using the Meixner distribution

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