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Modeling overdispersion with the normalized tempered stable distribution [PDF]
Computational Statistics & Data Analysis, 2011 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
M. Kolossiatis +2 more
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Multi-modal tempered stable distributions and prosses with applications to finance
Communications in Statistics - Theory and Methods, 2020The assumption of underlying return distribution plays an important role in asset pricing models.
Ahmad Arefi, Reza Pourtaheri
exaly +2 more sources
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 +2 more
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Tempered Infinitely Divisible Distributions and Processes [PDF]
Theory of Probability and Its Applications, 2011 In this paper, we construct the new class of tempered infinitely divisible (TID) distributions. Taking into account the tempered stable distribution class, as introduced by in the seminal work of Rosinsky , a modification of the tempering function allows
Young Shin Kim, S T Rachev
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Elliptical tempered stable distribution
Quantitative Finance, 2016Elliptical distributions are useful for modelling multivariate data, multivariate normal and Student t distributions being two special classes. In this paper, we provide a definition for the elliptical tempered stable (ETS) distribution based on its characteristic function, which involves a unique spectral measure.
Fallahgoul, Hassan A. +2 more
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Estimation and simulation for multivariate tempered stable distributions
Journal of Statistical Computation and Simulation, 2021We introduce a methodology for the simulation and parameter estimation of multivariate tempered stable distributions with an emphasis on the bivariate case.
Yunfei Xia, Michael Grabchak
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Modeling Tail Risk with Tempered Stable Distributions: An Overview
SSRN Electronic Journal, 2018zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Hasan Fallahgoul, Grégoire Loeper
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On Brascamp–Lieb and Poincaré type inequalities for generalized tempered stable distribution
Statistics & Probability Letters, 2022In 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
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