Skewed Normal Variance‐Mean Models for Asset Pricing and the Method of Moments

DOI10.1111/j.1751-5823.2006.tb00164.xzbMath1131.62096OpenAlexW2061894647MaRDI QIDQ5446544

Annelies Tjetjep, Eugene Seneta

Publication date: 6 March 2008

Published in: International Statistical Review (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1751-5823.2006.tb00164.x

zbMATH Keywords

exponential distributionkurtosisskewnessmethod of momentsskewed normalnormal variance-mean distributionLapalce distribution

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Exact distribution theory in statistics (62E15)

Related Items (11)

Contaminated variance-mean mixing model ⋮ Financial modelling applying multivariate Lévy processes: new insights into estimation and simulation ⋮ Semiparametric estimation in the normal variance-mean mixture model ⋮ Approximation of the variance gamma model with a finite mixture of normals ⋮ ECM algorithm for auto-regressive multivariate skewed variance gamma model with unbounded density ⋮ Quantile function expansion using regularly varying functions ⋮ Inference procedures for the variance gamma model and applications ⋮ A formulation for continuous mixtures of multivariate normal distributions ⋮ Stationary-increment Student and variance-gamma processes ⋮ A comparison of generalized hyperbolic distribution models for equity returns ⋮ Models for stock returns

Cites Work

• Subordinated market index models: A comparison
• Normal Variance-Mean Mixtures and z Distributions
• The Distribution of Stock Returns When the Market Is Up
• The Variance Gamma Process and Option Pricing
• A risky asset model with strong dependence through fractal activity time
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