Bessel inequalities with applications to conditional log returns under GIG scale mixtures of normal vectors

Stergios Fotopoulos () and Venkata K. Jandhyala

Statistics & Probability Letters, 2004, vol. 66, issue 2, 117-125

Abstract: Ratios of Bessel functions of third kind occur naturally in the expressions for conditional moments of financial log returns under GIG scale mixtures of normal vectors. In this article, various expressions and elegant bounds for such Bessel ratios are derived.

Keywords: Financial; market; Scale; mixture; Heteroskedasticity; Bessel; function (search for similar items in EconPapers)
Date: 2004
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