Elliptical tempered stable distribution

DOI10.1080/14697688.2015.1111522zbMath1469.60062OpenAlexW2288946093MaRDI QIDQ5001190

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Publication date: 16 July 2021

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

Full work available at URL: https://doi.org/10.1080/14697688.2015.1111522

zbMATH Keywords

fractional calculuselliptical distributiontempered stable distribution

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Fractional derivatives and integrals (26A33)

Related Items (4)

Learning for infinitely divisible GARCH models in option pricing ⋮ Forward-looking portfolio selection with multivariate non-Gaussian models ⋮ Modelling tail risk with tempered stable distributions: an overview ⋮ Estimation and simulation for multivariate tempered stable distributions

Uses Software

• QRM

Cites Work

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