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stat.ME2026
Modeling Stock Returns and Volatility Using Bivariate Gamma Generalized Laplace Law
Tomasz J. Kozubowski, Andrey Sarantsev, James A. Spiker
We consider a generalization of the variance-gamma (generalized asymmetric Laplace) distribution, defined as a normal mean - variance mixture with a gamma mixing distribution. Whil…
stat.ME2022
Modified Method of Moments for Generalized Laplace Distribution
Adrian Fischer, Robert E. Gaunt, Andrey Sarantsev
In this note, we consider the performance of the classic method of moments for parameter estimation of symmetric variance-gamma (generalized Laplace) distributions. We do this thro…