Duality between matrix variate t and matrix variate V.G. distributions
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References listed on IDEAS
- Praetz, Peter D, 1972. "The Distribution of Share Price Changes," The Journal of Business, University of Chicago Press, vol. 45(1), pages 49-55, January.
- Madan, Dilip B & Seneta, Eugene, 1990. "The Variance Gamma (V.G.) Model for Share Market Returns," The Journal of Business, University of Chicago Press, vol. 63(4), pages 511-524, October.
- Dreier, I. & Kotz, S., 2002. "A note on the characteristic function of the t-distribution," Statistics & Probability Letters, Elsevier, vol. 57(3), pages 221-224, April.
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- Fung, Thomas & Seneta, Eugene, 2010. "Extending the multivariate generalised t and generalised VG distributions," Journal of Multivariate Analysis, Elsevier, vol. 101(1), pages 154-164, January.
- Tounsi, Mariem & Zine, Raoudha, 2012. "The inverse Riesz probability distribution on symmetric matrices," Journal of Multivariate Analysis, Elsevier, vol. 111(C), pages 174-182.
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KeywordsCharacteristic function Inversion theorem Inverted Wishart Log return Matrix generalized inverse Gaussian Matrix variate distributions Wishart Variance-gamma;
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