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The variance gamma distribution
Author(s) -
Nestler Scott,
Hall Andrew
Publication year - 2019
Publication title -
significance
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.123
H-Index - 21
eISSN - 1740-9713
pISSN - 1740-9705
DOI - 10.1111/j.1740-9713.2019.01314.x
Subject(s) - gamma distribution , variance (accounting) , distribution (mathematics) , statistics , mathematics , econometrics , economics , mathematical analysis , accounting
Scott Nestler and Andrew Hall provide an overview of a little‐known but highly flexible distribution, which can be useful for modelling share price returns