Results 171 to 180 of about 6,070,112 (198)

Modeling Tail Risk with Tempered Stable Distributions: An Overview

SSRN Electronic Journal, 2018
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Hasan Fallahgoul, Grégoire Loeper
openaire   +3 more sources

On Brascamp–Lieb and Poincaré type inequalities for generalized tempered stable distribution

Statistics & Probability Letters, 2022
In this paper, the authors analyze covariance inequalities using Stein's method for the class of generalized tempered stable probability distributions. They obtain a Stein's lemma and derive a Stein operator for this class. They also prove Brascamp-Lieb and Poincaré type inequalities for the class of generalized tempered stable probability ...
Kalyan Barman, Neelesh S. Upadhye
openaire   +1 more source

Quantile-Based Inference for Tempered Stable Distributions

SSRN Electronic Journal, 2015
If the closed-form formula for the probability density function is not available, implementing the maximum likelihood estimation is challenging. We introduce a simple, fast, and accurate way for the estimation of numerous distributions that belong to the class of tempered stable probability distributions.
Hasan A. Fallahgoul, David Veredas, Frank J. Fabozzi   +2 more
openaire   +1 more source

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

Communications in Statistics - Theory and Methods, 2020
The assumption of underlying return distribution plays an important role in asset pricing models.
Ahmad Arefi, Reza Pourtaheri
openaire   +1 more source

Limit Theorems for Tempered Stable Distributions

2015
In this chapter we introduce the class of extended p-tempered α-stable distributions, which is the smallest class of models that contains TS α p and is closed under weak convergence. We then characterize weak convergence of sequences in this class.
openaire   +1 more source

A New Tempered Stable Distribution and Its Application to Finance

2008
In this paper, we will discuss a parametric approach to risk-neutral density extraction from option prices based on the knowledge of the estimated historical density. A flexible distribution is needed in order to find an equivalent change of measure and, at the same time, take into account the historical estimates.
Rachev, S. T., Kim, Y. S., Fabozzi, F., Bianchi, M.-L.   +3 more
openaire   +1 more source

Markov Regime-Switching in-Mean Model with Tempered Stable Distribution

Computational Economics, 2019
Markov Regime-Switching (MRS) model is a widely used approach to model the actuarial and financial data with potential structural breaks. In the original MRS model, the innovation series is assumed to follow a Normal distribution, which cannot accommodate fat-tailed properties commonly present in empirical data.
Yanlin Shi, Lingbing Feng, Tong Fu
openaire   +1 more source

Parameter Estimation for Tempered Stable Distributions Using Cumulant Matching

Fluctuation and Noise Letters
This paper presents a novel parameter estimation method for tempered stable distributions based on cumulant matching. Estimation techniques, such as Maximum Likelihood Estimation (MLE), face significant challenges due to the intractable density functions of tempered stable distributions. To address this issue, we introduce the Method of Cumulants (MoC),
Sadegh Miri, Erfan Salavati, Mostafa Shamsi, Mohammad Zare   +3 more
openaire   +1 more source

Multivariate tempered stable random fields

Journal of Mathematical Analysis and Applications, 2021
Dustin Kremer
exaly  

Regularity of semigroups for exponentially tempered stable processes with drift

Journal of Mathematical Analysis and Applications, 2023
Chung-Sik Sin
exaly