Tempered infinitely divisible distributions and processes
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DOI: 10.5445/IR/1000023237
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References listed on IDEAS
- Rosinski, Jan, 2007. "Tempering stable processes," Stochastic Processes and their Applications, Elsevier, vol. 117(6), pages 677-707, June.
- Kim, Young Shin & Rachev, Svetlozar T. & Bianchi, Michele Leonardo & Fabozzi, Frank J., 2008. "Financial market models with Lévy processes and time-varying volatility," Journal of Banking & Finance, Elsevier, vol. 32(7), pages 1363-1378, July.
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Cited by:
- Küchler, Uwe & Tappe, Stefan, 2013. "Tempered stable distributions and processes," Stochastic Processes and their Applications, Elsevier, vol. 123(12), pages 4256-4293.
- Kim, Young Shin & Rachev, Svetlozar T. & Bianchi, Michele Leonardo & Mitov, Ivan & Fabozzi, Frank J., 2011.
"Time series analysis for financial market meltdowns,"
Journal of Banking & Finance, Elsevier, vol. 35(8), pages 1879-1891, August.
- Young Shin Kim & Rachev, Svetlozar T. & Bianchi, Michele Leonardo & Mitov, Ivan & Fabozzi, Frank J., 2010. "Time series analysis for financial market meltdowns," Working Paper Series in Economics 2, Karlsruhe Institute of Technology (KIT), Department of Economics and Management.
- Uwe Kuchler & Stefan Tappe, 2019. "Tempered stable distributions and processes," Papers 1907.05141, arXiv.org.
- Søren Asmussen, 2022. "On the role of skewness and kurtosis in tempered stable (CGMY) Lévy models in finance," Finance and Stochastics, Springer, vol. 26(3), pages 383-416, July.
- Grabchak, Michael, 2021. "An exact method for simulating rapidly decreasing tempered stable distributions in the finite variation case," Statistics & Probability Letters, Elsevier, vol. 170(C).
- Michael Grabchak, 2021. "On the transition laws of p-tempered $$\alpha $$ α -stable OU-processes," Computational Statistics, Springer, vol. 36(2), pages 1415-1436, June.
- Hassan A. Fallahgoul & Young S. Kim, 2014. "Elliptical Tempered Stable Distribution and Fractional Calculus," Papers 1408.3387, arXiv.org, revised Aug 2014.
- Schosser, Stephan & Vogt, Bodo, 2011. "The public loss game: An experimental study of public bads," Working Paper Series in Economics 33, Karlsruhe Institute of Technology (KIT), Department of Economics and Management.
- Küchler, Uwe & Tappe, Stefan, 2014. "Exponential stock models driven by tempered stable processes," Journal of Econometrics, Elsevier, vol. 181(1), pages 53-63.
- Uwe Kuchler & Stefan Tappe, 2019. "Exponential stock models driven by tempered stable processes," Papers 1907.05142, arXiv.org.
- Michele Leonardo Bianchi & Asmerilda Hitaj & Gian Luca Tassinari, 2020. "Multivariate non-Gaussian models for financial applications," Papers 2005.06390, arXiv.org.
- Schaffer, Axel, 2011. "Appropriate policy measures to attract private capital in consideration of regional efficiency in using infrastructure and human capital," Working Paper Series in Economics 31, Karlsruhe Institute of Technology (KIT), Department of Economics and Management.
- Hasan A. Fallahgoul & Young S. Kim & Frank J. Fabozzi & Jiho Park, 2019. "Quanto Option Pricing with Lévy Models," Computational Economics, Springer;Society for Computational Economics, vol. 53(3), pages 1279-1308, March.
- Hassan A. Fallahgoul & Young S. Kim & Frank J. Fabozzi, 2016. "Elliptical tempered stable distribution," Quantitative Finance, Taylor & Francis Journals, vol. 16(7), pages 1069-1087, July.
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More about this item
Keywords
stable distributions; tempered stable distributions; tempered infinitely divisible distributions; modified tempered stable distributions;All these keywords.
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2011-05-30 (Econometrics)
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