Arbeitspapier
Tempered infinitely divisible distributions and processes
In this paper, we construct the new class of tempered infinitely divisible (TID) distributions. Taking into account the tempered stable distribution class, as introduced by in the seminal work of Rosinsky , a modification of the tempering function allows one to obtain suitable properties. In particular, TID distributions may have exponential moments of any order and conserve all proper properties of the Rosinski setting. Furthermore, we prove that the modified tempered stable distribution is TID and give some further parametric example.
- Sprache
-
Englisch
- Erschienen in
-
Series: KIT Working Paper Series in Economics ; No. 26
- Klassifikation
-
Wirtschaft
- Thema
-
stable distributions
tempered stable distributions
tempered infinitely divisible distributions
modified tempered stable distributions
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Bianchi, Michele Leonardo
Rachev, Svetlozar T.
Kim, Young Shin
Fabozzi, Frank J.
- Ereignis
-
Veröffentlichung
- (wer)
-
Karlsruher Institut für Technologie (KIT), Institut für Volkswirtschaftslehre (ECON)
- (wo)
-
Karlsruhe
- (wann)
-
2011
- DOI
-
doi:10.5445/IR/1000023237
- Handle
- URN
-
urn:nbn:de:swb:90-232379
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Bianchi, Michele Leonardo
- Rachev, Svetlozar T.
- Kim, Young Shin
- Fabozzi, Frank J.
- Karlsruher Institut für Technologie (KIT), Institut für Volkswirtschaftslehre (ECON)
Entstanden
- 2011
Ähnliche Objekte (12)
Matrix gamma distributions and related stochastic processes
On quasi-infinitely divisible distributions
Entrance-Exit Distributions for Semiregenerative Processes
Aggregating infinitely many probability measures
Tempered stable and tempered infinitely divisible GARCH models
Quasi-infinitely divisible distributions and quasi-Lévy measures
Switching Costs in Infinitely Repeated Games
Uniqueness in Infinitely Repeated Decision Problems
Infinitely divisible point processes
A Remark on Infinitely Repeated Extensive Games
Stability of Social Choices in Infinitely Large Societies
Strategy choice in the infinitely repeated prisoners' dilemma
Matrix gamma distributions and related stochastic processes
On quasi-infinitely divisible distributions
Entrance-Exit Distributions for Semiregenerative Processes
Aggregating infinitely many probability measures
Tempered stable and tempered infinitely divisible GARCH models
Quasi-infinitely divisible distributions and quasi-Lévy measures
Switching Costs in Infinitely Repeated Games
Uniqueness in Infinitely Repeated Decision Problems
Infinitely divisible point processes
A Remark on Infinitely Repeated Extensive Games
Stability of Social Choices in Infinitely Large Societies
Strategy choice in the infinitely repeated prisoners' dilemma
Matrix gamma distributions and related stochastic processes
On quasi-infinitely divisible distributions
Entrance-Exit Distributions for Semiregenerative Processes
Aggregating infinitely many probability measures
Tempered stable and tempered infinitely divisible GARCH models
Quasi-infinitely divisible distributions and quasi-Lévy measures
Switching Costs in Infinitely Repeated Games
Uniqueness in Infinitely Repeated Decision Problems
Infinitely divisible point processes
A Remark on Infinitely Repeated Extensive Games
Stability of Social Choices in Infinitely Large Societies