In this paper, we employ a combination of the jump diffusion and GARCH model in the mean equation to test the risk-return relationship in the U.S. stock returns. The results suggest a statistically significant relationship between the risk and the return if the risk measure includes components...

In this paper, we propose a multivariate market model with returns assumed to follow a multivariate normal tempered stable distribution. This distribution, defined by a mixture of the multivariate normal distribution and the tempered stable subordinator, is consistent with two stylized facts...

In this paper we will introduce a hybrid option pricing model that combines the classical tempered stable model and regime switching by a hidden Markov chain. This model allows the description of some stylized phenomena about asset return distributions that are well documented in financial...