Approximation of the variance gamma model with a finite mixture of normals
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Publication:419211
DOI10.1016/j.spl.2011.10.004zbMath1237.62024OpenAlexW2066707813MaRDI QIDQ419211
Edit Rroji, Angela Loregian, Lorenzo Mercuri
Publication date: 18 May 2012
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10281/21102
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- Large Sample Properties of Generalized Method of Moments Estimators
- On the convergence properties of the EM algorithm
- An EM type algorithm for maximum likelihood estimation of the normal-inverse Gaussian distribution
- Finite mixture and Markov switching models.
- Fitting the variance-gamma model to financial data
- The Variance Gamma Process and Option Pricing
- Skewed Normal Variance‐Mean Models for Asset Pricing and the Method of Moments
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