Mixed tempered stable distribution
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Abstract: In this paper we introduce a new parametric distribution, the Mixed Tempered Stable. It has the same structure of the Normal Variance Mean Mixtures but the normality assumption leaves place to a semi-heavy tailed distribution. We show that, by choosing appropriately the parameters of the distribution and under the concrete specification of the mixing random variable, it is possible to obtain some well-known distributions as special cases. We employ the Mixed Tempered Stable distribution which has many attractive features for modeling univariate returns. Our results suggest that it is enough flexible to accomodate different density shapes. Furthermore, the analysis applied to statistical time series shows that our approach provides a better fit than competing distributions that are common in the practice of finance.
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Cited in
(15)- Option pricing in an exponential mixedts Lévy process
- Risk parity for mixed tempered stable distributed sources of risk
- Sensitivity analysis of mixed tempered stable parameters with implications in portfolio optimization
- Modelling tail risk with tempered stable distributions: an overview
- Lévy CARMA models for shocks in mortality
- Mixtures of \(t\)-distributions for finance and forecasting
- Mixed exponential power asymmetric conditional heteroskedasticity
- A New Tempered Stable Distribution and Its Application to Finance
- Fitting financial returns distributions: a mixture normality approach
- Use of tempered stable distributions in GARCH(1,1) models
- A new family of tempered distributions
- On multivariate extensions of the mixed tempered stable distribution
- On Properties of the MixedTS Distribution and Its Multivariate Extension
- A two-step estimation procedure for locally stationary ARMA processes with tempered stable innovations
- An efficient unified approach for spread option pricing in a copula market model
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