Modeling Stock Returns and Volatility Using Bivariate Gamma Generalized Laplace Law
利用二元 Gamma 广义 Laplace 分布建模股票收益与波动率
We consider a generalization of the variance-gamma (generalized asymmetric Laplace) distribution, defined as a normal mean - variance mixture with a gamma mixing distribution. While this model is typically studied in the univariate setting, we assume that the gamma mixing variable is observed alongside the primary variable, resulting in a bivariate framework. In this setting, maximum likelihood estimation becomes significantly simpler than in the standard univariate case,…