Search Results - subject:"Generalized Gamma Convolution"

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On log-normal convolutions : an analytical-numerical method with applications to economic capital determination

Furman, Edward; Hackmann, Daniel; Kuznetsov, Alexey - In: Insurance / Mathematics & economics 90 (2020), pp. 120-134

Persistent link: https://www.econbiz.de/10012169509

Random matrix models for datasets with fixed time horizons

Zitelli, G. L. - In: Quantitative finance 20 (2020) 5, pp. 769-781

Persistent link: https://www.econbiz.de/10012262618

Stochastic volatility models based on OU-Gamma time change : theory and estimation

James, Lancelot F.; Müller, Gernot; Zhang, Zhiyuan - In: Journal of business & economic statistics : JBES ; a … 36 (2018) 1, pp. 75-87

Persistent link: https://www.econbiz.de/10011894398

On valuing stochastic perpetuities using new long horizon stock price models distinguishing booms, busts, and balanced markets

Madan, Dilip B.; Yor, Marc - In: Mathematical finance : an international journal of … 26 (2016) 2, pp. 296-328

Persistent link: https://www.econbiz.de/10011577146

On the distribution of the Rosenblatt process

Maejima, Makoto; Tudor, Ciprian A. - In: Statistics & Probability Letters 83 (2013) 6, pp. 1490-1495

We prove that the multivariate Rosenblatt distribution belongs to the Thorin class which is a subset of the class of selfdecomposable distributions. Using this fact we derive new properties of the Rosenblatt distribution.

Persistent link: https://www.econbiz.de/10010664065