Generalized z-Distributions and Related Stochastic Processes

By B. Grigelionis. 2001

59 citations recorded by the source corpus.

Subfields: Finance, Modeling and Simulation

View Paper: https://www.semanticscholar.org/paper/0aa6b7cbe4e4a8becddf10247ad0d09e53d4ed24

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Finance

1. James G. Scott
2. Nicholas G. Polson
3. Wim Schoutens
4. W. Reed
5. Jun Yu
6. Tim Bollerslev
7. N. Shephard
8. Mikhail Chernov

In Modeling and Simulation

1. James G. Scott
2. Nicholas G. Polson
3. Wim Schoutens

Citations in the corpus

• Local shrinkage rules, Lévy processes and regularized regression (2010, background): “This is recognizable as the characteristic function of a Meixner process, z ∼ Meix.σ, c, 12 ,μ/ (Grigelionis, 1999).”
• The Meixner process : theory and applications in finance (2002, background): “Our Meixner(a, b, d,m) distribution has semiheavy tails [16].”