Calibration for Weak Variance-Alpha-Gamma Processes
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Buchmann, Boris; Lu, Kevin; Madan, Dilip B.
Description
The weak variance-alpha-gamma process is a multivariate Lévy process constructed by weakly subordinating Brownian motion, possibly with correlated components with an alpha-gamma subordinator. It generalises the variance-alpha-gamma process of Semeraro constructed by traditional subordination. We compare three calibration methods for the weak variance-alpha-gamma process, method of moments, maximum likelihood estimation (MLE) and digital moment estimation (DME). We derive a condition for Fourier...[Show more]
Collections | ANU Research Publications |
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Date published: | 2018-08-23 |
Type: | Journal article |
URI: | http://hdl.handle.net/1885/236910 |
Source: | Methodology and Computing in Applied Probability |
DOI: | 10.1007/s11009-018-9655-y |
Access Rights: | Open Access |
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File | Description | Size | Format | Image |
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1801.08852.pdf | Author accepted manuscript | 3.44 MB | Adobe PDF |
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