2023
DOI: 10.1002/sta4.580
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Deep variance gamma processes

Abstract: Lévy processes are useful tools for analysis and modeling of jump‐diffusion processes. Such processes are commonly used in the financial and physical sciences. One approach to building new Lévy processes is through subordination, or a random time change. In this work, we discuss and examine a type of multiply subordinated Lévy process model that we term a deep variance gamma (DVG) process, including estimation and inspection methods for selecting the appropriate level of subordination given data. We perform an… Show more

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