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Approximations related to tempered stable distributions [PDF]
Modern Stochastics: Theory and ApplicationsIn this article, we first obtain, for the Kolmogorov distance, an error bound between a tempered stable and a compound Poisson distribution (CPD) and also an error bound between a tempered stable and an α-stable distribution via Stein’s method.
Kalyan Barman +2 more
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Pricing multi-asset options with tempered stable distributions
Financial InnovationWe derive methods for risk-neutral pricing of multi-asset options, when log-returns jointly follow a multivariate tempered stable distribution. These lead to processes that are more realistic than the better known Brownian motion and stable processes ...
Yunfei Xia, Michael Grabchak
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Use of tempered stable distributions in GARCH(1, 1) models
Журнал Белорусского государственного университета: Математика, информатика, 2018 Use of classical and modified tempered stable distributions for GARCH models is considered in the paper. Such models are applied for the analysis of financial and economic time series, which have several special properties: volatility clustering, heavy ...
Uladzimir S. Tserakh
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Discrete Tempered Stable Distributions [PDF]
Methodology and Computing in Applied Probability, 2021 A discrete tempered stable (DTS) random variable \(X\) with parameters \(\alpha\in(0,1)\) and \(\eta\geq0\), and with tempering function \(q\) satisfying \(\lim_{x\downarrow0}q(x)=1\) and \(\mathrm{ess}\sup q(x)
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Mathematics, 2022 The component GARCH model (CGARCH) was among the first attempts to split the conditional variance into a permanent and transitory component. With the application to economic and finance data, it helps investigate the long- and short-run movements of ...
Tong Liu, Yanlin Shi
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Mixed tempered stable distribution [PDF]
Quantitative Finance, 2013 In this paper we introduce a new parametric distribution, the Mixed Tempered Stable. It has the same structure of the Normal Variance Mean Mixtures but the normality assumption leaves place to a semi-heavy tailed distribution. We show that, by choosing appropriately the parameters of the distribution and under the concrete specification of the mixing ...
Rroji E, Mercuri L
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Discriminating between Light- and Heavy-Tailed Distributions with Limit Theorem. [PDF]
PLoS ONE, 2015 In this paper we propose an algorithm to distinguish between light- and heavy-tailed probability laws underlying random datasets. The idea of the algorithm, which is visual and easy to implement, is to check whether the underlying law belongs to the ...
Krzysztof Burnecki +2 more
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Elliptical Tempered Stable Distribution and Fractional Calculus [PDF]
SSRN Electronic Journal, 2014 16 pages, working ...
Hasan Fallahgoul, Young Shin Kim
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Asymptotic properties of M-estimator for GARCH(1, 1) model parameters
Журнал Белорусского государственного университета: Математика, информатика, 2020 GARCH(1, 1) model is used for analysis and forecasting of financial and economic time series. In the classical version, the maximum likelihood method is used to estimate the model parameters. However, this method is not convenient for analysis of models
Uladzimir S. Tserakh
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A time fractional model to represent rainfall process
Water Science and Engineering, 2014 This paper deals with a stochastic representation of the rainfall process. The analysis of a rainfall time series shows that cumulative representation of a rainfall time series can be modeled as a non-Gaussian random walk with a log-normal jump ...
Jacques Golder +3 more
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