Bessel inequalities with applications to conditional log returns under GIG scale mixtures of normal vectors.

DOI10.1016/j.spl.2003.08.011zbMath1103.33003OpenAlexW2026214622MaRDI QIDQ1423024

Venkata K. Jandhyala, Stergios B. Fotopoulos

Publication date: 14 February 2004

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

Full work available at URL: https://doi.org/10.1016/j.spl.2003.08.011

zbMATH Keywords

Bessel functionFinancial marketHeteroskedasticityScale mixture

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Bessel and Airy functions, cylinder functions, ({}_0F_1) (33C10)

Related Items (5)

Bounds for ratios of modified Bessel functions and associated Turán-type inequalities ⋮ Bounds for functions involving ratios of modified Bessel functions ⋮ Transition law-based simulation of generalized inverse Gaussian Ornstein-Uhlenbeck processes ⋮ On a sum of modified Bessel functions ⋮ Regression Properties for Asymmetric Generalized Scale Mixtures of Multivariate Gaussian Variables

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