Estimation and simulation for multivariate tempered stable distributions

Cites Work

Tempered infinitely divisible distributions and processes
Financial models with Lévy processes and volatility clustering.
Random variate generation for exponentially and polynomially tilted stable distributions
Sampling exponentially tilted stable distributions
Title not available (Why is that?)
On simulation of tempered stable random variates
Tempering stable processes
Tempered stable distributions. Stochastic models for multiscale processes
Generalized tempered stable processes
Title not available (Why is that?)
On a new class of tempered stable distributions: moments and regular variation
On the simulation of general tempered stable Ornstein–Uhlenbeck processes
An exact method for simulating rapidly decreasing tempered stable distributions in the finite variation case
Title not available (Why is that?)
Title not available (Why is that?)
Approximation of multidimensional stable densities
Title not available (Why is that?)
Do financial returns have finite or infinite variance? A paradox and an explanation
Title not available (Why is that?)
Differential evolution. A practical approach to global optimization. With CD-ROM.
Probability theory. A comprehensive course
A nonparametric test for equality of distributions with mixed categorical and continuous data
Estimation of stable spectral measures
Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model
Essentials of integration theory for analysis
Some classes of multivariate infinitely divisible distributions admitting stochastic integral representations
A method for simulating stable random vectors
Modelling tail risk with tempered stable distributions: an overview
Forward-looking portfolio selection with multivariate non-Gaussian models
On estimating the tail index and the spectral measure of multivariate \(\alpha\)-stable distributions
Exponential stock models driven by tempered stable processes
Weak subordination of multivariate Lévy processes and variance generalised gamma convolutions
On the transition laws of \(p\)-tempered \(\alpha \)-stable OU-processes
Rejection sampling for tempered Lévy processes
Elliptical tempered stable distribution

Cited In (8)

Estimation for multivariate normal rapidly decreasing tempered stable distributions
Approximating Multivariate Tempered Stable Processes
Estimation of tempered stable Lévy models of infinite variation
Representation and simulation of multivariate Dickman distributions and Vervaat perpetuities
Simulations of full multivariate Tweedie with flexible dependence structure
Parametric estimation of tempered stable laws
Portfolio optimization and marginal contribution to risk on multivariate normal tempered stable model
Efficient simulation of \(p\)-tempered \(\alpha\)-stable OU processes

This page was built for publication: Estimation and simulation for multivariate tempered stable distributions

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3390458)