Elliptical tempered stable distribution

DOI10.1080/14697688.2015.1111522MaRDI QIDQ5001190zbMATH OpenOpenAlexFDO

Authors

Publication date 16 July 2021

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697688.2015.1111522

zbMATH Keywords

elliptical distributionfractional calculustempered stable distribution

Mathematics Subject Classification ID

Fractional derivatives and integrals (26A33) Infinitely divisible distributions; stable distributions (60E07) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cited in

(6)

• Modelling tail risk with tempered stable distributions: an overview
• Learning for infinitely divisible GARCH models in option pricing
• Estimation and simulation for multivariate tempered stable distributions
• Forward-looking portfolio selection with multivariate non-Gaussian models
• Insurance risk analysis using tempered stable subordinator
• A welcome to the jungle of continuous-time multivariate non-Gaussian models based on Lévy processes applied to finance

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• QRM

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