scientific article; zbMATH DE number 5566166

zbMATH Open1166.60013MaRDI QIDQ3633248FDOQ3633248

Authors: Yong Shin Kim, Dong Myung Chung, Michele Leonardo Bianchi, Svetlozar T. Rachev 

Publication date: 18 June 2009

Full work available at URL: http://www.math.uni.wroc.pl/~pms/publications.php

Title of this publication is not available (Why is that?)

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zbMATH Keywords

tempered stable distributionoption pricingvolatility clusteringGARCH process

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Economic time series analysis (91B84)

Cited In (29)

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• Modelling tail risk with tempered stable distributions: an overview
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• Tempered stable processes with time-varying exponential tails
• A generalization result regarding the small and large scale behavior of infinitely divisible processes
• Fractionally integrated GARCH model with tempered stable distribution: a simulation study
• American option valuation under time changed tempered stable Lévy processes
• Subordinated continuous-time AR processes and their application to modeling behavior of mechanical system
• Estimation of the tail of probability distribution through its characteristic function
• Periodic portfolio revision with transaction costs
• Option pricing and hedging under a stochastic volatility Lévy process model
• Empirical analysis of ARMA-GARCH models in market risk estimation on high-frequency US data
• A New Tempered Stable Distribution and Its Application to Finance
• Long-range dependence in the risk-neutral measure for the market on Lehman Brothers collapse
• Extending the Fama and French model with a long term memory factor
• Geometric Brownian motion with tempered stable waiting times
• Exponential stock models driven by tempered stable processes
• Asymmetrically tempered stable distributions with applications to finance
• A GARCH option pricing model with \(\alpha\)-stable innovations
• Smoothly truncated stable distributions, GARCH-models, and option pricing
• Modeling anomalous diffusion by a subordinated fractional Lévy-stable process
• Tempered stable distributions and processes
• Use of tempered stable distributions in GARCH(1,1) models
• Calibration of the subdiffusive arithmetic Brownian motion with tempered stable waiting-times
• Elliptical tempered stable distribution
• A two-step estimation procedure for locally stationary ARMA processes with tempered stable innovations
• Multi-modal tempered stable distributions and prosses with applications to finance
• Exact simulation of normal tempered stable processes of OU type with applications
• Fast simulation of tempered stable Ornstein-Uhlenbeck processes

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