Tempered stable and tempered infinitely divisible GARCH models
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DOI: 10.5445/IR/1000023239
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- Shin Kim, Young & Rachev, Svetlozar T. & Leonardo Bianchi, Michele & Fabozzi, Frank J., 2010. "Tempered stable and tempered infinitely divisible GARCH models," Journal of Banking & Finance, Elsevier, vol. 34(9), pages 2096-2109, September.
References listed on IDEAS
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More about this item
Keywords
tempered infinitely divisible distribution; tempered stable distribution; rapidly decreasing tempered stable distribution; GARCH model option pricing;All these keywords.
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2011-05-30 (Econometrics)
- NEP-ETS-2011-05-30 (Econometric Time Series)
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