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On the convolution equivalence of tempered stable distributions on the real line
Statistics & Probability LettersWe show the convolution equivalence property of univariate tempered stable distributions in the sense of Rosińsky (2007). This makes rigorous various classic heuristic arguments on the asymptotic similarity between the probability and Lévy densities of such distributions. Some specific examples from the literature are discussed.
Torricelli L.
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Stable and tempered stable distributions and processes: an overview toward trajectory simulation
25 pages, 6 ...
Jalal, Taher
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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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Particle filtering with alpha-stable distributions [PDF]
, 2005 In this paper we introduce a novel sequential Monte Carlo technique, which is based on the family of symmetric alpha- stable (SAS) distributions.
Canagarajah, N. +4 more
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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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Tail risk analysis of the S&P/OIC COMCEC 50 index
Borsa Istanbul Review, 2015 The S&P/OIC COMCEC 50 Sharia index is a joint index created by the organization of the Islamic conference (OIC) member states' stock exchanges forum and S&P indices. It is a Sharia-compliant benchmark of the 50 leading companies from OIC-members.
Mahmoud Bekri, Young Shin (Aaron) Kim
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A Markov Chain Approximation for American Option Pricing in Tempered Stable-GARCH Models
Frontiers in Applied Mathematics and Statistics, 2016 This paper considers the American option pricing problem under the stochastic volatility models. In particular, we introduce the GARCH model with two heavy-tailed distributions: classical tempered stable (CTS) and normal tempered stable (NTS ...
Xiang eShi +2 more
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Fractal and Fractional, 2019 New aspects of electron transport in quantum wires with Lévy-type disorder are described. We study the weak scattering and the incoherent sequential tunneling in one-dimensional quantum systems characterized by a tempered Lévy stable ...
Renat T. Sibatov, HongGuang Sun
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Risk parity for Mixed Tempered Stable distributed sources of risk [PDF]
Annals of Operations Research, 2016 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Lorenzo Mercuri, Edit Rroji
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A simulation study on the distributions of disturbances in the GARCH model
Cogent Economics & Finance, 2017 Generalized autoregressive conditional heteroskedastic (GARCH) model is a standard approach to study the volatility behaviour of financial time series.
Lingbing Feng, Yanlin Shi
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