Mixed tempered stable distribution

DOI10.1080/14697688.2014.969763zbMath1396.62018arXiv1405.7603OpenAlexW2082534952MaRDI QIDQ4683086

Edit Rroji, Lorenzo Mercuri

Publication date: 19 September 2018

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1405.7603

zbMATH Keywords

independent component analysismixture modelstempered stable distributiongamma densitystatistical factors

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Exact distribution theory in statistics (62E15)

Related Items (7)

On Properties of the MixedTS Distribution and Its Multivariate Extension ⋮ A two-step estimation procedure for locally stationary ARMA processes with tempered stable innovations ⋮ Option pricing in an exponential mixedts Lévy process ⋮ Risk parity for mixed tempered stable distributed sources of risk ⋮ Sensitivity analysis of mixed tempered stable parameters with implications in portfolio optimization ⋮ Modelling tail risk with tempered stable distributions: an overview ⋮ Lévy CARMA models for shocks in mortality

Uses Software

• LBFGS-B

Cites Work

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