You are not currently logged in.
Access your personal account or get JSTOR access through your library or other institution:
If You Use a Screen ReaderThis content is available through Read Online (Free) program, which relies on page scans. Since scans are not currently available to screen readers, please contact JSTOR User Support for access. We'll provide a PDF copy for your screen reader.
Fitting the Variance-Gamma Model to Financial Data
Journal of Applied Probability
Vol. 41, Stochastic Methods and Their Applications (2004), pp. 177-187
Published by: Applied Probability Trust
Stable URL: http://www.jstor.org/stable/3215976
Page Count: 11
Since scans are not currently available to screen readers, please contact JSTOR User Support for access. We'll provide a PDF copy for your screen reader.
Preview not available
This paper has as its main theme the fitting in practice of the variance-gamma distribution, which allows for skewness, by moment methods. This fitting procedure allows for possible dependence of increments in log returns, while retaining their stationarity. It is intended as a step in a partial synthesis of some ideas of Madan, Carr and Chang (1998) and of Heyde (1999). Standard estimation and hypothesis-testing theory depends on a large sample of observations which are independently as well as identically distributed and consequently may give inappropriate conclusions in the presence of dependence.
Journal of Applied Probability © 2004 Applied Probability Trust