A Multivariate and Asymmetric Generalization of Laplace Distribution
Author
Abstract
Suggested Citation
DOI: 10.1007/PL00022717
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Dilip B. Madan & Peter P. Carr & Eric C. Chang, 1998. "The Variance Gamma Process and Option Pricing," Review of Finance, European Finance Association, vol. 2(1), pages 79-105.
- Hinkley, David V. & Revankar, Nagesh S., 1977. "Estimation of the Pareto law from underreported data : A further analysis," Journal of Econometrics, Elsevier, vol. 5(1), pages 1-11, January.
- Anderson, Dale N., 1992. "A multivariate Linnik distribution," Statistics & Probability Letters, Elsevier, vol. 14(4), pages 333-336, July.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Jayanta K. Pokharel & Gokarna Aryal & Netra Khanal & Chris P. Tsokos, 2024. "Probability Distributions for Modeling Stock Market Returns—An Empirical Inquiry," IJFS, MDPI, vol. 12(2), pages 1-27, May.
- Guney, Yesim & Arslan, Olcay & Yavuz, Fulya Gokalp, 2022. "Robust estimation in multivariate heteroscedastic regression models with autoregressive covariance structures using EM algorithm," Journal of Multivariate Analysis, Elsevier, vol. 191(C).
- Wan-Lun Wang & Ahad Jamalizadeh & Tsung-I Lin, 2020. "Finite mixtures of multivariate scale-shape mixtures of skew-normal distributions," Statistical Papers, Springer, vol. 61(6), pages 2643-2670, December.
- Tsionas, Mike G. & Assaf, A. George & Andrikopoulos, Athanasios, 2020. "Quantile stochastic frontier models with endogeneity," Economics Letters, Elsevier, vol. 188(C).
- Shi, Jianhong & Bai, Xiuqin & Song, Weixing, 2022. "Tweedie-type formulae for a multivariate Laplace distribution," Statistics & Probability Letters, Elsevier, vol. 183(C).
- Kozubowski, Tomasz J. & Meerschaert, Mark M. & Panorska, Anna K. & Scheffler, Hans-Peter, 2005. "Operator geometric stable laws," Journal of Multivariate Analysis, Elsevier, vol. 92(2), pages 298-323, February.
- Wang, Yun & Xu, Houhua & Zou, Runmin & Zhang, Lingjun & Zhang, Fan, 2022. "A deep asymmetric Laplace neural network for deterministic and probabilistic wind power forecasting," Renewable Energy, Elsevier, vol. 196(C), pages 497-517.
- He, J.Y. & Chan, P.W. & Li, Q.S. & Lee, C.W., 2022. "Characterizing coastal wind energy resources based on sodar and microwave radiometer observations," Renewable and Sustainable Energy Reviews, Elsevier, vol. 163(C).
- Zozor, S. & Vignat, C., 2007. "On classes of non-Gaussian asymptotic minimizers in entropic uncertainty principles," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 375(2), pages 499-517.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Mattei, Pierre-Alexandre, 2017. "Multiplying a Gaussian matrix by a Gaussian vector," Statistics & Probability Letters, Elsevier, vol. 128(C), pages 67-70.
- Lord, Roger & Fang, Fang & Bervoets, Frank & Oosterlee, Kees, 2007. "A fast and accurate FFT-based method for pricing early-exercise options under Lévy processes," MPRA Paper 1952, University Library of Munich, Germany.
- Mei Xing, 2017. "Existence Conditions of Super-Replication Cost in a Multinomial Model," Journal of Mathematics Research, Canadian Center of Science and Education, vol. 9(4), pages 185-195, August.
- Buchmann, Boris & Kaehler, Benjamin & Maller, Ross & Szimayer, Alexander, 2017. "Multivariate subordination using generalised Gamma convolutions with applications to Variance Gamma processes and option pricing," Stochastic Processes and their Applications, Elsevier, vol. 127(7), pages 2208-2242.
- Yun, Jaeho, 2014. "Out-of-sample density forecasts with affine jump diffusion models," Journal of Banking & Finance, Elsevier, vol. 47(C), pages 74-87.
