Reply to thread

Message

Indeed you are right about the recurrence relation for \(\Gamma\) and that if you take the pdf as you said, it works out right. Also I see now that you are right in using the pdf that you used, as it is, like you said, standardised, i.e. expectation \(0\), variance \(1\), which is what one naturally demands of the innovations.

[QUOTE="ferdia, post: 126346, member: 15361"] Indeed you are right about the recurrence relation for \(\Gamma\) and that if you take the pdf as you said, it works out right. Also I see now that you are right in using the pdf that you used, as it is, like you said, standardised, i.e. expectation \(0\), variance \(1\), which is what one naturally demands of the innovations. [/QUOTE]

Verification

Forums
Quant discussion
Pricing, Modeling
Expectation of folded Student's-t