TempStable
CRANTempStableMaRDI QIDQ61371FDOQ61371
A Collection of Methods to Estimate Parameters of Different Tempered Stable Distributions
Cedric Maximilian Juessen, Till Massing
Last update: 24 October 2023
Copyright license: GNU General Public License, version 3.0, GNU General Public License, version 2.0
Software version identifier: 0.1.1, 0.1.0, 0.2.0, 0.2.2
A collection of methods to estimate parameters of different tempered stable distributions (TSD). Currently, there are seven different tempered stable distributions to choose from: Tempered stable subordinator distribution, classical TSD, generalized classical TSD, normal TSD, modified TSD, rapid decreasing TSD, and Kim-Rachev TSD. The package also provides functions to compute density and probability functions and tools to run Monte Carlo simulations. This package has already been used for the estimation of tempered stable distributions (Massing (2023) <arXiv:2303.07060>). The following references form the theoretical background for various functions in this package. References for each function are explicitly listed in its documentation: Bianchi et al. (2010) <doi:10.1007/978-88-470-1481-7_4> Bianchi et al. (2011) <doi:10.1137/S0040585X97984632> Carrasco (2017) <doi:10.1017/S0266466616000025> Feuerverger (1981) <doi:10.1111/j.2517-6161.1981.tb01143.x> Hansen et al. (1996) <doi:10.1080/07350015.1996.10524656> Hansen (1982) <doi:10.2307/1912775> Hofert (2011) <doi:10.1145/2043635.2043638> Kawai & Masuda (2011) <doi:10.1016/j.cam.2010.12.014> Kim et al. (2008) <doi:10.1016/j.jbankfin.2007.11.004> Kim et al. (2009) <doi:10.1007/978-3-7908-2050-8_5> Kim et al. (2010) <doi:10.1016/j.jbankfin.2010.01.015> Kuechler & Tappe (2013) <doi:10.1016/j.spa.2013.06.012> Rachev et al. (2011) <doi:10.1002/9781118268070>.
- Finite-Sample Properties of Some Alternative GMM Estimators
- Large Sample Properties of Generalized Method of Moments Estimators
- Tempered Infinitely Divisible Distributions and Processes
- A New Tempered Stable Distribution and Its Application to Finance
- Sampling Exponentially Tilted Stable Distributions
- Tempered stable distributions and processes in finance: numerical analysis
- Tempered stable and tempered infinitely divisible GARCH models
- EFFICIENT ESTIMATION USING THE CHARACTERISTIC FUNCTION
- On the Efficiency of Empirical Characteristic Function Procedures
- On simulation of tempered stable random variates
- Financial market models with Lévy processes and time-varying volatility
- Tempered stable distributions and processes
- Financial Models with Lévy Processes and Volatility Clustering
- Parametric Estimation of Tempered Stable Laws
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