Normal tempered stable copula

DOI10.1016/J.AML.2013.01.009MaRDI QIDQ2339016zbMATH OpenOpenAlexFDO

Authors Yanyan Li

Publication date 30 March 2015

Published in Applied Mathematics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.aml.2013.01.009

zbMATH Keywords

asymmetric dependencycopulanormal tempered stable copula

Mathematics Subject Classification ID

Statistics of extreme values; tail inference (62G32) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• Feller processes of normal inverse Gaussian type
• Financial Modelling with Jump Processes
• scientific article; zbMATH DE number 50330 (Why is no real title available?)
• scientific article; zbMATH DE number 2231189 (Why is no real title available?)
• Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model
• Multivariate Skewed Student's t Copula in the Analysis of Nonlinear and Asymmetric Dependence in the German Equity Market

Cited in

(8)

• Implied risk aversion: an alternative rating system for retail structured products
• Quanto option pricing in the presence of fat tails and asymmetric dependence
• Portfolio optimization and marginal contribution to risk on multivariate normal tempered stable model
• Dependence structure of market states
• Elliptical tempered stable distribution
• Factor copula model for portfolio credit risk
• Gaussian copula of stable random vectors and application
• Portfolio optimization with relative tail risk

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