Tempered stable and tempered infinitely divisible GARCH models
Year of publication: |
2011
|
---|---|
Authors: | Kim, Young Shin ; Rachev, Svetlozar T. ; Bianchi, Michele Leonardo ; Fabozzi, Frank J. |
Publisher: |
Karlsruhe : Karlsruher Institut für Technologie (KIT), Institut für Volkswirtschaftslehre (ECON) |
Subject: | tempered infinitely divisible distribution | tempered stable distribution | rapidly decreasing tempered stable distribution | GARCH model option pricing |
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