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The Variance Gamma (V.G.) Model for Share Market Returns

JOURNAL ARTICLE published January 1990 in The Journal of Business

Authors: Dilip B. Madan | Eugene Seneta

Variance‐Gamma Model

OTHER published 26 February 2010 in Encyclopedia of Quantitative Finance

Authors: Eugene Seneta

An Empirical Examination of the Variance‐Gamma Model for Foreign Currency Options*

JOURNAL ARTICLE published November 2005 in The Journal of Business

Authors: Elton A. Daal | Dilip B. Madan

On the monotonicity of the labour-capital ratio in Sraffa's model

JOURNAL ARTICLE published February 1990 in Journal of Economics

Authors: Dilip Madan | Eugene Seneta

Fitting the variance-gamma model to financial data

JOURNAL ARTICLE published 2004 in Journal of Applied Probability

Authors: Eugene Seneta

Fitting the variance-gamma model to financial data

JOURNAL ARTICLE published 2004 in Journal of Applied Probability

Authors: Eugene Seneta

Pricing American options under variance gamma

JOURNAL ARTICLE published 2003 in The Journal of Computational Finance

Authors: Ali Hirsa | Dilip Madan

Occupational stress in accountancy: A review

JOURNAL ARTICLE published 1990 in Journal of Business and Psychology

Authors: Kenneth J. Smith

A Variance Decomposition for Stock Returns

REPORT published January 1990

Authors: John Campbell

Stationary-increment Student and variance-gamma processes

JOURNAL ARTICLE published June 2006 in Journal of Applied Probability

Authors: Richard Finlay | Eugene Seneta

Stationary-increment Student and variance-gamma processes

JOURNAL ARTICLE published June 2006 in Journal of Applied Probability

Authors: Richard Finlay | Eugene Seneta

The Early Years of the Variance-Gamma Process

BOOK CHAPTER published 2007 in Applied and Numerical Harmonic Analysis

Authors: Eugene Seneta

Discussion of “Sequential Bayesian learning for stochastic volatility with variance‐gamma jumps in returns”

JOURNAL ARTICLE published July 2018 in Applied Stochastic Models in Business and Industry

Authors: Refik Soyer

Discussion of “Sequential Bayesian learning for stochastic volatility with variance‐gamma jumps in returns”

JOURNAL ARTICLE published July 2018 in Applied Stochastic Models in Business and Industry

Authors: Nalini Ravishanker

How Does the Market Variance Risk Premium Vary Over Time? Evidence from S&P 500 Variance Swap Investment Returns

JOURNAL ARTICLE published in SSRN Electronic Journal

Authors: Eirini Konstantinidi | George S. Skiadopoulos

On the Corporate Demand for Insurance: Evidence from the Reinsurance Market

JOURNAL ARTICLE published January 1990 in The Journal of Business

Authors: David Mayers | Clifford W. Smith, Jr.

Bilateral Multiple Gamma Returns: Their Risks and Rewards

JOURNAL ARTICLE published in SSRN Electronic Journal

Authors: Dilip B. Madan | Wim Schoutens | King Wang

Variance–Gamma

OTHER published 27 August 2004 in Volatility and Correlation

Stationary‐Increment Variance‐Gamma and t Models: Simulation and Parameter Estimation

JOURNAL ARTICLE published August 2008 in International Statistical Review

Authors: Richard Finlay | Eugene Seneta

Commodity Variance Risk Premia and Expected Futures Returns: Evidence from the Crude Oil Market

JOURNAL ARTICLE published in SSRN Electronic Journal

Authors: Sang Baum Kang | Xuhui (Nick) Pan