On Properties of the MixedTS Distribution and Its Multivariate Extension

DOI10.1111/INSR.12265OpenAlexW2802016350MaRDI QIDQ6086599FDOQ6086599

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

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zbMATH Keywords

MixedTS distributionMixedTS Lévy processMixedTS tailsmultivariate MixedTS

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

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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

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