Results 221 to 230 of about 2,530,305 (240)

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.
openaire   +2 more sources

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
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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, Hubalek, F, Mercuri, L, Rroji, E   +3 more
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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

Estimation and simulation for multivariate tempered stable distributions

Journal of Statistical Computation and Simulation, 2022
Michael Grabchak
exaly  

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 ...
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Multivariate tempered stable random fields

Journal of Mathematical Analysis and Applications, 2021
Dustin Kremer
exaly  

On the Asymptotic Behaviour of Extremes of Observations from a Tempered Stable Distribution

Journal of the Indian Society for Probability and Statistics, 2022
R Vasudeva, Haikady N Nagaraja
openaire   +1 more source