- Simi, Wei W. & Wang, Xiaoli, 2013. "Time-changed Lévy jump processes with GARCH model on reverse convertibles," Review of Financial Economics, Elsevier, vol. 22(4), pages 206-212.
- Yeap, Claudia & Kwok, Simon S. & Choy, S. T. Boris, 2016. "A Flexible Generalised Hyperbolic Option Pricing Model and its Special Cases," Working Papers 2016-14, University of Sydney, School of Economics.
- Mahmoud Zarepour & Thierry Bedard & Andre Dabrowski, 2008. "Return and Value at Risk using the Dirichlet Process," Applied Mathematical Finance, Taylor & Francis Journals, vol. 15(3), pages 205-218.
- Dilip B. Madan & Wim Schoutens & King Wang, 2017. "Measuring And Monitoring The Efficiency Of Markets," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(08), pages 1-32, December.
- Nicolas Huth & Frédéric Abergel, 2012. "The times change: multivariate subordination, empirical facts," Post-Print hal-00620841, HAL.
- Jose Cruz & Daniel Sevcovic, 2020. "On solutions of a partial integro-differential equation in Bessel potential spaces with applications in option pricing models," Papers 2003.03851, arXiv.org.
- Yongxin Yang & Yu Zheng & Timothy M. Hospedales, 2016. "Gated Neural Networks for Option Pricing: Rationality by Design," Papers 1609.07472, arXiv.org, revised Mar 2020.
- Samuel Asante Gyamerah & Philip Ngare & Dennis Ikpe, 2018.
"Regime-Switching Temperature Dynamics Model for Weather Derivatives,"
International Journal of Stochastic Analysis, Hindawi, vol. 2018, pages 1-15, July.
- Samuel Asante Gyamerah & Philip Ngare & Dennis Ikpe, 2018. "Regime-Switching Temperature Dynamics Model for Weather Derivatives," Papers 1808.04710, arXiv.org.
- Ricardo Crisóstomo, 2021.
"Estimating real‐world probabilities: A forward‐looking behavioral framework,"
Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(11), pages 1797-1823, November.
- Ricardo Cris'ostomo, 2020. "Estimating real-world probabilities: A forward-looking behavioral framework," Papers 2012.09041, arXiv.org, revised Jan 2021.
- Ricardo Crisóstomo, 2021. "Estimating real word probabilities: a forward-looking behavioral framework," CNMV Working Papers CNMV Working Papers no. 7, CNMV- Spanish Securities Markets Commission - Research and Statistics Department.
- Christoffersen, Peter & Jacobs, Kris & Chang, Bo Young, 2013.
"Forecasting with Option-Implied Information,"
Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 581-656,
Elsevier.
- Peter Christoffersen & Kris Jacobs & Bo Young Chang, 2011. "Forecasting with Option Implied Information," CREATES Research Papers 2011-46, Department of Economics and Business Economics, Aarhus University.
- Lam, K. & Chang, E. & Lee, M. C., 2002. "An empirical test of the variance gamma option pricing model," Pacific-Basin Finance Journal, Elsevier, vol. 10(3), pages 267-285, June.
- Kun Gao & Roger Lee, 2014. "Asymptotics of implied volatility to arbitrary order," Finance and Stochastics, Springer, vol. 18(2), pages 349-392, April.
- Fu, Qi & So, Jacky Yuk-Chow & Li, Xiaotong, 2024. "Stable paretian distribution, return generating processes and habit formation—The implication for equity premium puzzle," The North American Journal of Economics and Finance, Elsevier, vol. 70(C).
- Mathias Silva, 2023.
"Parametric models of income distributions integrating misreporting and non-response mechanisms,"
AMSE Working Papers
2311, Aix-Marseille School of Economics, France.
- Mathias Silva, 2023. "Parametric models of income distributions integrating misreporting and non-response mechanisms," Working Papers hal-04093646, HAL.
- Zura Kakushadze, 2016. "Volatility Smile as Relativistic Effect," Papers 1610.02456, arXiv.org, revised Feb 2017.
More about this item
Keywords
Bessel function; geometric compound; geometric stable law; heavy tailed modeling; elliptically contoured distribution; mixture; random summation; simulation;All these keywords.
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:compst:v:15:y:2000:i:4:d:10.1007_pl00022717. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.