Results 11 to 20 of about 7,006,649 (251)
Modeling overdispersion with the normalized tempered stable distribution [PDF]
Computational Statistics & Data Analysis, 2011 This paper discusses a multivariate distribution which generalizes the Dirichlet distribution and demonstrates its usefulness for modelling overdispersion in count data. The distribution is constructed by normalizing a vector of independent Tempered Stable random variables.
M. Kolossiatis +2 more
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Risk Measurement Using the Mixed Tempered Stable Distribution
, 2014 The Mixed Tempered Stable distribution (MixedTS) recently introduced has as special cases parametric distributions used in asset return modelling such as the Variance Gamma (VG) and Tempered Stable. In this paper, we start from this flexible distribution and compare the historical estimates for the two homogeneous risk measures with the quantities ...
Mercuri, L, Rroji, E.
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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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On multivariate extensions of the Mixed Tempered Stable distribution
, 2016 We consider a generalization of Normal Variance Mean Mixtures and name it multivariate Mixed Tempered Stable distribution. Properties of this distribution and its capacity in capturing fat tails are discussed supported by simulation analysis. We point out that this distribution is suitable in reproducing stylized facts and different dependence ...
Hitaj, A +3 more
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Modelling Cell Generation Times by Using the Tempered Stable Distribution
Journal of the Royal Statistical Society Series C: Applied Statistics, 2008 Summary We show that the family of tempered stable distributions has considerable potential for modelling cell generation time data. Several real examples illustrate how these distributions can improve on currently assumed models, including the gamma and inverse Gaussian distributions which arise as special cases.
Palmer, Karen J. +2 more
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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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Measures of dependence for Ornstein–Uhlenbeck processes with tempered stable distribution [PDF]
, 2010 In this paper we investigate the dependence structure for Ornstein–Uhlenbeck process with tempered stable distribution that is natural extension of the classical Ornstein–Uhlenbeck process with Gaussian and alpha-stable behavior. However, for the alpha-stable models the correlation is not defined, therefore in order to compare the structure of ...
Wylomanska-, Agnieszka
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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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Mixed tempered stable distribution [PDF]
Quantitative Finance, 2014 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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Exact Simulation for a Class of Tempered Stable and Related Distributions [PDF]
ACM Transactions on Modeling and Computer Simulation, 2018 In this article, we develop a new scheme of exact simulation for a class of tempered stable (TS) and other related distributions with similar Laplace transforms. We discover some interesting integral representations for the underlying density functions that imply a unique simulation framework based on a backward recursive procedure.
Angelos Dassios, Yan Qu, Hongbiao Zhao
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