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.
- Language
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Englisch
- Bibliographic citation
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Series: KIT Working Paper Series in Economics ; No. 26
- Classification
-
Wirtschaft
- Subject
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stable distributions
tempered stable distributions
tempered infinitely divisible distributions
modified tempered stable distributions
- Event
-
Geistige Schöpfung
- (who)
-
Bianchi, Michele Leonardo
Rachev, Svetlozar T.
Kim, Young Shin
Fabozzi, Frank J.
- Event
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Veröffentlichung
- (who)
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Karlsruher Institut für Technologie (KIT), Institut für Volkswirtschaftslehre (ECON)
- (where)
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Karlsruhe
- (when)
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2011
- DOI
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doi:10.5445/IR/1000023237
- Handle
- URN
-
urn:nbn:de:swb:90-232379
- Last update
-
10.03.2025, 11:42 AM CET
Data provider
This object is provided by:
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Bianchi, Michele Leonardo
- Rachev, Svetlozar T.
- Kim, Young Shin
- Fabozzi, Frank J.
- Karlsruher Institut für Technologie (KIT), Institut für Volkswirtschaftslehre (ECON)
Time of origin
- 2011
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