On Properties of the MixedTS Distribution and Its Multivariate Extension

DOI10.1111/INSR.12265MaRDI QIDQ6086599zbMATH OpenOpenAlexFDO

Authors Asmerilda Hitaj, Friedrich Hubalek, Lorenzo Mercuri, Edit Rroji

Publication date 10 November 2023

Published in International Statistical Review (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/2434/571641

zbMATH Keywords

MixedTS distributionMixedTS Lévy processMixedTS tailsmultivariate MixedTS

Mathematics Subject Classification ID

Statistics (62-XX)

Recommendations

• On multivariate extensions of the mixed tempered stable distribution
• scientific article; zbMATH DE number 4064272
• scientific article; zbMATH DE number 2099407
• Some fundamental properties of a multivariate von Mises distribution
• Dependence properties of multivariate mixture distributions and their applications
• A further generalization of mixture distributions
• On the multivariate compound distributions
• scientific article; zbMATH DE number 3919571

Cites work

• scientific article; zbMATH DE number 3711181 (Why is no real title available?)
• scientific article; zbMATH DE number 5018147 (Why is no real title available?)
• A MULTIVARIATE VARIANCE GAMMA MODEL FOR FINANCIAL APPLICATIONS
• A Simplex Method for Function Minimization
• Applications of the characteristic function-based continuum GMM in finance
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Efficient estimation of general dynamic models with a continuum of moment conditions
• Efficient estimation using the characteristic function
• Empirical Characteristic Function Estimation and Its Applications
• Financial Modelling with Jump Processes
• Generalization of GMM to a continuum of moment conditions
• Introduction to evolutionary computing
• Lévy processes induced by Dirichlet (B-)splines: modeling multivariate asset price dynamics
• Mixed tempered stable distribution
• Normal Variance-Mean Mixtures and z Distributions
• On multivariate extensions of the mixed tempered stable distribution
• On the asymptotic efficiency of GMM
• Option pricing in an exponential mixedts Lévy process
• Riding with the four horsemen and the multivariate normal tempered stable model
• Risk parity for mixed tempered stable distributed sources of risk
• Smile Asymptotics II: Models with Known Moment Generating Functions
• Tails of Lévy measure of geometric stable random variables
• Tempered stable distributions and processes

Cited in

(2)

• Modelling tail risk with tempered stable distributions: an overview
• A two-step estimation procedure for locally stationary ARMA processes with tempered stable innovations

This page was built for publication: On Properties of the MixedTS Distribution and Its Multivariate Extension

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6086599)