Journal article
The Normal-Generalised Gamma-Pareto process: a novel pure-jump Levy process with flexible tail and jump-activity properties
- Abstract:
-
We propose a novel family of self-decomposable L´evy processes where one can control separately the tail behavior and the jump activity of the process, via two different parameters. Crucially, we show that one can sample exactly increments of this process, at any time scale; this allows the implementation of likelihood-free Markov chain Monte Carlo algorithms for (asymptotically) exact posterior inference. We use this novel process in L´evy-based stochastic volatility models to predict the re...
Expand abstract
- Publication status:
- Published
- Peer review status:
- Peer reviewed
Actions
Authors
Bibliographic Details
- Publisher:
- International Society for Bayesian Analysis Publisher's website
- Journal:
- Bayesian Analysis Journal website
- Publication date:
- 2022-12-13
- Acceptance date:
- 2022-11-18
- DOI:
- EISSN:
-
1931-6690
- ISSN:
-
1936-0975
Item Description
- Language:
- English
- Keywords:
- Pubs id:
-
1308412
- Local pid:
- pubs:1308412
- Deposit date:
- 2022-11-23
Terms of use
- Copyright holder:
- International Society for Bayesian Analysis
- Copyright date:
- 2022
- Rights statement:
- © 2022 International Society for Bayesian Analysis. Rights: Creative Commons Attribution 4.0 International License (http://creativecommons.org/licenses/by/4.0/)
- Licence:
- CC Attribution (CC BY)
Metrics
If you are the owner of this record, you can report an update to it here: Report update to this record