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Quantitative Finance Volume 22, 2022 - Issue 3
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Research Papers

Tempered stable processes with time-varying exponential tails

Young Shin Kim† Finance Area, College of Business, Stony Brook University, New York, Stony Brook, NY, USACorrespondence[email protected]
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,
Kum-Hwan Roh‡ Department of Mathematics, Hannam University, Deajeon, KoreaView further author information
&
Raphael Douady§ Centre d’Economie de la Sorbonne, CNRS, Paris 1 Panthéon-Sorbonne University, Paris, FranceView further author information
Pages 541-561 | Received 09 Nov 2020, Accepted 26 Jul 2021, Published online: 16 Sep 2021

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Michele Leonardo Bianchi & Gian Luca Tassinari. (2023) Estimation for multivariate normal rapidly decreasing tempered stable distributions. Journal of Statistical Computation and Simulation 0:0, pages 1-23.
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Articles from other publishers (2)

Tong Liu & Yanlin Shi. (2022) Innovation of the Component GARCH Model: Simulation Evidence and Application on the Chinese Stock Market. Mathematics 10:11, pages 1903.
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Young Shin Kim. (2022) Portfolio optimization and marginal contribution to risk on multivariate normal tempered stable model. Annals of Operations Research 312:2, pages 853-881.
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