Fitting the variance-gamma model to financial data

By Eugene Seneta. Journal of Applied Probability, 2004

163 citations recorded by the source corpus.

Subfields: Finance, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/c7ab3d076fed7e13c8c19e28206a267ba5b7666a

Citations in the corpus

• A note on gamma difference distributions (2015, unknown): “Contrary to the statement in [1], the density function of a VG distribution has a closed-form expression in terms of a modified Bessel function of the third kind and elementary functions [2]; it is given by”
• The Variance-Gamma Distribution: A Review (2023, unknown): “Formulas for the first four central moments of the VG distribution, as well as the skewness and kurtosis, were given by Seneta [108].”
• Stationary-increment Student and variance-gamma processes (2006, unknown): “More historical details may be found in Seneta (2004).”