Type G and spherical distributions on

Stergios Fotopoulos ()

Statistics & Probability Letters, 2005, vol. 72, issue 1, 23-32

Abstract: A class of multivariate distributions obtained by Gaussian randomizations of jumps of a Lévy process is studied. Specifically, exact convenient representations of type G distributions, given that they are of spherical type, are demonstrated. The methodology reveals new ways in extracting families of distributions that may help in understanding various applications that arise in finance. Applications from explicit distributions are also confirmed.

Keywords: Variance; mixture; of; normal; distributions; Radial; functions; Lévy; measures; Series; and; integral; representations (search for similar items in EconPapers)
Date: 2005
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Citations: View citations in EconPapers (1)

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