On the shapes of bilateral Gamma densities
By Uwe Kuchler, Stefan Tappe. 2008
59 citations recorded by the source corpus.
We investigate the four parameter family of bilateral Gamma distributions. The goal of this paper is to provide a thorough treatment of the shapes of their densities, which is of importance for assessing their fitting properties to sets of real data. This includes appropriate representations of the densities, analyzing their smoothness, unimodality and asymptotic behaviour.
Subfields: Applied Mathematics, Finance, Numerical Analysis
View Paper: https://www.semanticscholar.org/paper/28dcef10392c5f58316f397b21550789143b4228
How researchers see this paper
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In Applied Mathematics
In Finance
- Markus Reiß
- Michael H. Neumann
- Uwe Kuchler
- Stefan Tappe
- Valentine Genon-Catalot
- Fabienne Comte
- Denis Belomestny
- Jean Jacod
In Numerical Analysis
Citations in the corpus
- Tempered stable distributions and processes (2013, background): “β = β− = 0) the behaviour of the densities was treated in [24].”
- Density Approximations for Multivariate Affine Jump-Diffusion Processes (2011, unknown): “For real-valued coordinates we employ the bilateral Gamma density from Küchler and Tappe (2008a).”
- Nonparametric estimation for L\'evy processes from low-frequency observations (2007, methodology): “In contrast, when fitting the characteristic exponent Ψ, which is more attractive from a computational point of view and for example advocated in Jongbloed, van der Meulen, and van der Vaart (2005), we face a highly heteroskedastic noise level in log(φ̂n(u)) governed by |φ(u)|−1 because of log(φ̂n(u”