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Bessel inequalities with applications to conditional log returns under GIG scale mixtures of normal vectors

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  • Fotopoulos, Stergios B.
  • Jandhyala, Venkata K.

Abstract

Ratios of Bessel functions of third kind occur naturally in the expressions for conditional moments of financial log returns under GIG scale mixtures of normal vectors. In this article, various expressions and elegant bounds for such Bessel ratios are derived.

Suggested Citation

  • Fotopoulos, Stergios B. & Jandhyala, Venkata K., 2004. "Bessel inequalities with applications to conditional log returns under GIG scale mixtures of normal vectors," Statistics & Probability Letters, Elsevier, vol. 66(2), pages 117-125, January.
    • Handle: RePEc:eee:stapro:v:66:y:2004:i:2:p:117-125
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    References listed on IDEAS

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    1. Devroye, Luc, 2002. "Simulating Bessel random variables," Statistics & Probability Letters, Elsevier, vol. 57(3), pages 249-257, April.
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    4. Cambanis, Stamatis & Fotopoulos, Stergios B. & He, Lijian, 2000. "On the Conditional Variance for Scale Mixtures of Normal Distributions," Journal of Multivariate Analysis, Elsevier, vol. 74(2), pages 163-192, August.
    5. Praetz, Peter D, 1972. "The Distribution of Share Price Changes," The Journal of Business, University of Chicago Press, vol. 45(1), pages 49-55, January.
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    7. Cambanis, Stamatis & Wu, Wei, 1992. "Multiple regression on stable vectors," Journal of Multivariate Analysis, Elsevier, vol. 41(2), pages 243-272, May.
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    Cited by:

    1. Shibin Zhang, 2011. "Transition Law-based Simulation of Generalized Inverse Gaussian Ornstein–Uhlenbeck Processes," Methodology and Computing in Applied Probability, Springer, vol. 13(3), pages 619-656, September.

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