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Autoregressive variance gamma model
1
Continuum of moments conditions
1
DIC
1
JAGS
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Maximum likelihood estimation
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Mixing representation
1
Normal Variance–Mean distribution
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Simulation
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Variance-Gamma distribution
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Fung, Thomas
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Kotchoni, Rachidi
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Seneta, Eugene
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Wang, Joanna J.J.
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Computational Statistics & Data Analysis
International journal of theoretical and applied finance
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Contaminated Variance–Mean mixing model
Fung, Thomas
;
Wang, Joanna J.J.
;
Seneta, Eugene
- In:
Computational Statistics & Data Analysis
67
(
2013
)
C
,
pp. 258-267
considered. This model generalises the popular
Variance-Gamma
(VG) distribution. This GNVM model can be interpreted as the …
Persistent link: https://www.econbiz.de/10010871309
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2
Applications of the characteristic function-based continuum GMM in finance
Kotchoni, Rachidi
- In:
Computational Statistics & Data Analysis
56
(
2012
)
11
,
pp. 3599-3622
based on the autoregressive
variance
Gamma
model are performed. Using the Alcoa price data, the findings suggest that …
Persistent link: https://www.econbiz.de/10010617655
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