Some further results on the tempered multistable approach

DOI10.1007/s10690-018-9240-yzbMath1418.91611OpenAlexW2463034780MaRDI QIDQ1627832

Olivier Le Courtois

Publication date: 3 December 2018

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10690-018-9240-y

zbMATH Keywords

asymmetrycharacteristic functionkurtosisdependencenon-stationarityVaRtempered multistable process

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Martingales with continuous parameter (60G44) Stable stochastic processes (60G52)

Related Items (1)

Numerical aspects of shot noise representation of infinitely divisible laws and related processes

Cites Work

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• Exponential stock models driven by tempered stable processes
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• Option Pricing With V. G. Martingale Components¹
• Inequalities for the $r$th Absolute Moment of a Sum of Random Variables, $1 \leqq r \leqq 2$

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