Multi-modal tempered stable distributions and prosses with applications to finance

DOI10.1080/03610926.2019.1594304OpenAlexW3003573662MaRDI QIDQ5077485

Reza Pourtaheri, Ahmad Arefi

Publication date: 18 May 2022

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2019.1594304

zbMATH Keywords

tempered stable distributionsVaRfinancial dataexponential Lévy modelmulti-modal distribution

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Statistics (62-XX) Economic time series analysis (91B84)

Uses Software

• LBFGS-B
• AnDarl

Cites Work

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• OPTION PRICING FOR TRUNCATED LÉVY PROCESSES
• Financial Modelling with Jump Processes
• A Limited Memory Algorithm for Bound Constrained Optimization
• Asymmetrically tempered stable distributions with applications to finance

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