Tempered stable distributions and processes

We investigate the class of tempered stable distributions and their associated processes. Our analysis of tempered stable distributions includes limit distributions, parameter estimation and the study of their densities. Regarding tempered stable processes, we deal with density transformations and compute their p-variation indices. Exponential stock models driven by tempered stable processes are discussed as well.

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Year of publication:	2013
Authors:	Küchler, Uwe ; Tappe, Stefan
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 123.2013, 12, p. 4256-4293
Publisher:	Elsevier
Subject:	Tempered stable distributions and processes \| Limit distributions \| Parameter estimation \| p-variation index

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011064946