Results 261 to 270 of about 1,451,186 (286)
Some of the next articles are maybe not open access.
The Variance Gamma (V.G.) Model for Share Market Returns
The Journal of Business, 1990A new stochastic process, termed the variance gamma process, is proposed as a model for the uncertainty underlying security prices. The unit period distribution is normal conditional on a variance that is distributed as a gamma variate. Its advantages include long tailedness, continuous-time specification, finite moments of all orders, elliptical ...
Madan, Dilip B, Seneta, Eugene
openaire +1 more source
A Mixture of Variance-Gamma Factor Analyzers
2017The mixture of factor analyzers model is extended to variance-gamma mixtures to facilitate flexible clustering of high-dimensional data. The formation of the variance-gamma distribution utilized is a special and limiting case of the generalized hyperbolic distribution.
Sharon M. McNicholas +2 more
openaire +1 more source
On risk measuring in the variance-gamma model
Statistics & Risk Modeling, 2017Abstract In this paper, we discuss the problem of calculating the primary risk measures in the variance-gamma model. A portfolio of investments in a one-period setting is considered. It is supposed that the investment returns are dependent on each other.
openaire +1 more source
Inference for Variance-Gamma Driven Stochastic Systems
2023 26th International Conference on Information Fusion (FUSION), 2023Joseph Johnson +2 more
openaire +1 more source
Variances and covariances of order statistics from the gamma distribution
Biometrika, 1974SUMMARY The expectations, variances and covariances of the order statistics in a sample of size n from a standardized gamma distribution with parameter r are tabulated for r = 2(1)5 and n = 2(1)10.
openaire +1 more source
The Early Years of the Variance-Gamma Process
2007Dilip Madan and I worked on stochastic process models with stationary independent increments for the movement of log-prices at the University of Sydney in the period 1980–1990, and completed the 1990 paper [21] while respectively at the University of Maryland and the University of Virginia.
openaire +1 more source
The Supernova–Gamma-Ray Burst Connection
Annual Review of Astronomy and Astrophysics, 2006S E Woosley
exaly
Different Origins of Gamma Rhythm and High-Gamma Activity in Macaque Visual Cortex
PLoS Biology, 2011Supratim Ray, John Maunsell
exaly
A survey of the application of gamma processes in maintenance
Reliability Engineering and System Safety, 2009J M van Noortwijk
exaly