Observing the gamma mixing variable in a bivariate generalized Laplace model reduces MLE to linear regression, yielding explicit estimators with nonstandard convergence rates for some parameters, demonstrated on major stock indices.
Wallin (2015)
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Modeling Stock Returns and Volatility Using Bivariate Gamma Generalized Laplace Law
Observing the gamma mixing variable in a bivariate generalized Laplace model reduces MLE to linear regression, yielding explicit estimators with nonstandard convergence rates for some parameters, demonstrated on major stock indices.