Multi-modal tempered stable distributions and prosses with applications to finance

DOI10.1080/03610926.2019.1594304MaRDI QIDQ5077485zbMATH OpenOpenAlexFDO

Authors Ahmad Arefi, Reza Pourtaheri

Publication date 18 May 2022

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610926.2019.1594304

zbMATH Keywords

exponential Lévy modelfinancial datamulti-modal distributiontempered stable distributionsVaR

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Statistics (62-XX) Economic time series analysis (91B84)

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Cites work

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Cited in

(6)

• Riding with the four horsemen and the multivariate normal tempered stable model
• Multi-asset option pricing in incomplete market driven by multivariate normal tempered stable process
• Mixed tempered stable distribution
• Multimodality in macrofinancial dynamics
• Asymmetrically tempered stable distributions with applications to finance
• On multivariate extensions of the mixed tempered stable distribution

Describes a project that uses

Uses Software

• LBFGS-B
• AnDarl

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