Quantile-Based Inference for Tempered Stable Distributions
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DOI: 10.1007/s10614-017-9718-0
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Cited by:
- Hasan Fallahgoul & Gregoire Loeper, 2021. "Modelling tail risk with tempered stable distributions: an overview," Annals of Operations Research, Springer, vol. 299(1), pages 1253-1280, April.
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More about this item
Keywords
Heavy tailed distribution; Tempered stable distribution; Method of simulated quantiles;All these keywords.
JEL classification:
- C5 - Mathematical and Quantitative Methods - - Econometric Modeling
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
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